# EDGAR Filing Document

**Accession Number:** 0001480207
**File Stem:** 0001193125-26-245122
**Filing Date:** 2026-5
**Character Count:** 1286988
**Document Hash:** c648a6b5a88c98b5eea91605672a588b
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001193125-26-245122.hdr.sgml**: 20260528

**ACCESSION NUMBER**: 0001193125-26-245122

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20260331

**FILED AS OF DATE**: 20260528

**DATE AS OF CHANGE**: 20260528

**PERIOD START**: 20260331

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** DoubleLine Funds Trust
- **CENTRAL INDEX KEY:** 0001480207

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 0331

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-22378
- **FILM NUMBER:** 261035065

**BUSINESS ADDRESS:**
- **STREET 1:** 2002 N. TAMPA ST.,
- **STREET 2:** SUITE 200
- **CITY:** TAMPA
- **STATE:** FL
- **ZIP:** 33602
- **BUSINESS PHONE:** (813) 791-7333

**MAIL ADDRESS:**
- **STREET 1:** 2002 N. TAMPA ST.,
- **STREET 2:** SUITE 200
- **CITY:** TAMPA
- **STATE:** FL
- **ZIP:** 33602

## Series and Classes Contracts Data

### DoubleLine Total Return Bond Fund (Series ID: S000028163)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000086126 | Class I      | DBLTX           |
| C000086127 | Class N      | DLTNX           |
| C000213584 | Class R6     | DDTRX           |
| C000265917 | I2           |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** DoubleLine Funds Trust

- **b. Investment Company Act file number:** 811-22378

- **c. CIK number of Registrant:** 0001480207

- **d. LEI of Registrant:** 549300MUFFXFRMY0RH66

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

  - **Street Address 1:** 2002 North Tampa Street

  - **City:** Tampa

  - **State:** FL

  - **Foreign country:** US

  - **Zip / Postal Code:** 33602

  - **Telephone number:** 813-791-7333

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

- **a. Name of Series:** DoubleLine Total Return Bond Fund

- **b. EDGAR series identifier (if any):** S000028163

- **c. LEI of Series:** 54930080M2JY1L0IFX13

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

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

- **b. Date as of which information is reported:** 2026-03-31

**Item A.4. Final filing**

Does the Fund anticipate that this will be its final filing on Form N-PORT? **No**

### Fund Information

**Total Assets:** $31667404522.05

**Total Liabilities:** $581298099.39

**Net Assets:** $31086106422.66

**Delayed Delivery Securities:** $187024835.15

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 21861.000000000000 | **1-Year:** 881608.000000000000 | **5-Year:** 5877053.000000000000 | **10-Year:** 3635325.000000000000 | **30-Year:** 116246.000000000000

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

- **3-Month:** 13564.000000000000 | **1-Year:** 242158.000000000000 | **5-Year:** 1069147.000000000000 | **10-Year:** 701662.000000000000 | **30-Year:** 69503.000000000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000086126 | 0.35%                | 1.70%                | -2.12%               |
| Class ID C000086127 | 0.33%                | 1.68%                | -2.04%               |
| Class ID C000213584 | 0.36%                | 1.70%                | -2.00%               |
| Class ID C000265917 | 0.35%                | 1.69%                | -2.01%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-7962087.77             | $27492674.98                               |
| Month 2  | $-3483920.38             | $343200233.65                              |
| Month 3  | $966698.70               | $-541371999.17                             |

**Designated Index Information**

- **Index Name:** Bloomberg Barclays US Aggregate Bond Index Unhedged USD

- **Index Identifier:** LBUSTRUU

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust Series 2024-NQM1                                        | CUSIP: 465983AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  16207982 | PA      | $16279250.23   | 0.05%             | 2064-02-25      | Variable      | 5.59%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2006-S3                                                 | CUSIP: 46629AAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1785900 | PA      | $532564.91     | 0.00%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2006-S4                                                 | CUSIP: 46629SAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5620815 | PA      | $1954762.48    | 0.01%             | 2037-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2006-S4                                                 | CUSIP: 46629SAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2341025 | PA      | $817315.08     | 0.00%             | 2037-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2007-A2                                                 | CUSIP: 46630PAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    532582 | PA      | $377823.01     | 0.00%             | 2037-04-25      | Variable      | 5.18%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2007-S3                                                 | CUSIP: 46631NEA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3942509 | PA      | $1592092.22    | 0.01%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan ReRemic              | JP Morgan Resecuritization Trust Series 2009-7                                   | CUSIP: 46633PAL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  16313692 | PA      | $6523462.13    | 0.02%             | 2037-09-27      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan ReRemic              | JP Morgan Resecuritization Trust Series 2010-1                                   | CUSIP: 46634DAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7585126 | PA      | $3049417.03    | 0.01%             | 2037-02-26      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Secu | JPMBB Commercial Mortgage Securities Trust 2014-C25                              | CUSIP: 46643PBG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  26112003 | PA      | $106826.82     | 0.00%             | 2047-11-15      | Variable      | 0.33%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Secu | JPMBB Commercial Mortgage Securities Trust 2015-C30                              | CUSIP: 46644UBC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13350157 | PA      | $133.50        | 0.00%             | 2048-07-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2026-NQM1                                               | CUSIP: 46660DAG0<br>LEI: 529900PEVYDPZXGGUW77 | Long             | ABS-MBS          | CORP              | US        |  13098026 | PA      | $12976497.60   | 0.04%             | 2066-06-25      | Variable      | 5.15%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust Series 2025-NQM4                                        | CUSIP: 46660HAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13200000 | PA      | $13087664.04   | 0.04%             | 2066-03-25      | Variable      | 5.64%                 | No            |                  2 | On Loan: No      |
| JPMDB Commercial Mortgage Secu | JPMDB Commercial Mortgage Securities Trust 2019-COR6                             | CUSIP: 48129RAY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13604000 | PA      | $12097252.25   | 0.04%             | 2052-11-13      | Variable      | 3.41%                 | No            |                  2 | On Loan: No      |
| Lehman ABS Mortgage Loan Trust | Lehman ABS Mortgage Loan Trust 2007-1                                            | CUSIP: 52521MAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5053249 | PA      | $3350591.14    | 0.01%             | 2037-06-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| MASTR Resecuritization Trust   | Mastr Resecuritization Trust 2008-1                                              | CUSIP: 55292EAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11149243 | PA      | $6731071.36    | 0.02%             | 2037-09-27      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| MASTR Resecuritization Trust   | Mastr Resecuritization Trust 2008-4                                              | CUSIP: 55292FAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5264110 | PA      | $4290084.99    | 0.01%             | 2036-06-27      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| MAST USA LLC                   | MAST 2026-1 Ltd                                                                  | CUSIP: 57631AAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  38270833 | PA      | $37464313.07   | 0.12%             | 2051-02-15      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgage | MASTR Adjustable Rate Mortgages Trust 2007-1                                     | CUSIP: 576431AJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4610114 | PA      | $2307493.27    | 0.01%             | 2036-11-25      | Variable      | 4.66%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loans Trust  | MASTR Alternative Loan Trust 2005-2                                              | CUSIP: 576434J47<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1111612 | PA      | $880364.47     | 0.00%             | 2035-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loans Trust  | MASTR Alternative Loan Trust 2005-6                                              | CUSIP: 576434V92<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1350509 | PA      | $849670.64     | 0.00%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust     | Progress Residential 2025-SFR4 Trust                                             | CUSIP: 74290JAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  22350000 | PA      | $21835402.43   | 0.07%             | 2042-08-17      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust     | Progress Residential 2021-SFR8 Trust                                             | CUSIP: 74333TAN9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  19900000 | PA      | $19644424.30   | 0.06%             | 2038-10-17      | Fixed         | 3.18%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust     | Progress Residential 2021-SFR10 Trust                                            | CUSIP: 74333WAL6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  19894338 | PA      | $19080263.22   | 0.06%             | 2040-12-17      | Fixed         | 3.67%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I  | RFMSI Series 2006-S9 Trust                                                       | CUSIP: 749577AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1730917 | PA      | $1370990.39    | 0.00%             | 2036-09-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I  | RFMSI Series 2007-S5 Trust                                                       | CUSIP: 749580AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8575885 | PA      | $7166411.08    | 0.02%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I  | RFMSI Series 2007-S2 Trust                                                       | CUSIP: 749583AD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1356389 | PA      | $1043706.33    | 0.00%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I  | RFMSI Series 2007-S3 Trust                                                       | CUSIP: 74958BAK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1258026 | PA      | $900475.44     | 0.00%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati | Residential Asset Securitization Trust 2006-R1                                   | CUSIP: 76113MAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4467166 | PA      | $3747325.46    | 0.01%             | 2046-01-25      | Floating      | 13.23%                | No            |                  2 | On Loan: No      |
| SG Mortgage Securities Trust   | SG Mortgage Securities Trust 2006-FRE1                                           | CUSIP: 81879MAW9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2259463 | PA      | $1106957.51    | 0.00%             | 2036-02-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| SOFI CONSUMER LOAN PROGRAM TRU | SoFi Consumer Loan Program Trust 2026-1                                          | CUSIP: 83408AAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8300000 | PA      | $8224392.81    | 0.03%             | 2035-12-26      | Fixed         | 5.06%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mor | Structured Adjustable Rate Mortgage Loan Trust                                   | CUSIP: 863579G51<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    914864 | PA      | $853959.01     | 0.00%             | 2035-12-25      | Variable      | 5.21%                 | No            |                  2 | On Loan: No      |
| TPG Real Estate Finance        | TRTX 2022-FL5 Issuer Ltd                                                         | CUSIP: 87277JAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  12879484 | PA      | $12895518.74   | 0.04%             | 2039-02-15      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| Taco Bell Funding, LLC         | Taco Bell Funding LLC                                                            | CUSIP: 87342RAJ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7417875 | PA      | $6464207.77    | 0.02%             | 2051-08-25      | Fixed         | 2.54%                 | No            |                  2 | On Loan: No      |
| TAL Advantage VII LLC          | TAL Advantage VII LLC                                                            | CUSIP: 87407RAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1795625 | PA      | $1727145.43    | 0.01%             | 2045-09-20      | Fixed         | 3.29%                 | No            |                  2 | On Loan: No      |
| Tesla Sustainable Energy Trust | Tesla Sustainable Energy Trust 2024-1                                            | CUSIP: 88164AAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10010000 | PA      | $9980303.33    | 0.03%             | 2050-06-20      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| Tricon Residential             | Tricon Residential 2021-SFR1 Trust                                               | CUSIP: 89614YAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  16000000 | PA      | $15877369.60   | 0.05%             | 2038-07-17      | Fixed         | 2.24%                 | No            |                  2 | On Loan: No      |
| Tricon Residential             | Tricon Residential 2025-SFR2 Trust                                               | CUSIP: 89617FAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  15484601 | PA      | $15360951.40   | 0.05%             | 2044-08-17      | Fixed         | 6.07%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust  | UBS Commercial Mortgage Trust 2017-C2                                            | CUSIP: 90276CAK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1124000 | PA      | $1073461.14    | 0.00%             | 2050-08-15      | Variable      | 4.29%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust  | UBS Commercial Mortgage Trust 2017-C1                                            | CUSIP: 90276EAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  68162953 | PA      | $622225.52     | 0.00%             | 2050-06-15      | Variable      | 1.45%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust  | UBS Commercial Mortgage Trust 2017-C7                                            | CUSIP: 90276WAS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    544000 | PA      | $536983.76     | 0.00%             | 2050-12-15      | Fixed         | 3.68%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust  | UBS Commercial Mortgage Trust 2018-C11                                           | CUSIP: 90276XAZ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1020000 | PA      | $969529.18     | 0.00%             | 2051-06-15      | Variable      | 4.71%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust  | UBS Commercial Mortgage Trust 2018-C13                                           | CUSIP: 90353KBC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2854000 | PA      | $2707878.62    | 0.01%             | 2051-10-15      | Variable      | 4.79%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                                                 | CUSIP: 912810ST6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 335238000 | PA      | $216051725.59  | 0.70%             | 2040-11-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| TSY INFL IX N/B                | United States Treasury Inflation Indexed Bonds                                   | CUSIP: 9128282L3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  91917322 | PA      | $91915807.10   | 0.30%             | 2027-07-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust   | Upstart Securitization Trust 2025-2                                              | CUSIP: 91679EAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  17394000 | PA      | $17551944.48   | 0.06%             | 2035-06-20      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| BCAP LLC Trust                 | BCAP LLC Trust 2007-AA2                                                          | CUSIP: 05530NAW7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2085524 | PA      | $850098.70     | 0.00%             | 2037-04-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S | BBCMS Mortgage Trust 2025-5C38                                                   | CUSIP: 05556RAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  32244000 | PA      | $32776599.94   | 0.11%             | 2058-11-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S | BBCMS Mortgage Trust 2024-5C31                                                   | CUSIP: 07336YAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 129964625 | PA      | $4482206.99    | 0.01%             | 2057-12-15      | Variable      | 1.06%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trus | CSAIL 2017-CX10 Commercial Mortgage Trust                                        | CUSIP: 12595JAU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4399000 | PA      | $3965067.24    | 0.01%             | 2050-11-15      | Variable      | 3.89%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trus | CSAIL 2019-C18 Commercial Mortgage Trust                                         | CUSIP: 12597DAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7924000 | PA      | $7403336.15    | 0.02%             | 2052-12-15      | Fixed         | 3.59%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trus | CSAIL 2016-C6 Commercial Mortgage Trust                                          | CUSIP: 12636MAG3<br>LEI: 549300C2HE5FJAWYZL57 | Long             | ABS-MBS          | CORP              | US        |  11798136 | PA      | $117.98        | 0.00%             | 2049-01-15      | Variable      | 1.66%                 | No            |                  2 | On Loan: No      |
| CyrusOne Data Centers Issuer I | CyrusOne Data Centers Issuer I LLC                                               | CUSIP: 23284BAJ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7650000 | PA      | $7687052.01    | 0.02%             | 2050-02-20      | Fixed         | 5.91%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities INC  | Deutsche Alt-B Securities Mortgage Loan Trust Series 2006-AB1                    | CUSIP: 251510MF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2263784 | PA      | $2071532.82    | 0.01%             | 2036-02-25      | Variable      | 5.67%                 | No            |                  2 | On Loan: No      |
| Deutsche Mortgage Securities,  | Deutsche Mortgage Securities Inc Mortgage Loan Trust Series 2006-PR1             | CUSIP: 25157GBE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    205973 | PA      | $202004.94     | 0.00%             | 2036-04-15      | Floating      | 7.99%                 | No            |                  2 | On Loan: No      |
| Diversified ABS VIII LLC       | Diversified ABS Phase VIII LLC                                                   | CUSIP: 255123AA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9883584 | PA      | $10028101.38   | 0.03%             | 2044-05-30      | Fixed         | 7.08%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage T | EFMT 2025-INV5                                                                   | CUSIP: 28224UAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  18306872 | PA      | $18254873.08   | 0.06%             | 2070-12-25      | Variable      | 5.38%                 | No            |                  2 | On Loan: No      |
| ELP Commercial Mortgage Trust  | ELP Commercial Mortgage Trust 2025-ELP                                           | CUSIP: 290154AJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5700000 | PA      | $5640248.04    | 0.02%             | 2042-11-13      | Variable      | 6.02%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136AK4F7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  37953213 | PA      | $34098411.42   | 0.11%             | 2044-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136AUJX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    366438 | PA      | $364474.04     | 0.00%             | 2044-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                 | Fannie Mae-Aces                                                                  | CUSIP: 3136B5B46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        | 192196748 | PA      | $6219948.05    | 0.02%             | 2031-07-25      | Variable      | 1.16%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137A3UK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    989763 | PA      | $986953.91     | 0.00%             | 2030-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137A4FE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2660245 | PA      | $2638578.74    | 0.01%             | 2030-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137A4FY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    615454 | PA      | $606970.54     | 0.00%             | 2030-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137A6T69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2261827 | PA      | $2222020.47    | 0.01%             | 2031-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137AFUM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    528165 | PA      | $507481.47     | 0.00%             | 2041-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137BDM86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  32703534 | PA      | $29946727.30   | 0.10%             | 2044-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137BGLV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    557551 | PA      | $545855.72     | 0.00%             | 2043-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137BL5L8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3941869 | PA      | $3176460.57    | 0.01%             | 2045-08-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FCNQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3851678 | PA      | $3719558.51    | 0.01%             | 2046-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FDKT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  21534000 | PA      | $19170094.38   | 0.06%             | 2048-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FVLC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  32439896 | PA      | $5459537.24    | 0.02%             | 2050-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137H23H5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9461063 | PA      | $8523050.05    | 0.03%             | 2040-05-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137H2HG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  27815259 | PA      | $5495925.25    | 0.02%             | 2051-09-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137H3X23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  38956332 | PA      | $1407987.01    | 0.00%             | 2050-08-25      | Floating      | 0.08%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137H3XN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  19935277 | PA      | $14463376.63   | 0.05%             | 2050-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137H4JC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  25303839 | PA      | $4107048.33    | 0.01%             | 2051-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137H4TQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  21677478 | PA      | $3453681.75    | 0.01%             | 2052-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137H5X77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  17463621 | PA      | $15442000.53   | 0.05%             | 2052-02-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137H62G9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  15918168 | PA      | $14279738.03   | 0.05%             | 2048-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137H8CG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  21919762 | PA      | $2551002.13    | 0.01%             | 2049-06-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137HAFL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  26072203 | PA      | $17471598.47   | 0.06%             | 2050-10-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137HB4X9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  16685429 | PA      | $13806596.60   | 0.04%             | 2037-02-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137HC3J9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  13785046 | PA      | $13866864.38   | 0.04%             | 2054-04-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137HDSC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  22195693 | PA      | $22328274.53   | 0.07%             | 2054-07-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137HHXY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  39856976 | PA      | $39991485.82   | 0.13%             | 2055-01-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137HKV76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  21000351 | PA      | $21111930.13   | 0.07%             | 2054-09-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137HKYS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  23979701 | PA      | $23769250.48   | 0.08%             | 2053-12-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137HL5C2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  17326950 | PA      | $17417348.09   | 0.06%             | 2054-05-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137HMYM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  20986895 | PA      | $21059975.23   | 0.07%             | 2052-05-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137HPA37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  43127098 | PA      | $41795113.69   | 0.13%             | 2053-12-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137HPA60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  70597922 | PA      | $69952219.40   | 0.23%             | 2052-04-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137HQBN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  38903728 | PA      | $38025071.97   | 0.12%             | 2056-02-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137HQEH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  32492723 | PA      | $30887790.73   | 0.10%             | 2056-03-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137HQML2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12102487 | PA      | $11678570.97   | 0.04%             | 2053-12-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137HQUH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  70050000 | PA      | $69084570.90   | 0.22%             | 2051-07-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137HQV65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  80000000 | PA      | $79181880.00   | 0.25%             | 2053-11-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31395MA58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2890765 | PA      | $2922751.74    | 0.01%             | 2035-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140NUQE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  14016000 | PA      | $13903193.63   | 0.04%             | 2054-02-01      | Fixed         | 5.36%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140QFBD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  30645432 | PA      | $26301788.87   | 0.08%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31418AGC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1727056 | PA      | $1649897.00    | 0.01%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31418AUQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2687988 | PA      | $2595028.08    | 0.01%             | 2033-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31418FNY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  20858484 | PA      | $21112742.42   | 0.07%             | 2045-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31418UEL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    222711 | PA      | $225204.65     | 0.00%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                | Fannie Mae Interest Strip                                                        | CUSIP: 31423XPZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  75215161 | PA      | $11908448.63   | 0.04%             | 2049-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                 | CUSIP: 31427N3W7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  24529527 | PA      | $25261553.32   | 0.08%             | 2054-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                 | CUSIP: 3142GUMN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  23075292 | PA      | $23599544.90   | 0.08%             | 2055-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| First American Government Obli | First American Government Obligations Fund                                       | CUSIP: 31846V211<br>LEI: 549300R5MYM6VZF1RM44 | Long             | STIV             | RF                | US        | 278759086 | NS      | $278759085.64  | 0.90%             |  |  |  | No            |                  1 | On Loan: No      |
| First Franklin Mtg Loan Asset  | First Franklin Mortgage Loan Trust Series 2007-FF2                               | CUSIP: 32029GAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  16649215 | PA      | $8910601.35    | 0.03%             | 2037-03-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mort | First Horizon Alternative Mortgage Securities Trust 2007-FA3                     | CUSIP: 32053GAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    518814 | PA      | $153007.51     | 0.00%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38375QNX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    992823 | PA      | $13178.04      | 0.00%             | 2038-05-20      | Floating      | 2.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38375QU31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1161067 | PA      | $76231.04      | 0.00%             | 2038-06-20      | Floating      | 2.46%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38376V4F1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1927204 | PA      | $1913721.99    | 0.01%             | 2040-02-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38377FGS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    305932 | PA      | $16487.89      | 0.00%             | 2039-09-20      | Floating      | 2.76%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38377QPC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2074116 | PA      | $1878476.01    | 0.01%             | 2040-12-20      | Floating      | 1.92%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38377VE69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    625374 | PA      | $504711.98     | 0.00%             | 2041-05-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381E6V5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  93010084 | PA      | $4084165.80    | 0.01%             | 2064-07-16      | Variable      | 0.56%                 | No            |                  2 | On Loan: No      |
| Securitized Asset Backed Recei | Securitized Asset Backed Receivables LLC Trust 2007-BR4                          | CUSIP: 81378EAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12833410 | PA      | $7891175.42    | 0.03%             | 2037-05-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| ServiceMaster Brands           | ServiceMaster Funding LLC                                                        | CUSIP: 81761TAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3901677 | PA      | $3473904.43    | 0.01%             | 2051-01-30      | Fixed         | 3.34%                 | No            |                  2 | On Loan: No      |
| Soundview Home Equity Loan Tru | Soundview Home Loan Trust 2007-WMC1                                              | CUSIP: 83612NAX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  40384153 | PA      | $33527759.53   | 0.11%             | 2037-02-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| Vericrest Opportunity Loan Tra | VOLT C LLC                                                                       | CUSIP: 91835DAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    522963 | PA      | $523304.95     | 0.00%             | 2051-05-25      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-42                                                   | CUSIP: 02148YAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2250085 | PA      | $1178229.09    | 0.00%             | 2047-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AREIT CRE Trust                | AREIT 2024-CRE9 Ltd                                                              | CUSIP: 00193AAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1977280 | PA      | $1979987.10    | 0.01%             | 2041-05-17      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-29T1                                                 | CUSIP: 02147PAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2381720 | PA      | $1275722.56    | 0.00%             | 2036-10-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-43CB                                                 | CUSIP: 02149FAM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2528988 | PA      | $1220897.88    | 0.00%             | 2037-02-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-45T1                                                 | CUSIP: 02149JAR7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1348747 | PA      | $718458.64     | 0.00%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Asset Backed Funding Certifica | ABFC 2007-WMC1 Trust                                                             | CUSIP: 04545EAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  74859364 | PA      | $54033930.59   | 0.17%             | 2037-06-25      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S | Barclays Commercial Mortgage Trust 2019-C5                                       | CUSIP: 05492JAL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  14866000 | PA      | $608113.06     | 0.00%             | 2052-11-15      | Variable      | 1.30%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2007-6                                                    | CUSIP: 02150AAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4420975 | PA      | $2208566.26    | 0.01%             | 2047-04-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2007-5CB                                                  | CUSIP: 02150EAY9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3321880 | PA      | $1241518.47    | 0.00%             | 2037-04-25      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S | BBCMS Mortgage Trust 2020-C6                                                     | CUSIP: 05492TAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  87842702 | PA      | $2751637.51    | 0.01%             | 2053-02-15      | Variable      | 1.02%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S | BBCMS Mortgage Trust 2020-C6                                                     | CUSIP: 05492TBH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11799000 | PA      | $9150924.47    | 0.03%             | 2053-02-15      | Variable      | 3.69%                 | No            |                  2 | On Loan: No      |
| Bain Capital Credit CLO, Limit | Bain Capital Credit CLO 2022-6 Ltd                                               | CUSIP: 05685LAN4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  20000000 | PA      | $20023788.00   | 0.06%             | 2038-01-22      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| Banc of America Alternative Lo | Banc of America Alternative Loan Trust 2006-2                                    | CUSIP: 05948K3A5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1255647 | PA      | $1150079.20    | 0.00%             | 2036-03-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2007-9T1                                                  | CUSIP: 02150JAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    385652 | PA      | $37464.46      | 0.00%             | 2037-05-25      | Floating      | 1.71%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2007-24                                                   | CUSIP: 02151GAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    942533 | PA      | $687925.75     | 0.00%             | 2037-10-25      | Floating      | 18.94%                | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor | Banc of America Funding 2006-2 Trust                                             | CUSIP: 05949QBE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1749212 | PA      | $1548073.29    | 0.00%             | 2036-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Bank5                          | BANK5 2023-5YR4                                                                  | CUSIP: 06211FAV0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1167713 | PA      | $1213327.68    | 0.00%             | 2056-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-6CB                                                  | CUSIP: 12668BRZ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    487999 | PA      | $395813.70     | 0.00%             | 2036-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-7CB                                                  | CUSIP: 12668BYH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6941367 | PA      | $3382178.40    | 0.01%             | 2036-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Bank5                          | BANK5 2024-5YR10                                                                 | CUSIP: 06604AAM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2467000 | PA      | $2511349.01    | 0.01%             | 2057-10-15      | Fixed         | 5.64%                 | No            |                  2 | On Loan: No      |
| BankUnited Trust               | BankUnited Trust 2005-1                                                          | CUSIP: 06652DAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4224282 | PA      | $3915208.83    | 0.01%             | 2045-09-25      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2005-23                                          | CUSIP: 126694GU6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5466232 | PA      | $2952118.25    | 0.01%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2005-27                                          | CUSIP: 126694NV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    428027 | PA      | $159430.79     | 0.00%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust       | Benchmark 2022-B34 Mortgage Trust                                                | CUSIP: 08161YAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7270000 | PA      | $675735.60     | 0.00%             | 2055-04-15      | Variable      | 1.82%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust       | Benchmark 2025-V16 Mortgage Trust                                                | CUSIP: 08164RAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9210000 | PA      | $9461670.62    | 0.03%             | 2058-08-15      | Variable      | 5.44%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2005-HYB1                                        | CUSIP: 12669GLP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5032697 | PA      | $4768191.57    | 0.02%             | 2035-03-25      | Variable      | 4.68%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora | Chase Mortgage Finance Trust Series 2007-S3                                      | CUSIP: 16163HBC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1031079 | PA      | $10.31         | 0.00%             | 2037-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO Lt | Benefit Street Partners CLO Ltd                                                  | CUSIP: 08182DAN4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  14500000 | PA      | $14481875.00   | 0.05%             | 2038-04-20      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust       | Benchmark 2025-V17 Mortgage Trust                                                | CUSIP: 081934AU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    922000 | PA      | $930938.79     | 0.00%             | 2058-09-15      | Variable      | 5.42%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust       | Benchmark 2025-B41 Mortgage Trust                                                | CUSIP: 081935AY4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13921956 | PA      | $1027416.69    | 0.00%             | 2068-07-15      | Variable      | 1.00%                 | No            |                  2 | On Loan: No      |
| Bluemountain CLO Ltd           | BlueMountain CLO 2018-2 Ltd                                                      | CUSIP: 09629VAE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5000000 | PA      | $5003739.50    | 0.02%             | 2031-08-15      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| ChaseFlex Trust                | ChaseFlex Trust Series 2005-1                                                    | CUSIP: 16165TAM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    752579 | PA      | $621955.53     | 0.00%             | 2035-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage  | Citigroup Commercial Mortgage Trust 2019-GC41                                    | CUSIP: 17328FAN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13007000 | PA      | $316840.11     | 0.00%             | 2056-08-10      | Variable      | 0.82%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan  | CitiMortgage Alternative Loan Trust Series 2007-A1                               | CUSIP: 12566QAH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2197794 | PA      | $1821855.57    | 0.01%             | 2037-01-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan  | CitiMortgage Alternative Loan Trust Series 2007-A4                               | CUSIP: 12566VAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2752263 | PA      | $338749.91     | 0.00%             | 2037-04-25      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                 | CUSIP: 3132E0KZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  20144000 | PA      | $20552564.37   | 0.07%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                 | CUSIP: 3132XGVR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  15225000 | PA      | $15153770.14   | 0.05%             | 2030-06-01      | Fixed         | 4.19%                 | No            |                  2 | On Loan: No      |
| CLI Funding LLC                | CLI Funding IX LLC                                                               | CUSIP: 12571WAG8<br>LEI: 2549008S2Z91ASJFZL83 | Long             | ABS-O            | CORP              | US        |   8629625 | PA      | $8716201.75    | 0.03%             | 2050-06-20      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust            | COMM 2016-DC2 Mortgage Trust                                                     | CUSIP: 12594CBK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1403000 | PA      | $1383225.42    | 0.00%             | 2049-02-10      | Variable      | 4.73%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                 | CUSIP: 3133KYUN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  61229687 | PA      | $52319992.99   | 0.17%             | 2040-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                 | CUSIP: 3133KYVB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  70767678 | PA      | $60125901.76   | 0.19%             | 2041-05-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3138WCZW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2802310 | PA      | $2681161.71    | 0.01%             | 2034-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3138WDTL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9391784 | PA      | $8555227.77    | 0.03%             | 2044-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | Credit Suisse Mortgage Capital Certificates                                      | CUSIP: 12642MAS9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5751183 | PA      | $2662252.73    | 0.01%             | 2036-06-27      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC 2021-B33                                                                    | CUSIP: 12658WAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4824681 | PA      | $4575465.33    | 0.01%             | 2043-10-10      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3138WJAM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  20701782 | PA      | $18943558.22   | 0.06%             | 2041-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3138WJJA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13385620 | PA      | $11841774.16   | 0.04%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31398GV30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    455749 | PA      | $38933.28      | 0.00%             | 2040-02-25      | Floating      | 2.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31398R2P9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1352637 | PA      | $1302633.74    | 0.00%             | 2040-07-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-20CB                                                 | CUSIP: 12667GPY3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3927430 | PA      | $245334.76     | 0.00%             | 2035-07-25      | Floating      | 1.21%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-28CB                                                 | CUSIP: 12667GWR0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1520221 | PA      | $1210251.96    | 0.00%             | 2035-08-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31398SJL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    834568 | PA      | $802516.63     | 0.00%             | 2040-11-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31398TVG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1365206 | PA      | $1351929.77    | 0.00%             | 2040-08-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-J10                                                  | CUSIP: 12668ABK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    224533 | PA      | $126748.49     | 0.00%             | 2035-10-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-73CB                                                 | CUSIP: 12668AU29<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    748038 | PA      | $693830.94     | 0.00%             | 2036-01-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-73CB                                                 | CUSIP: 12668AU37<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1881908 | PA      | $63454.54      | 0.00%             | 2036-01-25      | Floating      | 0.91%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-2CB                                                  | CUSIP: 12668BLJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1843399 | PA      | $805352.47     | 0.00%             | 2036-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31402RAB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2582418 | PA      | $2604961.07    | 0.01%             | 2035-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31402RRN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    604250 | PA      | $609999.99     | 0.00%             | 2035-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140FXK43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  60989793 | PA      | $55182225.71   | 0.18%             | 2053-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140HNE73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  18597976 | PA      | $14015395.94   | 0.05%             | 2050-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140HNFH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  14800114 | PA      | $12738822.08   | 0.04%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140HRMF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9000000 | PA      | $8372140.11    | 0.03%             | 2038-10-01      | Fixed         | 3.89%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | Reperforming Loan REMIC Trust 2005-R1                                            | CUSIP: 12669GWP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    127573 | PA      | $5476.05       | 0.00%             | 2035-03-25      | Variable      | 2.34%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC               | COLT 2021-HX1 Mortgage Loan Trust                                                | CUSIP: 19688KAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6000000 | PA      | $4511416.20    | 0.01%             | 2066-10-25      | Variable      | 2.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140KSJJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  14702351 | PA      | $11612115.66   | 0.04%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140MNM52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  15569250 | PA      | $13832855.56   | 0.04%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140QTUF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  23996646 | PA      | $24198028.16   | 0.08%             | 2054-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140XDRL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  25397331 | PA      | $20919795.32   | 0.07%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC               | COLT 2025-6 Mortgage Loan Trust                                                  | CUSIP: 19689BAC7<br>LEI: 213800IXUWCX6RHIO921 | Long             | ABS-MBS          | CORP              | US        |   4362922 | PA      | $4381646.21    | 0.01%             | 2070-08-25      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC               | COLT 2025-7 Mortgage Loan Trust                                                  | CUSIP: 19689CAD3<br>LEI: 213800DOQUYA3TO33M98 | Long             | ABS-MBS          | CORP              | US        |   1850000 | PA      | $1850752.21    | 0.01%             | 2070-06-25      | Variable      | 6.03%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140XH2W6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  14289952 | PA      | $13876097.69   | 0.04%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140XHSJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  73851584 | PA      | $62567835.36   | 0.20%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FWEA 2024-1 A                  | FWEA 2024-1 A                                                                    | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | USGSE             | US        |  17863470 | PA      | $18311843.35   | 0.06%             | 2044-08-25      | Fixed         | 7.15%                 | No            |                  3 | On Loan: No      |
| Freddiemac Strip               | Freddie Mac Strips                                                               | CUSIP: 3128HXUQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6452554 | PA      | $5851239.75    | 0.02%             | 2042-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140XN3Y8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  42111450 | PA      | $43217823.44   | 0.14%             | 2054-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140XRA47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12961337 | PA      | $13241635.54   | 0.04%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip               | Freddie Mac Strips                                                               | CUSIP: 31325YCM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        | 146955384 | PA      | $22188930.06   | 0.07%             | 2051-08-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                 | CUSIP: 3132DTGL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  28955947 | PA      | $29716758.05   | 0.10%             | 2054-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31410GKG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     65942 | PA      | $66678.76      | 0.00%             | 2037-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31416BRY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2731753 | PA      | $2754821.39    | 0.01%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                 | CUSIP: 3132DVMR3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  49981499 | PA      | $51146440.65   | 0.16%             | 2054-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                 | CUSIP: 3132XG2M7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  13881000 | PA      | $13951610.56   | 0.04%             | 2029-03-01      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                 | CUSIP: 3132XGTQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  44592213 | PA      | $44596839.71   | 0.14%             | 2030-01-01      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                 | CUSIP: 3133JL2B4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12637224 | PA      | $9980881.57    | 0.03%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31417BYJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3422752 | PA      | $3356871.81    | 0.01%             | 2032-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31417GAW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6290472 | PA      | $5881301.31    | 0.02%             | 2038-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                 | CUSIP: 3133KPZC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  76290214 | PA      | $75789416.67   | 0.24%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                 | CUSIP: 3133KYU72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6471638 | PA      | $5856558.80    | 0.02%             | 2041-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31417GGF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4146651 | PA      | $4002957.77    | 0.01%             | 2033-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31418AHN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  22456090 | PA      | $20963323.82   | 0.07%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust         | GSAA Home Equity Trust 2007-10                                                   | CUSIP: 3622NDAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2444536 | PA      | $831917.56     | 0.00%             | 2037-11-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust   | GS Mortgage Securities Trust 2018-GS10                                           | CUSIP: 36250SBD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3443000 | PA      | $859831.75     | 0.00%             | 2033-03-10      | Variable      | 4.58%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BDWB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  19886672 | PA      | $3409353.17    | 0.01%             | 2051-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BKKV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  22021653 | PA      | $3770714.74    | 0.01%             | 2051-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust   | GS Mortgage Securities Trust 2016-GS4                                            | CUSIP: 36251XAT4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  41106444 | PA      | $23562.21      | 0.00%             | 2049-11-10      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382HF96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  34821927 | PA      | $4946158.72    | 0.02%             | 2050-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382J3G9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  16412311 | PA      | $2873739.77    | 0.01%             | 2050-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382KN90<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  35890781 | PA      | $4967919.41    | 0.02%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| JPMDB Commercial Mortgage Secu | JPMDB Commercial Mortgage Securities Trust 2016-C2                               | CUSIP: 46590LAV4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  43384527 | PA      | $433.85        | 0.00%             | 2049-06-15      | Variable      | 1.44%                 | No            |                  2 | On Loan: No      |
| JPMorgan US Government Money M | JPMorgan US Government Money Market Fund                                         | CUSIP: 4812C2270<br>LEI: 549300NQ5E5B7ZV4T516 | Long             | STIV             | RF                | US        | 278759086 | NS      | $278759085.64  | 0.90%             |  |  |  | No            |                  1 | On Loan: No      |
| Katayma CLO Ltd                | Katayma CLO II Ltd                                                               | CUSIP: 485862AA4<br>LEI: 254900HW0KYG9AOGVP97 | Long             | ABS-CBDO         | CORP              | US        |  25000000 | PA      | $25024675.00   | 0.08%             | 2037-04-20      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BLDB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2056831 | PA      | $1866378.38    | 0.01%             | 2033-08-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BLEL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  60401415 | PA      | $37195408.57   | 0.12%             | 2052-02-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BLPS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  24780740 | PA      | $21922239.16   | 0.07%             | 2050-06-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BQPY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  61862254 | PA      | $11860658.18   | 0.04%             | 2053-04-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137F4EA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  22016174 | PA      | $20856623.57   | 0.07%             | 2048-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137F6NZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  50105960 | PA      | $6269127.44    | 0.02%             | 2050-11-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137F7MG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  26973188 | PA      | $23660332.52   | 0.08%             | 2050-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FFQB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  34238512 | PA      | $5266513.17    | 0.02%             | 2051-03-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38384EUJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9978134 | PA      | $9742986.08    | 0.03%             | 2053-09-20      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38384VSH1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        | 138606475 | PA      | $20914538.85   | 0.07%             | 2051-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Whole Loan Securit | Freddie Mac Whole Loan Securities Trust 2016-SC01                                | CUSIP: 3137G1AV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4013601 | PA      | $3472987.61    | 0.01%             | 2046-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137H0UE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  13613247 | PA      | $12150075.78   | 0.04%             | 2051-06-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137H23X0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  29646775 | PA      | $2675025.53    | 0.01%             | 2046-08-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137H2S47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  13577993 | PA      | $1850752.36    | 0.01%             | 2043-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137H2YU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  19025620 | PA      | $15780163.57   | 0.05%             | 2049-04-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137HPDV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  35174051 | PA      | $34580228.17   | 0.11%             | 2055-12-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31393FCL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    226910 | PA      | $231923.64     | 0.00%             | 2032-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31395CQX2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1695668 | PA      | $1743041.32    | 0.01%             | 2034-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31396CBT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    227454 | PA      | $19269.82      | 0.00%             | 2035-10-15      | Floating      | 2.94%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140QQYT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  56811550 | PA      | $56429893.26   | 0.18%             | 2052-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140QU6Y7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  48620010 | PA      | $49713979.51   | 0.16%             | 2054-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140QVEV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  92874868 | PA      | $95315263.77   | 0.31%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140QVLM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  19368406 | PA      | $19818131.29   | 0.06%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140X8H67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  36516740 | PA      | $31442525.31   | 0.10%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                                            | CUSIP: 3128MJ3J7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    830842 | PA      | $769408.69     | 0.00%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                                            | CUSIP: 3128MJSY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  19765264 | PA      | $18123079.41   | 0.06%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                                            | CUSIP: 3128P7SE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2102252 | PA      | $2066066.15    | 0.01%             | 2032-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136AREC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4781987 | PA      | $4612921.00    | 0.01%             | 2046-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136B7YZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11795646 | PA      | $1311658.09    | 0.00%             | 2049-12-25      | Floating      | 2.22%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BAR97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  26468699 | PA      | $23798631.75   | 0.08%             | 2046-05-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BBH47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  27353238 | PA      | $4947522.44    | 0.02%             | 2060-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31396X6V1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    309306 | PA      | $24155.28      | 0.00%             | 2037-05-25      | Floating      | 2.47%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140EU2T5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6812024 | PA      | $6382611.93    | 0.02%             | 2046-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140J0HA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  20400000 | PA      | $16219166.68   | 0.05%             | 2035-08-01      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140J1FK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  30992697 | PA      | $24537620.64   | 0.08%             | 2035-09-01      | Fixed         | 1.51%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140QUUE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  35419193 | PA      | $36121174.02   | 0.12%             | 2054-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgage | MASTR Adjustable Rate Mortgages Trust 2005-2                                     | CUSIP: 576433XV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1922630 | PA      | $1743774.48    | 0.01%             | 2035-03-25      | Variable      | 4.08%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loans Trust  | MASTR Alternative Loan Trust 2004-9                                              | CUSIP: 576434UK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6651000 | PA      | $5773642.65    | 0.02%             | 2034-08-25      | Variable      | 6.26%                 | No            |                  2 | On Loan: No      |
| GreenPoint Mortgage Funding Tr | GreenPoint MTA Trust 2005-AR3                                                    | CUSIP: 39538RBZ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  20173924 | PA      | $7194158.37    | 0.02%             | 2045-08-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| Greensky Home Improvement Issu | GreenSky Home Improvement Issuer Trust 2025-3                                    | CUSIP: 39571WAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8206377 | PA      | $8201968.92    | 0.03%             | 2060-12-27      | Fixed         | 4.52%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati | Residential Asset Securitization Trust 2005-A15                                  | CUSIP: 45660L3N7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1282866 | PA      | $1323569.20    | 0.00%             | 2036-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I  | RFMSI Series 2007-S1 Trust                                                       | CUSIP: 749581AL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2058024 | PA      | $1693707.41    | 0.01%             | 2037-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I  | RFMSI Series 2007-SA2 Trust                                                      | CUSIP: 74958XAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2176398 | PA      | $1878216.40    | 0.01%             | 2037-04-25      | Variable      | 5.38%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2006-QS8 Trust                                                       | CUSIP: 75115AAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2659986 | PA      | $2242452.36    | 0.01%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2006-QS9 Trust                                                       | CUSIP: 75115CAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1605026 | PA      | $100169.16     | 0.00%             | 2036-07-25      | Floating      | 1.51%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2007-QS9 Trust                                                       | CUSIP: 75116FBH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10079855 | PA      | $8296042.83    | 0.03%             | 2037-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Switch ABS Issuer, LLC         | Switch ABS Issuer LLC                                                            | CUSIP: 871044BA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2400000 | PA      | $2405428.80    | 0.01%             | 2056-03-27      | Fixed         | 5.61%                 | No            |                  2 | On Loan: No      |
| Taubman Centers Commercial Mor | TCO Commercial Mortgage Trust 2024-DPM                                           | CUSIP: 87231EAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2490000 | PA      | $2491067.21    | 0.01%             | 2039-12-15      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust  | UBS Commercial Mortgage Trust 2017-C3                                            | CUSIP: 90276GAX0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6857000 | PA      | $6603972.59    | 0.02%             | 2050-08-15      | Variable      | 4.09%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust  | UBS Commercial Mortgage Trust                                                    | CUSIP: 90278MAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12767000 | PA      | $693822.62     | 0.00%             | 2052-10-15      | Variable      | 1.75%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                                                 | CUSIP: 91282CNC1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 200000000 | PA      | $199503906.00  | 0.64%             | 2035-05-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| USQ Rail I LLC                 | USQ Rail III LLC                                                                 | CUSIP: 912928AA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10894751 | PA      | $10689806.34   | 0.03%             | 2054-09-28      | Fixed         | 4.99%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140X8N78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  21481549 | PA      | $18447835.85   | 0.06%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140XCLR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  50624241 | PA      | $43656463.84   | 0.14%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                 | CUSIP: 31427NHU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  71444509 | PA      | $73321883.00   | 0.24%             | 2055-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                 | CUSIP: 31427RGJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  62014558 | PA      | $61818673.82   | 0.20%             | 2055-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382WEN3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  13412191 | PA      | $1433004.10    | 0.00%             | 2051-07-20      | Floating      | 2.51%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382WSF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  37357432 | PA      | $6861596.50    | 0.02%             | 2051-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382XA21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  33300853 | PA      | $5643868.53    | 0.02%             | 2051-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru | IndyMac INDX Mortgage Loan Trust 2007-AR13                                       | CUSIP: 456681AB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    711923 | PA      | $620837.38     | 0.00%             | 2037-07-25      | Variable      | 5.06%                 | No            |                  2 | On Loan: No      |
| IndyMac IMSC Mortgage Loan Tru | IndyMac IMSC Mortgage Loan Trust 2007-HOA1                                       | CUSIP: 45670LAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2463729 | PA      | $1662797.20    | 0.01%             | 2047-07-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| MF1 Multifamily Housing Mortga | MF1 2026-FL21 LLC                                                                | CUSIP: 55287NAE7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  50000000 | PA      | $50023050.00   | 0.16%             | 2041-02-18      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| MF1 Multifamily Housing Mortga | MF1 2024-FL15                                                                    | CUSIP: 58003MAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  10660000 | PA      | $10693547.02   | 0.03%             | 2041-08-18      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| MENLO CLO                      | Menlo CLO I Ltd                                                                  | CUSIP: 586915AA8<br>LEI: 2549005RHPY3C68SIP61 | Long             | ABS-CBDO         | CORP              | US        |  10000000 | PA      | $10011787.00   | 0.03%             | 2038-01-20      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investo | Merrill Lynch Mortgage Investors Trust Series 2005-AR1                           | CUSIP: 59020UG33<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13555363 | PA      | $11257198.87   | 0.04%             | 2036-06-25      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investo | Merrill Lynch Mortgage Investors Trust Series 2006-FM1                           | CUSIP: 59021AAP3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  19991866 | PA      | $12018903.86   | 0.04%             | 2037-04-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Alternative Note | Merrill Lynch Alternative Note Asset Trust Series 2007-OAR5                      | CUSIP: 590227AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  26751749 | PA      | $6511830.51    | 0.02%             | 2047-10-25      | Variable      | 3.30%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley IXIS Real Estat | Morgan Stanley IXIS Real Estate Capital Trust 2006-2                             | CUSIP: 617463AP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4752821 | PA      | $1547120.24    | 0.00%             | 2036-11-25      | Floating      | 3.86%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T | Morgan Stanley Mortgage Loan Trust 2006-2                                        | CUSIP: 61748HVK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    914890 | PA      | $860052.93     | 0.00%             | 2036-02-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T | Morgan Stanley Mortgage Loan Trust 2006-11                                       | CUSIP: 61749WAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6630117 | PA      | $2610487.87    | 0.01%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T | Morgan Stanley Mortgage Loan Trust 2007-1XS                                      | CUSIP: 61752JAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2728617 | PA      | $545462.92     | 0.00%             | 2046-09-25      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T | Morgan Stanley Mortgage Loan Trust 2007-1XS                                      | CUSIP: 61752JAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1782863 | PA      | $443567.28     | 0.00%             | 2046-09-25      | Variable      | 6.58%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T | Morgan Stanley Mortgage Loan Trust 2007-3XS                                      | CUSIP: 61752RAB8<br>LEI: 549300SRGEL7X4RBPX12 | Long             | ABS-MBS          | CORP              | US        |    178425 | PA      | $167185.72     | 0.00%             | 2047-01-25      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Inc     | Morgan Stanley ABS Capital I Inc Trust 2007-HE4                                  | CUSIP: 61753VAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5487402 | PA      | $2449145.60    | 0.01%             | 2037-02-25      | Floating      | 3.92%                 | No            |                  2 | On Loan: No      |
| Upgrade Master Pass-Thru Trust | Upgrade Master Pass-Thru Trust Series 2026-ST1                                   | CUSIP: 91533VAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5153897 | PA      | $5147114.12    | 0.02%             | 2034-03-15      | Fixed         | 4.24%                 | No            |                  2 | On Loan: No      |
| Upgrade Master Pass-Thru Trust | Upgrade Master Pass-Thru Trust Series 2025-ST3                                   | CUSIP: 91534LAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7594309 | PA      | $7650545.88    | 0.02%             | 2032-06-15      | Fixed         | 5.98%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T | Morgan Stanley Mortgage Loan Trust 2007-13                                       | CUSIP: 61756HBN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2840214 | PA      | $1470580.53    | 0.00%             | 2037-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ReRemic Trust   | Morgan Stanley Resecuritization Trust 2014-R7                                    | CUSIP: 61764GAM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4656536 | PA      | $4493629.34    | 0.01%             | 2051-01-26      | Variable      | 4.13%                 | No            |                  2 | On Loan: No      |
| Vantage Data Centers LLC       | Vantage Data Centers LLC                                                         | CUSIP: 92212KAC0<br>LEI: 5493000RL8X7WTQ7HO20 | Long             | ABS-O            | CORP              | US        |  32425000 | PA      | $30978034.38   | 0.10%             | 2045-09-15      | Fixed         | 1.99%                 | No            |                  2 | On Loan: No      |
| VEGAS Trust                    | VEGAS Trust 2024-TI                                                              | CUSIP: 92254AAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  18399000 | PA      | $18448184.21   | 0.06%             | 2039-11-10      | Fixed         | 5.52%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust | Morgan Stanley Capital I Trust 2020-L4                                           | CUSIP: 61770KAY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 280547767 | PA      | $9635497.22    | 0.03%             | 2053-02-15      | Variable      | 1.06%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust | Morgan Stanley Capital I Trust 2020-L4                                           | CUSIP: 61770KBB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  24004000 | PA      | $21708084.61   | 0.07%             | 2053-02-15      | Fixed         | 3.08%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo | Velocity Commercial Capital Loan Trust 2019-1                                    | CUSIP: 92257CAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1738694 | PA      | $1571497.94    | 0.01%             | 2049-03-25      | Variable      | 4.61%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo | Velocity Commercial Capital Loan Trust 2017-2                                    | CUSIP: 92258VAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    126838 | PA      | $126404.14     | 0.00%             | 2047-11-25      | Variable      | 3.07%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust     | Verus Securitization Trust 2026-2                                                | CUSIP: 92490GAN8<br>LEI: 213800OKSLL73WD2H386 | Long             | ABS-MBS          | CORP              | US        |  10200000 | PA      | $9970157.28    | 0.03%             | 2071-02-25      | Variable      | 5.38%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust     | Verus Securitization Trust 2021-4                                                | CUSIP: 92538HAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2500000 | PA      | $1785623.75    | 0.01%             | 2066-07-25      | Variable      | 2.19%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust     | Verus Securitization Trust 2023-INV3                                             | CUSIP: 92540CAE7<br>LEI: 9845008F97BFO762AF95 | Long             | ABS-MBS          | CORP              | US        |   4305000 | PA      | $4336155.29    | 0.01%             | 2068-11-25      | Variable      | 8.16%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust     | Verus Securitization Trust 2025-10                                               | CUSIP: 92541FAE9<br>LEI: 213800OGLOX4BB4D6N90 | Long             | ABS-MBS          | CORP              | US        |   2164904 | PA      | $2162361.39    | 0.01%             | 2070-06-25      | Variable      | 5.37%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust     | Verus Securitization Trust 2026-1                                                | CUSIP: 92541JAN1<br>LEI: 2138009KJR7Q44BI8668 | Long             | ABS-MBS          | CORP              | US        |   4000000 | PA      | $3955307.60    | 0.01%             | 2071-01-25      | Variable      | 5.67%                 | No            |                  2 | On Loan: No      |
| Wellesley Park CLO LTD         | Wellesley Park CLO Ltd                                                           | CUSIP: 94949AAA2<br>LEI: 254900LVLIQL8YP6PL27 | Long             | ABS-CBDO         | CORP              | US        |  13500000 | PA      | $13495608.45   | 0.04%             | 2039-01-24      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Alternative Loan T | Wells Fargo Alternative Loan 2007-PA3 Trust                                      | CUSIP: 94985GAH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2033070 | PA      | $1796967.09    | 0.01%             | 2037-07-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag | Wells Fargo Commercial Mortgage Trust 2015-NXS2                                  | CUSIP: 94989MAL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6338000 | PA      | $5891024.59    | 0.02%             | 2058-07-15      | Variable      | 3.83%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag | Wells Fargo Commercial Mortgage Trust 2019-C54                                   | CUSIP: 95001YAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6363333 | PA      | $284043.28     | 0.00%             | 2052-12-15      | Variable      | 1.38%                 | No            |                  2 | On Loan: No      |
| Willowbrook Mall               | NJ 2025-WBRK                                                                     | CUSIP: 65486BAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  14239000 | PA      | $14644754.54   | 0.05%             | 2035-03-05      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC       | OBX 2024-NQM18 Trust                                                             | CUSIP: 673913AD1<br>LEI: 254900NK9PNLY9I00149 | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $2005118.00    | 0.01%             | 2064-10-25      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| PLYM Commercial Mortgage Trust | PLYM Commercial Mortgage Trust 2026-IND                                          | CUSIP: 69292BAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  14250000 | PA      | $14199814.35   | 0.05%             | 2043-03-15      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| PHH Alternative Mortgage Trust | PHH Alternative Mortgage Trust Series 2007-2                                     | CUSIP: 69337HBG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    151596 | PA      | $141031.15     | 0.00%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgag | PRPM 2025-6 LLC                                                                  | CUSIP: 69395KAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  32318920 | PA      | $32273706.21   | 0.10%             | 2028-08-25      | Variable      | 5.77%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust | Pagaya AI Debt Grantor Trust 2025-5                                              | CUSIP: 69548WAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8649666 | PA      | $8667200.38    | 0.03%             | 2033-03-15      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| Peace Park CLO, Ltd.           | Peace Park CLO Ltd                                                               | CUSIP: 70470MAQ8<br>LEI: 549300XHXTUZ93V6SK42 | Long             | ABS-CBDO         | CORP              | US        |  10000000 | PA      | $9994776.00    | 0.03%             | 2038-10-20      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| People's Choice Home Loan Secu | People's Choice Home Loan Securities Trust Series 2005-1                         | CUSIP: 71085PBP7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11660000 | PA      | $9304440.97    | 0.03%             | 2035-01-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust     | Progress Residential 2021-SFR10 Trust                                            | CUSIP: 74333WAJ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  47938722 | PA      | $45972544.06   | 0.15%             | 2040-12-17      | Fixed         | 3.57%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgag | PRPM 2026-NQM1 Trust                                                             | CUSIP: 74391DAH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  15358000 | PA      | $15363436.73   | 0.05%             | 2071-02-25      | Variable      | 5.72%                 | No            |                  2 | On Loan: No      |
| SLG Office Trust               | SLG Office Trust 2021-OVA                                                        | CUSIP: 78449RAN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  37079000 | PA      | $30748917.61   | 0.10%             | 2041-07-15      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Santander Mortgage Asset Recei | Santander Mortgage Asset Receivable Trust 2026-NQM2                              | CUSIP: 802933AH4<br>LEI: 254900X3WQ94L5BYAR60 | Long             | ABS-MBS          | CORP              | US        |   5405000 | PA      | $5330601.80    | 0.02%             | 2066-01-25      | Variable      | 5.69%                 | No            |                  2 | On Loan: No      |
| Securitized Asset Backed Recei | Securitized Asset Backed Receivables LLC Trust 2007-BR3                          | CUSIP: 81377NAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4748603 | PA      | $3236307.07    | 0.01%             | 2037-04-25      | Floating      | 3.93%                 | No            |                  2 | On Loan: No      |
| SoFi Alternative Trust Consume | Sofi Alternative Trust 2021-1                                                    | CUSIP: 83406GAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    469732 | PA      | $446685.77     | 0.00%             | 2030-05-25      | Variable      | 9.72%                 | No            |                  2 | On Loan: No      |
| Sound Point CLO LTD            | Sound Point CLO XXVII Ltd                                                        | CUSIP: 83611VAS7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  25250000 | PA      | $25266899.83   | 0.08%             | 2034-10-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| Sound Point CLO LTD            | Sound Point Clo XXI Ltd                                                          | CUSIP: 83613HAL1<br>LEI: 5493001O6AOY43J70E72 | Long             | ABS-CBDO         | CORP              | US        |   8307631 | PA      | $8316560.80    | 0.03%             | 2031-10-26      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust  | UBS Commercial Mortgage Trust 2019-C18                                           | CUSIP: 90278PBE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9705000 | PA      | $8440606.40    | 0.03%             | 2052-12-15      | Variable      | 3.68%                 | No            |                  2 | On Loan: No      |
| World Omni Auto Receivables Tr | World Omni Auto Receivables Trust 2025-D                                         | CUSIP: 98165HAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1725000 | PA      | $1722646.41    | 0.01%             | 2029-02-15      | Fixed         | 3.91%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trus | CSAIL 2019-C18 Commercial Mortgage Trust                                         | CUSIP: 12597DAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 213853318 | PA      | $6082266.37    | 0.02%             | 2052-12-15      | Variable      | 0.99%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mor | Morgan Stanley Residential Mortgage Loan Trust 2026-NQM1                         | CUSIP: 61780XAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8859803 | PA      | $8786204.24    | 0.03%             | 2070-12-25      | Variable      | 5.13%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mor | Morgan Stanley Residential Mortgage Loan Trust 2025-NQM4                         | CUSIP: 617945AE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5475331 | PA      | $5496102.45    | 0.02%             | 2070-06-25      | Variable      | 5.94%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-54CB                                                 | CUSIP: 12668APP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1178643 | PA      | $607471.67     | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan  | CitiMortgage Alternative Loan Trust Series 2006-A2                               | CUSIP: 17309CAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1331615 | PA      | $1265551.83    | 0.00%             | 2036-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust  | Citigroup Mortgage Loan Trust 2007-OPX1                                          | CUSIP: 17311FAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3126983 | PA      | $1318852.33    | 0.00%             | 2037-01-25      | Variable      | 7.47%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust  | Citigroup Mortgage Loan Trust 2007-AR8                                           | CUSIP: 17313FAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1517688 | PA      | $1340527.32    | 0.00%             | 2047-08-25      | Variable      | 3.62%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust  | Citigroup Mortgage Loan Trust 2007-10                                            | CUSIP: 17313QAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1182883 | PA      | $1123292.39    | 0.00%             | 2037-04-25      | Variable      | 5.16%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust  | Citigroup Mortgage Loan Trust 2010-7                                             | CUSIP: 17317EBQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2397306 | PA      | $2108556.04    | 0.01%             | 2037-10-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage  | Citigroup Commercial Mortgage Trust 2016-GC36                                    | CUSIP: 17324TAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  41028281 | PA      | $410.28        | 0.00%             | 2049-02-10      | Variable      | 0.98%                 | No            |                  2 | On Loan: No      |
| COMMONBOND STUDENT LOAN TRUST  | Commonbond Student Loan Trust 2016-A                                             | CUSIP: 20267TAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    841369 | PA      | $819146.91     | 0.00%             | 2040-05-25      | Fixed         | 3.32%                 | No            |                  2 | On Loan: No      |
| Compass Datacenters Issuer II, | Compass Datacenters Issuer II LLC                                                | CUSIP: 20469AAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10680000 | PA      | $10673705.21   | 0.03%             | 2049-02-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| DataBank Issuer LLC            | DataBank Issuer                                                                  | CUSIP: 23802WAG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  31000000 | PA      | $30563625.40   | 0.10%             | 2051-10-25      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu | Bear Stearns Asset Backed Securities I Trust 2007-HE4                            | CUSIP: 07386RAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  17018719 | PA      | $15993514.56   | 0.05%             | 2037-05-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu | Bear Stearns Asset Backed Securities Trust 2007-SD1                              | CUSIP: 07389QAQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1173431 | PA      | $539289.57     | 0.00%             | 2036-10-25      | Variable      | 5.28%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust       | Benchmark 2019-B15 Mortgage Trust                                                | CUSIP: 08160KAU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  24552000 | PA      | $775266.23     | 0.00%             | 2072-12-15      | Variable      | 0.96%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust       | Benchmark 2019-B14 Mortgage Trust                                                | CUSIP: 08162YAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  52294545 | PA      | $50857491.03   | 0.16%             | 2062-12-15      | Fixed         | 2.91%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2007-17                                          | CUSIP: 12544KAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2348032 | PA      | $1588441.67    | 0.01%             | 2037-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2007-11                                          | CUSIP: 12544LAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12915905 | PA      | $5328675.00    | 0.02%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2007-10                                          | CUSIP: 12545CAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3783424 | PA      | $1602074.43    | 0.01%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust            | COMM 2016-DC2 Mortgage Trust                                                     | CUSIP: 12594CBJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    947784 | PA      | $948656.16     | 0.00%             | 2049-02-10      | Variable      | 4.73%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-55CW                                                 | CUSIP: 12668AMX0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  25866074 | PA      | $16530312.40   | 0.05%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-85CB                                                 | CUSIP: 12668BEL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    971205 | PA      | $765437.52     | 0.00%             | 2036-02-25      | Floating      | 7.73%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities INC  | Deutsche Alt-A Securities Inc Mortgage Loan Trust Series 2005-5                  | CUSIP: 251510HR7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    110304 | PA      | $226228.64     | 0.00%             | 2035-11-25      | Floating      | 8.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31396VHJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    943065 | PA      | $107837.90     | 0.00%             | 2037-04-25      | Floating      | 2.66%                 | No            |                  2 | On Loan: No      |
| Renaissance Home Equity Loan T | Renaissance Home Equity Loan Trust 2007-1                                        | CUSIP: 75970JAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3486895 | PA      | $832798.41     | 0.00%             | 2037-04-25      | Variable      | 5.51%                 | No            |                  2 | On Loan: No      |
| Renaissance Home Equity Loan T | Renaissance Home Equity Loan Trust 2007-1                                        | CUSIP: 75970JAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2781357 | PA      | $694632.24     | 0.00%             | 2037-04-25      | Variable      | 5.76%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2005-QS5 Trust                                                       | CUSIP: 76110H2Z1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    362187 | PA      | $366554.30     | 0.00%             | 2035-04-25      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2005-QS13 Trust                                                      | CUSIP: 761118HA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1150530 | PA      | $917632.48     | 0.00%             | 2035-09-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2005-QS17 Trust                                                      | CUSIP: 761118PQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    557633 | PA      | $485255.71     | 0.00%             | 2035-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Starwood Commercial Mortgage T | STWD 2021-FL2 Ltd                                                                | CUSIP: 78486BAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4104791 | PA      | $4105784.54    | 0.01%             | 2038-04-18      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Specialty Underwriting & Resid | Specialty Underwriting & Residential Finance Trust Series 2007-AB1               | CUSIP: 84752CAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11483481 | PA      | $5926243.37    | 0.02%             | 2037-03-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| Starwood Mortgage Residential  | Starwood Mortgage Residential Trust 2021-2                                       | CUSIP: 85573HAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $4220618.00    | 0.01%             | 2065-05-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| Structured Asset Investment Lo | Structured Asset Investment Loan Trust 2006-4                                    | CUSIP: 86360WAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  20641919 | PA      | $7657943.45    | 0.02%             | 2036-07-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Co | Structured Asset Securities Corp Mortgage Loan Trust 2007-BC4                    | CUSIP: 86365DAH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  20127500 | PA      | $16785010.61   | 0.05%             | 2037-11-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-15CB                                                 | CUSIP: 021467AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  26973642 | PA      | $12010378.12   | 0.04%             | 2036-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                 | Fannie Mae-Aces                                                                  | CUSIP: 3136BD5K0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12704184 | PA      | $12122483.85   | 0.04%             | 2033-01-25      | Variable      | 1.46%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137H4QY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  19606255 | PA      | $3866500.57    | 0.01%             | 2051-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC 2020-AFC1 Trust                                                             | CUSIP: 12597MAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4227000 | PA      | $3365214.03    | 0.01%             | 2050-02-25      | Variable      | 3.44%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Mortgage-Backed Trust Series 2006-4                                         | CUSIP: 12637HAU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7094686 | PA      | $2464730.86    | 0.01%             | 2036-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137H5ZV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  19349689 | PA      | $17643301.75   | 0.06%             | 2048-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137HACU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  68811508 | PA      | $49021002.03   | 0.16%             | 2050-08-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137HAF50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  32590835 | PA      | $22457089.33   | 0.07%             | 2050-09-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137HAFA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  14966329 | PA      | $10819747.19   | 0.03%             | 2050-09-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137HHH53<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  30244966 | PA      | $30348183.37   | 0.10%             | 2054-09-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31398PKX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    105406 | PA      | $1957.09       | 0.00%             | 2040-04-25      | Floating      | 2.67%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31398SBZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    242685 | PA      | $277120.06     | 0.00%             | 2040-11-25      | Floating      | 13.39%                | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31398T5K3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2425094 | PA      | $2513628.05    | 0.01%             | 2040-09-25      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31398TQB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    581098 | PA      | $573352.62     | 0.00%             | 2040-08-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AutoNation Finance Trust 2025- | AutoNation Finance Trust 2026-1                                                  | CUSIP: 05330WAF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2200000 | PA      | $2186182.68    | 0.01%             | 2031-10-14      | Fixed         | 4.56%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | Credit Suisse Mortgage Capital Certificates                                      | CUSIP: 12642JDE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8270846 | PA      | $1948015.07    | 0.01%             | 2037-09-26      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Series 2010-17R                                                             | CUSIP: 12645BDA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9121121 | PA      | $8904022.50    | 0.03%             | 2037-06-26      | Variable      | 3.87%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38378VF67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5970899 | PA      | $644011.06     | 0.00%             | 2043-08-20      | Floating      | 2.36%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38380RE71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  31316277 | PA      | $1871250.92    | 0.01%             | 2063-02-16      | Variable      | 0.82%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38380RJ84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  27444564 | PA      | $1453593.10    | 0.00%             | 2063-04-16      | Variable      | 0.72%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38380RR93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        | 150979482 | PA      | $6128755.40    | 0.02%             | 2061-01-16      | Variable      | 0.56%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2007-3                                           | CUSIP: 12543RAM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1354354 | PA      | $600041.23     | 0.00%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC 2017-RPL2 Trust                                                             | CUSIP: 12594YAK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  59451747 | PA      | $46443681.05   | 0.15%             | 2056-02-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| CPT MORTGAGE TRUST             | Century Plaza Towers 2019-CPT                                                    | CUSIP: 12654YAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $4623141.00    | 0.01%             | 2039-11-13      | Fixed         | 2.87%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2005-HYB8                                        | CUSIP: 126694QE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     23286 | PA      | $23345.03      | 0.00%             | 2035-12-20      | Variable      | 5.29%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2006-1                                           | CUSIP: 126694XC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6189240 | PA      | $2954953.57    | 0.01%             | 2036-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mor | CSFB Mortgage-Backed Pass-Through Certificates Series 2005-10                    | CUSIP: 225470EG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    330966 | PA      | $229080.86     | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136A2JW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2640502 | PA      | $2665077.87    | 0.01%             | 2041-11-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BDZ92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9465050 | PA      | $7230015.34    | 0.02%             | 2050-11-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BH5A3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  31640707 | PA      | $5479189.59    | 0.02%             | 2051-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BHPV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  20243064 | PA      | $17908504.66   | 0.06%             | 2051-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BJH65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  18362027 | PA      | $16280586.28   | 0.05%             | 2049-05-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BKJC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  16128110 | PA      | $14316338.02   | 0.05%             | 2049-03-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BKRQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  20910465 | PA      | $18277816.55   | 0.06%             | 2050-03-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BKYY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  41101337 | PA      | $37408168.23   | 0.12%             | 2047-11-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BPPT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13487305 | PA      | $1889557.92    | 0.01%             | 2050-05-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BQFT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  79207222 | PA      | $13267011.67   | 0.04%             | 2052-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381E2N7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  56556918 | PA      | $3352354.76    | 0.01%             | 2064-01-16      | Variable      | 0.71%                 | No            |                  2 | On Loan: No      |
| Nomura Resecuritization Trust  | Nomura Resecuritization Trust 2014-1R                                            | CUSIP: 65540ECP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2544575 | PA      | $2189458.71    | 0.01%             | 2036-08-26      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BXCQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  29789436 | PA      | $29764603.03   | 0.10%             | 2055-05-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BXN42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  54506568 | PA      | $54739671.25   | 0.18%             | 2055-10-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136G5EA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  80000000 | PA      | $77255488.00   | 0.25%             | 2052-02-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31393DJL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    288120 | PA      | $294625.46     | 0.00%             | 2033-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31395NYT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1636357 | PA      | $137470.85     | 0.00%             | 2036-07-25      | Floating      | 2.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31396LBJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    211194 | PA      | $13906.55      | 0.00%             | 2036-10-25      | Floating      | 2.82%                 | No            |                  2 | On Loan: No      |
| Banc of America Alternative Lo | Banc of America Alternative Loan Trust 2005-11                                   | CUSIP: 05948KV55<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1296281 | PA      | $1230730.57    | 0.00%             | 2035-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust       | Benchmark 2021-B29 Mortgage Trust                                                | CUSIP: 08163JAH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  66420000 | PA      | $2176729.52    | 0.01%             | 2054-09-15      | Variable      | 0.70%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust       | Benchmark 2024-V9 Mortgage Trust                                                 | CUSIP: 081919AN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  21999000 | PA      | $22582703.87   | 0.07%             | 2057-08-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| BMO Mortgage Trust             | BMO 2024-5C4 Mortgage Trust                                                      | CUSIP: 09660SAU4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  17591000 | PA      | $18443984.07   | 0.06%             | 2057-05-15      | Variable      | 6.53%                 | No            |                  2 | On Loan: No      |
| BMO Mortgage Trust             | BMO 2025-5C11 Mortgage Trust                                                     | CUSIP: 096941AF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7371000 | PA      | $7585291.92    | 0.02%             | 2058-07-15      | Fixed         | 5.94%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trus | BRAVO Residential Funding Trust 2024-NQM2                                        | CUSIP: 10569KAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3041000 | PA      | $3072246.88    | 0.01%             | 2064-02-25      | Fixed         | 7.91%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trus | BRAVO Residential Funding Trust Series 2025-NQM8                                 | CUSIP: 10571JAF3<br>LEI: 254900Z6C8GAQR4M4U49 | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1494574.80    | 0.00%             | 2065-06-25      | Variable      | 5.82%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust | Carvana Auto Receivables Trust 2024-P3                                           | CUSIP: 146919AE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10770000 | PA      | $10761806.18   | 0.03%             | 2030-11-11      | Fixed         | 4.53%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC               | COLT 2021-HX1 Mortgage Loan Trust                                                | CUSIP: 19688KAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4294000 | PA      | $3230754.07    | 0.01%             | 2066-10-25      | Variable      | 3.11%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC               | Colt 2024-7 Mortgage Loan Trust                                                  | CUSIP: 19688YAD6<br>LEI: 213800EA95GXXC9AJO50 | Long             | ABS-MBS          | CORP              | US        |  10168000 | PA      | $10235897.84   | 0.03%             | 2069-12-26      | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC               | COLT 2026-2 Mortgage Loan Trust                                                  | CUSIP: 19689FAK0<br>LEI: 213800O4MIR3K4EURE50 | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $5004260.00    | 0.02%             | 2071-03-25      | Variable      | 5.19%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust            | COMM 2018-HCLV Mortgage Trust                                                    | CUSIP: 20048KAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  18570000 | PA      | $17514468.18   | 0.06%             | 2033-09-15      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-OA7                                                  | CUSIP: 02146BAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1898584 | PA      | $1890889.54    | 0.01%             | 2046-06-25      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-30T1                                                 | CUSIP: 02146VAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2214476 | PA      | $1600156.68    | 0.01%             | 2036-11-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-36T2                                                 | CUSIP: 02146XAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7266494 | PA      | $2815931.25    | 0.01%             | 2036-12-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Novastar Home Equity Loan      | NovaStar Mortgage Funding Trust Series 2006-3                                    | CUSIP: 66988WAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6973074 | PA      | $3198649.54    | 0.01%             | 2036-10-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC       | OBX 2025-R1 Trust                                                                | CUSIP: 67123GAE5<br>LEI: 254900UIO03AL696QM79 | Long             | ABS-MBS          | CORP              | US        |   7678146 | PA      | $7625832.11    | 0.02%             | 2062-09-25      | Variable      | 5.19%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-39CB                                                 | CUSIP: 02148JAZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4303621 | PA      | $444655.73     | 0.00%             | 2037-01-25      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-45T1                                                 | CUSIP: 02149JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9722627 | PA      | $3260823.40    | 0.01%             | 2037-02-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC       | OBX 2024-NQM15 Trust                                                             | CUSIP: 67449DAD1<br>LEI: 254900YXEB756F6RCA13 | Long             | ABS-MBS          | CORP              | US        |  11380000 | PA      | $11374335.04   | 0.04%             | 2064-10-25      | Variable      | 5.97%                 | No            |                  2 | On Loan: No      |
| Option One Mortgage Loan Trust | Option One Mortgage Loan Trust 2007-6                                            | CUSIP: 68403KAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  43211069 | PA      | $39136174.02   | 0.13%             | 2037-07-25      | Floating      | 3.98%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I  | RFMSI Series 2006-S5 Trust                                                       | CUSIP: 74957EAM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    836258 | PA      | $713142.37     | 0.00%             | 2036-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I  | RFMSI Series 2006-S5 Trust                                                       | CUSIP: 74957EAQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     57254 | PA      | $48824.73      | 0.00%             | 2036-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I  | RFMSI Series 2007-S5 Trust                                                       | CUSIP: 749580AH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2485325 | PA      | $2077354.77    | 0.01%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati | Residential Asset Securitization Trust 2007-A3                                   | CUSIP: 76113WAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    696712 | PA      | $758005.12     | 0.00%             | 2037-04-25      | Floating      | 17.30%                | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati | Residential Asset Securitization Trust 2007-A7                                   | CUSIP: 76114QAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7700488 | PA      | $2744307.78    | 0.01%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Rockford Tower CLO Ltd         | Rockford Tower CLO 2018-2 Ltd                                                    | CUSIP: 77342KAC4<br>LEI: 5493001SZ764RMCNU069 | Long             | ABS-CBDO         | CORP              | US        |   2525000 | PA      | $2526189.02    | 0.01%             | 2031-10-20      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31396LHY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1110771 | PA      | $133849.35     | 0.00%             | 2036-10-25      | Floating      | 2.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31396Q7B9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    738312 | PA      | $731717.03     | 0.00%             | 2039-10-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31396QKB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    186927 | PA      | $185422.50     | 0.00%             | 2039-07-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31396WMD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    655496 | PA      | $688641.59     | 0.00%             | 2047-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31396YF72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    974389 | PA      | $969380.40     | 0.00%             | 2038-04-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31397QZE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    144794 | PA      | $10369.80      | 0.00%             | 2041-03-25      | Floating      | 2.69%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31397SVV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       529 | PA      | $527.66        | 0.00%             | 2026-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31397SWN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    993618 | PA      | $981589.69     | 0.00%             | 2041-05-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31397UAB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3367960 | PA      | $3317096.59    | 0.01%             | 2041-05-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31398GVG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1308280 | PA      | $1296784.47    | 0.00%             | 2040-01-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31418ALY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1082568 | PA      | $1010594.74    | 0.00%             | 2042-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31418B5K8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13077418 | PA      | $11569101.97   | 0.04%             | 2046-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31418B5L6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12065827 | PA      | $11232873.71   | 0.04%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31418BMQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8350348 | PA      | $7773938.17    | 0.03%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31418CEF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10543741 | PA      | $9523253.15    | 0.03%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31418DKG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1110982 | PA      | $1102619.95    | 0.00%             | 2031-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust        | GSR Mortgage Loan Trust 2006-9F                                                  | CUSIP: 3622X7AF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9291711 | PA      | $3148226.93    | 0.01%             | 2036-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust        | GSR Mortgage Loan Trust 2007-4F                                                  | CUSIP: 362669AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    156238 | PA      | $481380.86     | 0.00%             | 2037-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| IndyMac IMJA Mortgage Loan Tru | IndyMac IMJA Mortgage Loan Trust 2007-A2                                         | CUSIP: 456654AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6926499 | PA      | $2735789.62    | 0.01%             | 2037-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan  | New Residential Mortgage Loan Trust 2020-RPL1                                    | CUSIP: 64828XAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  62504400 | PA      | $55526796.31   | 0.18%             | 2059-11-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan  | New Residential Mortgage Loan Trust 2020-RPL1                                    | CUSIP: 64828XAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  16345550 | PA      | $14224963.34   | 0.05%             | 2059-11-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                                                 | CUSIP: 912810RK6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 108150000 | PA      | $75878208.71   | 0.24%             | 2045-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                                                 | CUSIP: 912810SR0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 300205000 | PA      | $189211238.06  | 0.61%             | 2040-05-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                                                 | CUSIP: 912810SW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 320590000 | PA      | $222215204.87  | 0.71%             | 2041-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2007-19                                                   | CUSIP: 02151ABK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10347278 | PA      | $4667228.95    | 0.02%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2007-15CB                                                 | CUSIP: 02151CAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4720829 | PA      | $2593965.97    | 0.01%             | 2037-07-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2007-24                                                   | CUSIP: 02151GAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4088700 | PA      | $894322.48     | 0.00%             | 2037-10-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Bank                           | BANK 2021-BNK38                                                                  | CUSIP: 06540EBH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10388000 | PA      | $368796.85     | 0.00%             | 2064-12-15      | Variable      | 0.72%                 | No            |                  2 | On Loan: No      |
| Bank                           | BANK 2019-BNK24                                                                  | CUSIP: 06540VAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  26932000 | PA      | $914163.65     | 0.00%             | 2062-11-15      | Variable      | 1.02%                 | No            |                  2 | On Loan: No      |
| Bank                           | BANK 2019-BNK22                                                                  | CUSIP: 06540XAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  18082333 | PA      | $570289.66     | 0.00%             | 2062-11-15      | Variable      | 0.95%                 | No            |                  2 | On Loan: No      |
| Bank                           | BANK 2017-BNK5                                                                   | CUSIP: 06541WAY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  62808633 | PA      | $529062.24     | 0.00%             | 2060-06-15      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| Bank5                          | BANK5 2025-5YR15                                                                 | CUSIP: 065924AP7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9640000 | PA      | $9890284.28    | 0.03%             | 2058-07-15      | Fixed         | 5.76%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2006-J3                                          | CUSIP: 125433AD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    153443 | PA      | $153060.52     | 0.00%             | 2036-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2007-5                                           | CUSIP: 12544VAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1056696 | PA      | $488087.28     | 0.00%             | 2037-05-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Upgrade Master Pass-Thru Trust | Upgrade Master Pass-Thru Trust Series 2021-PT1                                   | CUSIP: 91533TAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     59455 | PA      | $46626.98      | 0.00%             | 2027-04-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust   | Upstart Securitization Trust 2025-4                                              | CUSIP: 91684AAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  16900000 | PA      | $16907797.66   | 0.05%             | 2035-11-20      | Fixed         | 4.56%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust   | Upstart Securitization Trust                                                     | CUSIP: 91684NAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3830133 | PA      | $3840979.35    | 0.01%             | 2034-11-20      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo | Velocity Commercial Capital Loan Trust 2019-2                                    | CUSIP: 92257NAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1906740 | PA      | $1768969.90    | 0.01%             | 2049-07-25      | Variable      | 3.26%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-AR4 Trust | CUSIP: 939345AB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4582392 | PA      | $3537566.38    | 0.01%             | 2046-06-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-5 Trust   | CUSIP: 93934NAH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    949857 | PA      | $746115.57     | 0.00%             | 2036-07-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-5 Trust   | CUSIP: 93934NAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2139607 | PA      | $1525705.06    | 0.00%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-9 Trust   | CUSIP: 93935WAH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2686826 | PA      | $782763.20     | 0.00%             | 2036-10-25      | Variable      | 4.02%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2007-3 Trust   | CUSIP: 93936JAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2360337 | PA      | $2063147.90    | 0.01%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Alternative Loan T | Wells Fargo Alternative Loan 2007-PA1 Trust                                      | CUSIP: 94984TAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1619493 | PA      | $1496300.51    | 0.00%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-J1                                                   | CUSIP: 12668BKG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1575640 | PA      | $1039855.26    | 0.00%             | 2036-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2005-HYB8                                        | CUSIP: 126694QJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4497894 | PA      | $4111830.76    | 0.01%             | 2035-12-20      | Variable      | 4.49%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2003-60                                          | CUSIP: 12669FJF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    309226 | PA      | $310468.90     | 0.00%             | 2034-02-25      | Variable      | 6.21%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2007-13                                          | CUSIP: 17025JAK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4556551 | PA      | $1988241.51    | 0.01%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust  | Citigroup Mortgage Loan Trust 2021-RP2                                           | CUSIP: 17329JAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  28635750 | PA      | $23491068.34   | 0.08%             | 2065-03-25      | Variable      | 3.40%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2007-HYB1                                        | CUSIP: 22239EAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7209906 | PA      | $6192832.46    | 0.02%             | 2037-03-25      | Variable      | 3.96%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                                            | CUSIP: 3128MJXJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  47028936 | PA      | $42670408.24   | 0.14%             | 2045-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                                            | CUSIP: 3128P7SA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3973838 | PA      | $3907265.60    | 0.01%             | 2031-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3138YRUA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3783463 | PA      | $3543664.26    | 0.01%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140HYLV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6118082 | PA      | $4803260.22    | 0.02%             | 2050-05-01      | Fixed         | 2.66%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140J0ED8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3568101 | PA      | $2682940.95    | 0.01%             | 2040-07-01      | Fixed         | 2.23%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140LC2N0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3000000 | PA      | $2573107.38    | 0.01%             | 2033-08-01      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140LDEG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9975000 | PA      | $7281982.62    | 0.02%             | 2041-08-01      | Fixed         | 2.24%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140LEUB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  20165941 | PA      | $17914293.90   | 0.06%             | 2031-12-01      | Fixed         | 1.94%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140LEVT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  18199000 | PA      | $14838743.74   | 0.05%             | 2037-01-01      | Fixed         | 2.36%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag | Wells Fargo Commercial Mortgage Trust 2025-5C4                                   | CUSIP: 949931AD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  69272684 | PA      | $2818372.98    | 0.01%             | 2058-05-15      | Variable      | 1.12%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag | Wells Fargo Commercial Mortgage Trust 2016-NXS6                                  | CUSIP: 95000KBE4<br>LEI: 549300CFP9NBBMZH1008 | Long             | ABS-MBS          | CORP              | US        |  65147551 | PA      | $53127.83      | 0.00%             | 2049-11-15      | Variable      | 1.47%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag | Wells Fargo Commercial Mortgage Trust 2019-C51                                   | CUSIP: 95001VAY6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3193000 | PA      | $2784236.61    | 0.01%             | 2052-06-15      | Variable      | 3.84%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag | Wells Fargo Commercial Mortgage Trust 2019-C50                                   | CUSIP: 95001XBF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  57632000 | PA      | $1835723.29    | 0.01%             | 2052-05-15      | Variable      | 1.39%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                                            | CUSIP: 3128S1NH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    881482 | PA      | $843157.84     | 0.00%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                                            | CUSIP: 3132FCDW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  63984499 | PA      | $58579035.34   | 0.19%             | 2045-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag | Wells Fargo Commercial Mortgage Trust 2025-5C7                                   | CUSIP: 95004XAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  95056581 | PA      | $5606446.67    | 0.02%             | 2058-12-15      | Variable      | 1.44%                 | No            |                  2 | On Loan: No      |
| N/A                            | US ULTRA BOND CBT Jun26                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |     -6100 | NC      | $20843422.05   | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                                            | CUSIP: 3132FCGP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  56294019 | PA      | $52726041.20   | 0.17%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137A5CS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    425029 | PA      | $408918.70     | 0.00%             | 2041-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu | Bear Stearns Asset Backed Securities I Trust 2007-HE3                            | CUSIP: 073852AE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6123457 | PA      | $5939915.36    | 0.02%             | 2037-04-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Alt-A Trust       | Bear Stearns ALT-A Trust 2004-11                                                 | CUSIP: 07386HMX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    110853 | PA      | $112952.81     | 0.00%             | 2034-11-25      | Variable      | 5.20%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Alt-A Trust       | Bear Stearns ALT-A Trust 2007-1                                                  | CUSIP: 07386XAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4215084 | PA      | $3976979.99    | 0.01%             | 2047-01-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu | Bear Stearns Asset Backed Securities I Trust 2004-AC4                            | CUSIP: 073879EB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2022527 | PA      | $1982521.59    | 0.01%             | 2034-08-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu | Bear Stearns Asset Backed Securities Trust 2007-SD1                              | CUSIP: 07389QAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    874977 | PA      | $251782.99     | 0.00%             | 2036-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu | Bear Stearns Asset Backed Securities Trust 2007-SD1                              | CUSIP: 07389QAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1328304 | PA      | $422765.49     | 0.00%             | 2036-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu | Bear Stearns Asset Backed Securities I Trust 2006-HE10                           | CUSIP: 07389RAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12634447 | PA      | $12484117.64   | 0.04%             | 2036-12-25      | Floating      | 4.32%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Adjustable Rate M | Bear Stearns ARM Trust 2007-2                                                    | CUSIP: 07401EAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7373599 | PA      | $6226866.40    | 0.02%             | 2046-12-25      | Floating      | 6.27%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust       | Benchmark 2020-B18 Mortgage Trust                                                | CUSIP: 08163AAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  69467454 | PA      | $3565354.57    | 0.01%             | 2053-07-15      | Variable      | 1.74%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137A77D6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1041061 | PA      | $1001612.82    | 0.00%             | 2041-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137B3MY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  19309604 | PA      | $12566317.61   | 0.04%             | 2043-07-15      | Floating      | 0.87%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137B4QW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8852526 | PA      | $6764353.22    | 0.02%             | 2043-09-15      | Floating      | 1.81%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137BCZY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    988449 | PA      | $940646.74     | 0.00%             | 2044-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor | Banc of America Funding 2006-7 Trust                                             | CUSIP: 05951KBE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1787988 | PA      | $1617808.31    | 0.01%             | 2036-10-25      | Variable      | 6.41%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor | Banc of America Funding 2010-R1 Trust                                            | CUSIP: 05955VAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    464330 | PA      | $446434.06     | 0.00%             | 2036-07-26      | Floating      | 8.42%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor | Banc of America Funding 2015-R2 Trust                                            | CUSIP: 05990TAK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  16285711 | PA      | $13595993.93   | 0.04%             | 2036-09-29      | Floating      | 3.33%                 | No            |                  2 | On Loan: No      |
| CD Commercial Mortgage Trust   | CD 2017-CD4 Mortgage Trust                                                       | CUSIP: 12515DAS3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  64200580 | PA      | $439485.07     | 0.00%             | 2050-05-10      | Variable      | 1.20%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137BDXE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  14946830 | PA      | $12878314.45   | 0.04%             | 2054-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137BJGQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1570154 | PA      | $1564922.67    | 0.01%             | 2041-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Benchmark 2024-V8 Mortgage Tru | Benchmark 2024-V8 Mortgage Trust                                                 | CUSIP: 08190AAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6966000 | PA      | $7153318.53    | 0.02%             | 2057-07-15      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust  | Citigroup Mortgage Loan Trust 2019-A                                             | CUSIP: 17327JBY3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  88334821 | PA      | $73503139.23   | 0.24%             | 2058-10-25      | Fixed         | 3.92%                 | No            |                  2 | On Loan: No      |
| FRTKL                          | FRTKL 2021-SFR1                                                                  | CUSIP: 30322DAS8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7750000 | PA      | $7630750.75    | 0.02%             | 2038-09-17      | Fixed         | 2.37%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                                            | CUSIP: 3128E6YV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4312370 | PA      | $4181076.73    | 0.01%             | 2032-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip               | Freddie Mac Strips                                                               | CUSIP: 31325YB80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  80272431 | PA      | $11989784.86   | 0.04%             | 2052-03-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                 | Fannie Mae-Aces                                                                  | CUSIP: 3136B9DK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  52391039 | PA      | $1833372.00    | 0.01%             | 2031-03-25      | Variable      | 1.24%                 | No            |                  2 | On Loan: No      |
| Carrington Mortgage Loan Trust | Carrington Mortgage Loan Trust Series 2006-NC5                                   | CUSIP: 144539AC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  18796792 | PA      | $17196234.34   | 0.06%             | 2037-01-25      | Floating      | 3.94%                 | No            |                  2 | On Loan: No      |
| CBAM CLO Management LLC        | CBAM 2017-1 Ltd                                                                  | CUSIP: 14987LAC5<br>LEI: 254900JWJFDB3KD6V066 | Long             | ABS-CBDO         | CORP              | US        |  18000000 | PA      | $18018601.20   | 0.06%             | 2038-01-20      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities INC  | Deutsche Alt-A Securities Mortgage Loan Trust Series 2007-OA3                    | CUSIP: 25150WAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13068436 | PA      | $11587279.49   | 0.04%             | 2047-07-25      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities INC  | Deutsche Alt-A Securities Inc Mortgage Loan Trust Series 2005-5                  | CUSIP: 251510HV8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1268844 | PA      | $82664.02      | 0.00%             | 2035-11-25      | Floating      | 1.51%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities INC  | Deutsche Alt-B Securities Mortgage Loan Trust Series 2006-AB4                    | CUSIP: 251513BC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1558578 | PA      | $1357421.45    | 0.00%             | 2036-10-25      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| FBR Securitization Trust       | FBR Securitization Trust                                                         | CUSIP: 30246QCR2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5500000 | PA      | $5272241.70    | 0.02%             | 2035-11-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                 | Fannie Mae-Aces                                                                  | CUSIP: 3136BAST2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  92276646 | PA      | $2004442.54    | 0.01%             | 2031-03-25      | Variable      | 0.86%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31398LHN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    625124 | PA      | $22143.57      | 0.00%             | 2032-03-15      | Floating      | 2.56%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31398W4N1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1595618 | PA      | $1637994.39    | 0.01%             | 2036-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140QFQZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9907098 | PA      | $8950460.22    | 0.03%             | 2040-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip               | Freddie Mac Strips                                                               | CUSIP: 3128HX2L8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  25538456 | PA      | $23442669.68   | 0.08%             | 2042-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip               | Freddie Mac Strips                                                               | CUSIP: 3128HXRT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9153897 | PA      | $8358830.73    | 0.03%             | 2042-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                 | CUSIP: 3132DS6B3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12661254 | PA      | $13135891.00   | 0.04%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                 | CUSIP: 3132DVMM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  19308093 | PA      | $19314297.81   | 0.06%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136AEJM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    994109 | PA      | $543122.78     | 0.00%             | 2043-06-25      | Floating      | 0.34%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136AKUJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    117713 | PA      | $83945.26      | 0.00%             | 2043-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136AQZU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  27124362 | PA      | $26173471.43   | 0.08%             | 2044-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                 | Fannie Mae-Aces                                                                  | CUSIP: 3136B7FY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        | 251168230 | PA      | $6946986.73    | 0.02%             | 2029-03-25      | Variable      | 1.24%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                 | Fannie Mae-Aces                                                                  | CUSIP: 3136B9EK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        | 146337404 | PA      | $738652.68     | 0.00%             | 2027-12-25      | Variable      | 0.71%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31397RK54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    120760 | PA      | $8999.81       | 0.00%             | 2038-02-15      | Floating      | 2.39%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31398TQ95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4148546 | PA      | $130222.43     | 0.00%             | 2040-09-25      | Floating      | 0.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31398TVD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    682605 | PA      | $675966.27     | 0.00%             | 2040-08-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140LEZZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  17391929 | PA      | $15492377.02   | 0.05%             | 2032-01-01      | Fixed         | 1.99%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140LFQD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  20155000 | PA      | $18321705.43   | 0.06%             | 2032-04-01      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140LHVE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        | 159468000 | PA      | $157726266.58  | 0.51%             | 2032-12-01      | Fixed         | 4.33%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140LKTP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8333000 | PA      | $8552810.54    | 0.03%             | 2030-06-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140QNPA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  58517253 | PA      | $52110938.97   | 0.17%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140QP2Z9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  44123164 | PA      | $42845331.76   | 0.14%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137F4ZU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  22959491 | PA      | $20543826.84   | 0.07%             | 2048-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31393NY94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    118374 | PA      | $119640.18     | 0.00%             | 2033-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140QTEH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  20894617 | PA      | $21404747.18   | 0.07%             | 2053-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140QTHK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  14929749 | PA      | $15277735.62   | 0.05%             | 2053-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140XFAK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  29107836 | PA      | $26814266.43   | 0.09%             | 2051-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140XJEK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13313268 | PA      | $12625294.38   | 0.04%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31417D2K8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  19408312 | PA      | $17795426.59   | 0.06%             | 2042-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31417DBT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2632914 | PA      | $2551051.88    | 0.01%             | 2032-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31417FK80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3229767 | PA      | $3123355.54    | 0.01%             | 2033-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31417GN36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2373046 | PA      | $2293418.67    | 0.01%             | 2033-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31417YSY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    357009 | PA      | $354586.34     | 0.00%             | 2030-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31418AKX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11696450 | PA      | $10918837.52   | 0.04%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31418B6K7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4051735 | PA      | $3584401.00    | 0.01%             | 2046-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31418BK47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3944487 | PA      | $3672234.31    | 0.01%             | 2044-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140QUBG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  35834095 | PA      | $36561810.64   | 0.12%             | 2054-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mort | First Horizon Alternative Mortgage Securities Trust 2006-FA1                     | CUSIP: 32051GT70<br>LEI: 5493005TE20WPW8O1W08 | Long             | ABS-MBS          | CORP              | US        |   1776886 | PA      | $696932.59     | 0.00%             | 2036-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31418CGD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13385034 | PA      | $12011759.40   | 0.04%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                | Fannie Mae Interest Strip                                                        | CUSIP: 31423YJR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  27529725 | PA      | $4061307.22    | 0.01%             | 2050-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| First Horizon Mortgage Pass-Th | First Horizon Mortgage Pass-Through Trust 2006-1                                 | CUSIP: 32051GZ99<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    863883 | PA      | $327487.95     | 0.00%             | 2036-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mort | First Horizon Alternative Mortgage Securities Trust 2006-RE1                     | CUSIP: 32051RAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2369074 | PA      | $1405814.77    | 0.00%             | 2035-05-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mort | First Horizon Alternative Mortgage Securities Trust 2007-FA4                     | CUSIP: 32052WAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1016843 | PA      | $327774.17     | 0.00%             | 2037-08-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mort | First Horizon Alternative Mortgage Securities Trust 2007-FA3                     | CUSIP: 32053GAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10082835 | PA      | $2973610.47    | 0.01%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GCAT                           | GCAT 2026-NQM2 Trust                                                             | CUSIP: 36173JAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  20950000 | PA      | $21011299.70   | 0.07%             | 2071-02-25      | Variable      | 5.45%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae II Pool                                                               | CUSIP: 3617WRPK3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6746026 | PA      | $5745063.60    | 0.02%             | 2052-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae II Pool                                                               | CUSIP: 3617XBD95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  23516314 | PA      | $20027159.25   | 0.06%             | 2052-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae II Pool                                                               | CUSIP: 3622AAYF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  21395596 | PA      | $18433155.26   | 0.06%             | 2051-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust        | GSR Mortgage Loan Trust 2007-1F                                                  | CUSIP: 3622MPAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     43069 | PA      | $275243.23     | 0.00%             | 2037-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GoodLeap Home Improvement Solu | GoodLeap Home Improvement Solutions Trust 2024-1                                 | CUSIP: 381935AA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  12593884 | PA      | $12705320.02   | 0.04%             | 2046-10-20      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| GoodLeap Home Improvement Solu | GoodLeap Home Improvement Solutions Trust 2025-2                                 | CUSIP: 38238FAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10072390 | PA      | $10138805.74   | 0.03%             | 2049-06-20      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38374T4F8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1050577 | PA      | $1052347.84    | 0.00%             | 2039-06-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38374TAP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2036090 | PA      | $173859.91     | 0.00%             | 2039-02-16      | Floating      | 2.86%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38376TYT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2216906 | PA      | $167295.94     | 0.00%             | 2040-01-16      | Floating      | 1.96%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38380RUJ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        | 245753392 | PA      | $16740180.43   | 0.05%             | 2063-05-16      | Variable      | 0.97%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381DAX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        | 314777388 | PA      | $16087422.41   | 0.05%             | 2063-04-16      | Variable      | 0.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381DM23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  63939476 | PA      | $4331797.16    | 0.01%             | 2063-04-16      | Variable      | 0.91%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381DND8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        | 125240066 | PA      | $8243476.48    | 0.03%             | 2063-11-16      | Variable      | 0.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381DP87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  80020540 | PA      | $4759157.61    | 0.02%             | 2063-04-16      | Variable      | 0.82%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381DZY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        | 107261801 | PA      | $7248806.11    | 0.02%             | 2063-10-16      | Variable      | 0.97%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381E4P0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        | 251356991 | PA      | $10154068.38   | 0.03%             | 2064-06-16      | Variable      | 0.60%                 | No            |                  2 | On Loan: No      |
| Home Owner Mortgage Enhanced S | HOMES 2026-AFC1 Trust                                                            | CUSIP: 403972AH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2500000 | PA      | $2456759.75    | 0.01%             | 2061-02-25      | Variable      | 5.55%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mort | First Horizon Alternative Mortgage Securities Trust 2005-FA8                     | CUSIP: 32051GYJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3065198 | PA      | $1303471.31    | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| firstkey homes 2020-sfr1 trust | FirstKey Homes 2021-SFR2 Trust                                                   | CUSIP: 33767TAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8000000 | PA      | $7901266.40    | 0.03%             | 2038-09-17      | Fixed         | 2.06%                 | No            |                  2 | On Loan: No      |
| FirstKey Homes  2021-SFR3 Trus | FirstKey Homes 2021-SFR3 Trust                                                   | CUSIP: 33768JAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  29584000 | PA      | $29070649.56   | 0.09%             | 2038-12-17      | Fixed         | 2.54%                 | No            |                  2 | On Loan: No      |
| FirstKey Homes  2021-SFR3 Trus | FirstKey Homes 2021-SFR3 Trust                                                   | CUSIP: 33768JAJ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  45314000 | PA      | $44534739.67   | 0.14%             | 2038-12-17      | Fixed         | 2.98%                 | No            |                  2 | On Loan: No      |
| FirstKey Homes  2021-SFR3 Trus | FirstKey Homes 2021-SFR3 Trust                                                   | CUSIP: 33768JAQ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10174000 | PA      | $9995008.82    | 0.03%             | 2038-12-17      | Fixed         | 3.58%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381EXD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        | 137610490 | PA      | $6663347.63    | 0.02%             | 2064-03-16      | Variable      | 0.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381H3W9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  50761558 | PA      | $3634405.76    | 0.01%             | 2065-02-16      | Variable      | 0.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381HDL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        | 117429700 | PA      | $4431832.09    | 0.01%             | 2063-10-16      | Variable      | 0.54%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381HFS5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        | 195317147 | PA      | $6813951.18    | 0.02%             | 2064-06-16      | Variable      | 0.48%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381JMN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        | 417510539 | PA      | $14560596.55   | 0.05%             | 2059-08-16      | Variable      | 0.68%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381LA77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        | 192793016 | PA      | $10830301.91   | 0.03%             | 2064-06-16      | Variable      | 0.74%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381MNR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  74495320 | PA      | $5592222.15    | 0.02%             | 2066-07-16      | Variable      | 0.93%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382GQP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  14240134 | PA      | $1913862.61    | 0.01%             | 2050-07-20      | Floating      | 2.36%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382L2G5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  32227255 | PA      | $5458910.21    | 0.02%             | 2050-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382L2Q3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  76977911 | PA      | $10482066.77   | 0.03%             | 2050-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382LAD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  24316652 | PA      | $18539647.96   | 0.06%             | 2050-11-20      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382LNV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        | 105774987 | PA      | $15544099.80   | 0.05%             | 2050-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382LVR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  40141132 | PA      | $5801609.79    | 0.02%             | 2050-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31398C5A2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1512242 | PA      | $109654.36     | 0.00%             | 2038-02-15      | Floating      | 1.76%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31398WVN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2016335 | PA      | $2068548.02    | 0.01%             | 2037-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382THS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  38443120 | PA      | $31712364.13   | 0.10%             | 2051-05-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382XU86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  38508972 | PA      | $6746845.10    | 0.02%             | 2051-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38383A2M5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  34760923 | PA      | $4077685.70    | 0.01%             | 2051-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38383AJE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  32962495 | PA      | $4703213.98    | 0.02%             | 2051-09-20      | Floating      | 2.51%                 | No            |                  2 | On Loan: No      |
| AutoNation Finance Trust 2025- | AutoNation Finance Trust 2026-1                                                  | CUSIP: 05330WAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4300000 | PA      | $4278678.02    | 0.01%             | 2031-06-11      | Fixed         | 4.42%                 | No            |                  2 | On Loan: No      |
| Avant Credit Card Master Trust | Avant Credit Card Master Trust 2025-1                                            | CUSIP: 05351KAT6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  13500000 | PA      | $13304150.10   | 0.04%             | 2031-04-15      | Fixed         | 5.72%                 | No            |                  2 | On Loan: No      |
| Bain Capital Credit CLO, Limit | Bain Capital Credit Clo 2019-4 Ltd                                               | CUSIP: 05684AAY5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   8000000 | PA      | $7985585.60    | 0.03%             | 2035-04-23      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140HR6G3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  43163102 | PA      | $38310551.50   | 0.12%             | 2048-12-01      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140HXP20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8190000 | PA      | $7124760.28    | 0.02%             | 2035-02-01      | Fixed         | 2.73%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140JBTP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  76407065 | PA      | $67187550.45   | 0.22%             | 2031-12-01      | Variable      | 1.83%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140KSEE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7713775 | PA      | $6092508.01    | 0.02%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140LE5P8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  53950000 | PA      | $47741851.57   | 0.15%             | 2032-01-01      | Fixed         | 1.96%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140LEMD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7339000 | PA      | $5902201.18    | 0.02%             | 2036-12-01      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Hilton USA Trust               | Hilton USA Trust 2016-SFP                                                        | CUSIP: 43289VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5692000 | PA      | $4880295.19    | 0.02%             | 2035-11-05      | Fixed         | 2.83%                 | No            |                  2 | On Loan: No      |
| Homebanc Mortgage Trust        | HomeBanc Mortgage Trust 2005-3                                                   | CUSIP: 43739EBQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10350000 | PA      | $9890312.00    | 0.03%             | 2035-07-25      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| Invitation Homes Trust         | Invitation Homes 2024-SFR1 Trust                                                 | CUSIP: 46188DAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  33442000 | PA      | $32434158.45   | 0.10%             | 2041-09-17      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Secu | JPMBB Commercial Mortgage Securities Trust 2015-C32                              | CUSIP: 46590JAY3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  18226639 | PA      | $182.27        | 0.00%             | 2048-11-15      | Variable      | 0.77%                 | No            |                  2 | On Loan: No      |
| Banc of America Alternative Lo | Banc of America Alternative Loan Trust 2005-10                                   | CUSIP: 05948KS42<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    378897 | PA      | $335907.74     | 0.00%             | 2035-11-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor | Banc of America Funding 2006 8T2 Trust                                           | CUSIP: 05951UAH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    465023 | PA      | $413294.33     | 0.00%             | 2036-10-25      | Variable      | 6.60%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor | Banc of America Funding 2014-R8 Trust                                            | CUSIP: 05969MAB5<br>LEI: 5493001796TAQ7M7QX12 | Long             | ABS-MBS          | CORP              | US        |   9763664 | PA      | $8012428.56    | 0.03%             | 2036-06-26      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| Banc of America Alternative Lo | Banc of America Alternative Loan Trust 2006-8                                    | CUSIP: 06050AAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    408656 | PA      | $321097.12     | 0.00%             | 2036-11-25      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| Bank                           | BANK 2019-BNK16                                                                  | CUSIP: 065405AG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2290000 | PA      | $2152697.55    | 0.01%             | 2052-02-15      | Variable      | 4.44%                 | No            |                  2 | On Loan: No      |
| Bank                           | BANK 2021-BNK35                                                                  | CUSIP: 06540CBM8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 112743000 | PA      | $3239422.07    | 0.01%             | 2064-06-15      | Variable      | 0.60%                 | No            |                  2 | On Loan: No      |
| Bank                           | BANK 2020-BNK30                                                                  | CUSIP: 06541UCC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  62007000 | PA      | $1767509.54    | 0.01%             | 2053-12-15      | Variable      | 0.72%                 | No            |                  2 | On Loan: No      |
| Bank                           | BANK 2021-BNK32                                                                  | CUSIP: 06542BBN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  42277334 | PA      | $1135873.58    | 0.00%             | 2054-04-15      | Variable      | 0.76%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                 | CUSIP: 3132DVLQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  13345230 | PA      | $11467989.41   | 0.04%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                 | CUSIP: 3132DVMS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  73755744 | PA      | $76432058.92   | 0.25%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140LEY84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12000000 | PA      | $10030889.76   | 0.03%             | 2034-01-01      | Fixed         | 2.01%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140LHDZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3573896 | PA      | $3487862.44    | 0.01%             | 2032-09-01      | Fixed         | 3.89%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor | JPMCC Commercial Mortgage Securities Trust 2019-COR5                             | CUSIP: 46591EAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8500000 | PA      | $394132.25     | 0.00%             | 2052-06-13      | Variable      | 1.74%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2005-S2                                                 | CUSIP: 466247VF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    308315 | PA      | $224206.59     | 0.00%             | 2035-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Alternative Loan T | JP Morgan Alternative Loan Trust 2006-S1                                         | CUSIP: 46627MEE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1920214 | PA      | $879000.03     | 0.00%             | 2036-03-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Alternative Loan T | JP Morgan Alternative Loan Trust                                                 | CUSIP: 46628GAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2277071 | PA      | $1928927.92    | 0.01%             | 2036-05-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38383DVY1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  48671963 | PA      | $7337921.49    | 0.02%             | 2051-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38383MB23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  28954150 | PA      | $4296237.10    | 0.01%             | 2052-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                 | CUSIP: 3132XDC76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  49863840 | PA      | $48924859.52   | 0.16%             | 2032-08-01      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                 | CUSIP: 3132XFLB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10500000 | PA      | $10643084.13   | 0.03%             | 2029-12-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                 | CUSIP: 3133BBG78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8662551 | PA      | $7693833.90    | 0.02%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                 | CUSIP: 3133JLZ69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  14045732 | PA      | $11093426.21   | 0.04%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382PV25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  27133810 | PA      | $3840557.47    | 0.01%             | 2051-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382XUA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  39508523 | PA      | $6627977.51    | 0.02%             | 2051-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382XZQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  49154459 | PA      | $859804.88     | 0.00%             | 2051-08-20      | Floating      | 0.08%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382XZS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  34573074 | PA      | $5969124.15    | 0.02%             | 2051-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38383AUY8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  20301365 | PA      | $3384381.69    | 0.01%             | 2051-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38383AWT7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  65165260 | PA      | $1537300.61    | 0.00%             | 2051-09-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| MF1 Multifamily Housing Mortga | MF1 2022-FL8 Ltd                                                                 | CUSIP: 55284JAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4386267 | PA      | $4391728.23    | 0.01%             | 2037-02-19      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust | Mariner Finance Issuance Trust 2025-A                                            | CUSIP: 567920AC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6750000 | PA      | $6814936.35    | 0.02%             | 2038-05-20      | Fixed         | 5.69%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loans Trust  | MASTR Alternative Loan Trust 2005-5                                              | CUSIP: 576434S96<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     32114 | PA      | $31187.55      | 0.00%             | 2025-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Securitization Tru | MASTR Asset Securitization Trust 2006-1                                          | CUSIP: 57643MMA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1277865 | PA      | $716018.90     | 0.00%             | 2036-05-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loans Trust  | MASTR Alternative Loan Trust 2006-3                                              | CUSIP: 57645DAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1001824 | PA      | $499365.91     | 0.00%             | 2036-07-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T | Morgan Stanley Mortgage Loan Trust 2005-10                                       | CUSIP: 61748HRS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    504807 | PA      | $286065.74     | 0.00%             | 2035-12-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2006-S2                                                 | CUSIP: 46628YBG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3236389 | PA      | $945492.93     | 0.00%             | 2036-07-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2006-S3                                                 | CUSIP: 46629AAW1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7073748 | PA      | $1490691.31    | 0.00%             | 2036-08-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140QB3X4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3487344 | PA      | $3065737.94    | 0.01%             | 2049-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140QLZN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2778886 | PA      | $2194828.64    | 0.01%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140QT3E7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  37334515 | PA      | $38775383.60   | 0.12%             | 2054-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140W1UB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  58873271 | PA      | $59790371.18   | 0.19%             | 2055-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140XCDV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  52616148 | PA      | $45178405.70   | 0.15%             | 2051-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140XCPT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  91469386 | PA      | $78721542.79   | 0.25%             | 2051-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT             | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2018-3                    | CUSIP: 35563PGB9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  13991243 | PA      | $13178738.07   | 0.04%             | 2057-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR            | Freddie Mac STACR REMIC Trust 2022-DNA3                                          | CUSIP: 35564KUX5<br>LEI: 5493000IS4M3TZMRB410 | Long             | ABS-MBS          | CORP              | US        |  75600000 | PA      | $76990541.04   | 0.25%             | 2042-04-25      | Floating      | 6.56%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR            | Freddie Mac STACR REMIC Trust 2026-DNA2                                          | CUSIP: 35564UDQ7<br>LEI: 529900S8M5IMFAIV8785 | Long             | ABS-MBS          | CORP              | US        |   2400000 | PA      | $2399244.00    | 0.01%             | 2046-03-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae II Pool                                                               | CUSIP: 3617UMG26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7327535 | PA      | $6313041.27    | 0.02%             | 2051-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae II Pool                                                               | CUSIP: 3617UVEG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6643171 | PA      | $5772613.06    | 0.02%             | 2051-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae II Pool                                                               | CUSIP: 3622AA3J1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  71519868 | PA      | $61218649.92   | 0.20%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust         | GSAA Home Equity Trust 2006-15                                                   | CUSIP: 3622E8AD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9948831 | PA      | $2488763.86    | 0.01%             | 2036-09-25      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust         | GSAA Home Equity Trust 2006-18                                                   | CUSIP: 3622ELAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3688091 | PA      | $810948.12     | 0.00%             | 2036-11-25      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust        | GSR Mortgage Loan Trust 2005-6F                                                  | CUSIP: 362341EQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12043 | PA      | $11755.37      | 0.00%             | 2035-07-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust         | GSAA Home Equity Trust 2007-7                                                    | CUSIP: 36249BAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5751438 | PA      | $3153316.82    | 0.01%             | 2037-07-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust   | GS Mortgage Securities Trust 2018-GS10                                           | CUSIP: 36250SBK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8990000 | PA      | $866935.37     | 0.00%             | 2033-03-10      | Variable      | 4.58%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust   | GS Mortgage Securities Trust 2018-GS10                                           | CUSIP: 36250SBM0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11236750 | PA      | $995107.48     | 0.00%             | 2033-03-10      | Variable      | 4.58%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38374BXU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2715417 | PA      | $19953.97      | 0.00%             | 2033-08-20      | Floating      | 3.31%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38374CK26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1131503 | PA      | $1128585.25    | 0.00%             | 2033-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38374JVV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1336306 | PA      | $49694.14      | 0.00%             | 2034-10-20      | Floating      | 2.29%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381EGK8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  82403054 | PA      | $5445572.84    | 0.02%             | 2063-11-16      | Variable      | 0.89%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381L5V0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        | 213243468 | PA      | $14879297.56   | 0.05%             | 2065-04-16      | Variable      | 0.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382BL92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8982234 | PA      | $8824776.67    | 0.03%             | 2049-12-20      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382BX32<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4523623 | PA      | $3953824.37    | 0.01%             | 2049-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382HKW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8563532 | PA      | $1154680.90    | 0.00%             | 2050-08-20      | Floating      | 2.53%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382TEA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9538413 | PA      | $1676478.19    | 0.01%             | 2051-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382VKU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  33430931 | PA      | $3826835.30    | 0.01%             | 2049-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382VMR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  54677264 | PA      | $6833460.55    | 0.02%             | 2051-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382W3R6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  52171891 | PA      | $8791318.46    | 0.03%             | 2051-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HSI Asset Loan Obligation      | HSI Asset Loan Obligation Trust 2007-WF1                                         | CUSIP: 40431KAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12899067 | PA      | $3936133.61    | 0.01%             | 2036-12-25      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| HalseyPoint CLO II, Ltd.       | Halseypoint CLO II Ltd                                                           | CUSIP: 40638TAL6<br>LEI: 549300PIQILNPH8UJT31 | Long             | ABS-CBDO         | CORP              | US        |  10000000 | PA      | $10002553.00   | 0.03%             | 2037-07-20      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| Home Partners of America Trust | Home Partners of America 2019-2 Trust                                            | CUSIP: 43732TAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3658824 | PA      | $3561016.92    | 0.01%             | 2039-10-19      | Fixed         | 3.02%                 | No            |                  2 | On Loan: No      |
| Horizon Aircraft Finance I Lim | Horizon Aircraft Finance IV Ltd                                                  | CUSIP: 43990EAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  23541250 | PA      | $23381122.42   | 0.08%             | 2049-09-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Horizon Aircraft Finance I Lim | Horizon Aircraft Finance II Ltd                                                  | CUSIP: 44040HAA0<br>LEI: 549300KSCDSEIWTVMM32 | Long             | ABS-O            | CORP              | US        |   4200329 | PA      | $4132594.63    | 0.01%             | 2039-07-15      | Fixed         | 3.72%                 | No            |                  2 | On Loan: No      |
| Imperial Fund LLC              | Imperial Fund Mortgage Trust 2021-NQM4                                           | CUSIP: 45276JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  19390354 | PA      | $17102059.53   | 0.06%             | 2057-01-25      | Variable      | 2.09%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T | Morgan Stanley Mortgage Loan Trust 2006-11                                       | CUSIP: 61749WAM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4382839 | PA      | $703952.74     | 0.00%             | 2036-08-25      | Variable      | 6.73%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Home Equity Loa | Morgan Stanley Home Equity Loan Trust 2007-1                                     | CUSIP: 61751QAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  22653593 | PA      | $10793882.24   | 0.03%             | 2036-12-25      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2006-S4                                                 | CUSIP: 46629SAH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5547175 | PA      | $1409392.92    | 0.00%             | 2037-01-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2006-S4                                                 | CUSIP: 46629SAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5547175 | PA      | $716697.22     | 0.00%             | 2037-01-25      | Floating      | 2.83%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Acquisition | JP Morgan Mortgage Acquisition Trust 2006-HE3                                    | CUSIP: 46629VAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7801499 | PA      | $7453552.72    | 0.02%             | 2036-11-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2007-S3                                                 | CUSIP: 46631NCR8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1684150 | PA      | $499069.61     | 0.00%             | 2037-08-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Secu | JPMBB Commercial Mortgage Securities Trust 2015-C27                              | CUSIP: 46644AAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10425000 | PA      | $2134518.75    | 0.01%             | 2048-02-15      | Variable      | 3.68%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Secu | JPMBB Commercial Mortgage Securities Trust 2016-C1                               | CUSIP: 46645LBF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7394000 | PA      | $7196210.50    | 0.02%             | 2049-03-17      | Variable      | 4.94%                 | No            |                  2 | On Loan: No      |
| IndyMac Residential Asset Back | Home Equity Mortgage Loan Asset-Backed Trust Series INABS 2006-B                 | CUSIP: 456606LA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10993083 | PA      | $10281951.13   | 0.03%             | 2036-06-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati | Residential Asset Securitization Trust 2006-A1                                   | CUSIP: 45660L6U8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10330349 | PA      | $4383282.60    | 0.01%             | 2036-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati | Residential Asset Securitization Trust 2005-A12                                  | CUSIP: 45660LK99<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1392991 | PA      | $652645.17     | 0.00%             | 2035-11-25      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati | Residential Asset Securitization Trust 2006-A2                                   | CUSIP: 45661EBX1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5475565 | PA      | $1954877.57    | 0.01%             | 2046-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| IndyMac IMSC Mortgage Loan Tru | IndyMac IMSC Mortgage Loan Trust 2007-F2                                         | CUSIP: 45670JAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  25380039 | PA      | $7359736.75    | 0.02%             | 2037-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Alternative Loan T | JP Morgan Alternative Loan Trust 2005-S1                                         | CUSIP: 46627MAW7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4375354 | PA      | $2844786.65    | 0.01%             | 2035-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Jack in the Box Funding, LLC   | Jack in the Box Funding LLC                                                      | CUSIP: 466365AC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  36100000 | PA      | $34017261.04   | 0.11%             | 2049-08-25      | Fixed         | 4.97%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investo | Merrill Lynch Mortgage Investors Trust Series 2006-HE3                           | CUSIP: 590212AD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9855553 | PA      | $2548170.96    | 0.01%             | 2037-06-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investo | Merrill Lynch Mortgage Investors Trust Series 2006-F1                            | CUSIP: 590218AB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    591335 | PA      | $181688.81     | 0.00%             | 2036-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T | Morgan Stanley Mortgage Loan Trust 2005-10                                       | CUSIP: 61748HRX1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1264795 | PA      | $785305.68     | 0.00%             | 2035-12-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T | Morgan Stanley Mortgage Loan Trust 2005-10                                       | CUSIP: 61748HSE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1496070 | PA      | $1426722.73    | 0.00%             | 2035-12-25      | Variable      | 5.22%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T | Morgan Stanley Mortgage Loan Trust 2007-3XS                                      | CUSIP: 61752RAK8<br>LEI: 549300SRGEL7X4RBPX12 | Long             | ABS-MBS          | CORP              | US        |   2798251 | PA      | $959281.25     | 0.00%             | 2047-01-25      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ReRemic Trust   | Morgan Stanley Reremic Trust                                                     | CUSIP: 61761NAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6162571 | PA      | $4664123.69    | 0.02%             | 2036-08-26      | Floating      | 3.26%                 | No            |                  2 | On Loan: No      |
| NRZ Excess Spread Collateraliz | NRZ Excess Spread-Collateralized Notes                                           | CUSIP: 62955MAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  19289083 | PA      | $19139137.65   | 0.06%             | 2026-07-25      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corpor | Nomura Asset Acceptance Corp Alternative Loan Trust Series 2006-WF1              | CUSIP: 65537BAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1054640 | PA      | $263958.37     | 0.00%             | 2036-06-25      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| NYC Commercial Mortgage Trust  | NYC Commercial Mortgage Trust 2025-3BP                                           | CUSIP: 67120UAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6770000 | PA      | $6730454.40    | 0.02%             | 2042-02-15      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor | JPMCC Commercial Mortgage Securities Trust 2017-JP5                              | CUSIP: 46647TAZ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1725000 | PA      | $1523592.62    | 0.00%             | 2050-03-15      | Variable      | 3.71%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust Series 2025-NQM5                                        | CUSIP: 46664DAH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3200000 | PA      | $3169743.04    | 0.01%             | 2066-05-25      | Variable      | 5.67%                 | No            |                  2 | On Loan: No      |
| KREF 2021-FL2 Ltd              | KREF 2021-FL2 Ltd                                                                | CUSIP: 48275RAA5<br>LEI: 54930083ELM2GCMVTQ91 | Long             | ABS-CBDO         | CORP              | US        |  12412225 | PA      | $12441617.17   | 0.04%             | 2039-02-15      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| Labrador Aviation Finance Limi | Labrador Aviation Finance Ltd 2016-1A                                            | CUSIP: 50543LAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11639047 | PA      | $11967920.25   | 0.04%             | 2042-01-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38383V3J5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        | 174185575 | PA      | $25070355.62   | 0.08%             | 2051-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Acquisition | JP Morgan Mortgage Acquisition Trust 2006-RM1                                    | CUSIP: 46629NAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  21113281 | PA      | $9305387.33    | 0.03%             | 2036-08-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust | Pagaya AI Debt Grantor Trust 2024-8                                              | CUSIP: 69544QAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1761942 | PA      | $1767001.22    | 0.01%             | 2032-01-15      | Fixed         | 5.46%                 | No            |                  2 | On Loan: No      |
| QTS ISSUER ABS I LLC           | QTS Issuer ABS I LLC                                                             | CUSIP: 74690DAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8100000 | PA      | $7938940.41    | 0.03%             | 2055-05-25      | Fixed         | 5.93%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mor | Morgan Stanley Residential Mortgage Loan Trust 2025-NQM4                         | CUSIP: 617945AF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6559000 | PA      | $6600445.01    | 0.02%             | 2070-06-25      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| Mosaic Solar Loans LLC         | Mosaic Solar Loan Trust 2018-2-GS                                                | CUSIP: 61946LAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6452750 | PA      | $6036881.74    | 0.02%             | 2044-02-22      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC       | OBX 2026-R1 Trust                                                                | CUSIP: 67124AAF4<br>LEI: 254900URJ5A8AOLJDR76 | Long             | ABS-MBS          | CORP              | US        |  13674000 | PA      | $13708171.33   | 0.04%             | 2063-01-25      | Variable      | 5.56%                 | No            |                  2 | On Loan: No      |
| Octagon Investment Partners 51 | Octagon Investment Partners 51 Ltd                                               | CUSIP: 675943AA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  25000000 | PA      | $24968750.00   | 0.08%             | 2034-07-20      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2005-3                                                     | CUSIP: 52520MEB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    101117 | PA      | $87401.51      | 0.00%             | 2036-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2006-1                                                     | CUSIP: 52520MEX7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    895349 | PA      | $360188.47     | 0.00%             | 2036-02-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2007-S3                                                 | CUSIP: 46631NBL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3750818 | PA      | $1516103.63    | 0.00%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan ReRemic              | JP Morgan Resecuritization Trust Series 2010-1                                   | CUSIP: 46634DAU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5103401 | PA      | $2047400.98    | 0.01%             | 2037-01-26      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| Lehman ABS Mortgage Loan Trust | Lehman ABS Mortgage Loan Trust 2007-1                                            | CUSIP: 52521MAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  16683311 | PA      | $12503330.97   | 0.04%             | 2037-06-25      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgag | PRPM 2025-5 LLC                                                                  | CUSIP: 69392RAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  65739453 | PA      | $65651783.17   | 0.21%             | 2030-07-25      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| PPM Clo, Ltd.                  | PPM CLO 6-R Ltd                                                                  | CUSIP: 693975AE4<br>LEI: 2549003CULWUB4AA0151 | Long             | ABS-CBDO         | CORP              | US        |   9500000 | PA      | $9514263.30    | 0.03%             | 2037-01-20      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| PFP III                        | PFP 2026-13 Ltd                                                                  | CUSIP: 716966AA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   8480000 | PA      | $8497511.20    | 0.03%             | 2043-08-18      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust     | Progress Residential 2025-SFR4 Trust                                             | CUSIP: 74290JAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  16500000 | PA      | $16271037.75   | 0.05%             | 2042-08-17      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust     | Progress Residential 2021-SFR8 Trust                                             | CUSIP: 74333TAJ8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  25000000 | PA      | $24642650.00   | 0.08%             | 2038-10-17      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust     | Progress Residential 2025-SFR3 Trust                                             | CUSIP: 74334BAG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  13000000 | PA      | $11866039.90   | 0.04%             | 2042-07-17      | Fixed         | 3.39%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2006-QS10 Trust                                                      | CUSIP: 751155AD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    448179 | PA      | $385814.54     | 0.00%             | 2036-08-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Helios Issuer, LLC             | SUNNOVA HELIOS II ISSUER LLC 2018-1                                              | CUSIP: 86745JAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5540451 | PA      | $5355066.88    | 0.02%             | 2048-07-20      | Fixed         | 4.87%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2006-1                                                     | CUSIP: 52520MEY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2686048 | PA      | $133857.32     | 0.00%             | 2036-02-25      | Floating      | 0.96%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2006-7                                                     | CUSIP: 52520QAM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2764949 | PA      | $593016.08     | 0.00%             | 2036-11-25      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgag | PRPM 2024-8 LLC                                                                  | CUSIP: 74448KAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  69510605 | PA      | $69493679.08   | 0.22%             | 2029-12-25      | Variable      | 5.90%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2006-QS15 Trust                                                      | CUSIP: 74922YAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    959635 | PA      | $841609.55     | 0.00%             | 2036-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Renaissance Home Equity Loan T | Renaissance Home Equity Loan Trust 2007-1                                        | CUSIP: 75970JAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8192822 | PA      | $2039281.02    | 0.01%             | 2037-04-25      | Variable      | 5.74%                 | No            |                  2 | On Loan: No      |
| Renaissance Home Equity Loan T | Renaissance Home Equity Loan Trust 2007-1                                        | CUSIP: 75970JAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5072268 | PA      | $1233621.26    | 0.00%             | 2037-04-25      | Variable      | 5.61%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2006-7                                                     | CUSIP: 52520QAQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10230750 | PA      | $1159885.76    | 0.00%             | 2036-11-25      | Floating      | 2.76%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2006-4                                                     | CUSIP: 52520RAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    859674 | PA      | $640116.42     | 0.00%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Trestles CLO LTD               | Trestles Clo IV Ltd                                                              | CUSIP: 89532WAN9<br>LEI: 254900EO5I6CR0IOWS98 | Long             | ABS-CBDO         | CORP              | US        |  15000000 | PA      | $15003483.00   | 0.05%             | 2038-10-30      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Tricon Residential             | Tricon Residential 2025-SFR2 Trust                                               | CUSIP: 89617FAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  77463224 | PA      | $77312240.36   | 0.25%             | 2044-08-17      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust  | UBS Commercial Mortgage Trust 2017-C3                                            | CUSIP: 90276GAU6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9501222 | PA      | $84997.93      | 0.00%             | 2050-08-15      | Variable      | 1.07%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo | Velocity Commercial Capital Loan Trust 2021-3                                    | CUSIP: 92258RAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3104412 | PA      | $2611941.63    | 0.01%             | 2051-10-25      | Variable      | 1.96%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo | Velocity Commercial Capital Loan Trust 2020-1                                    | CUSIP: 92259LAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1419285 | PA      | $1114854.85    | 0.00%             | 2050-02-25      | Variable      | 3.54%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust     | Verus Securitization Trust 2025-9                                                | CUSIP: 92490EAK9<br>LEI: 2138002AFCEWDDRL8N22 | Long             | ABS-MBS          | CORP              | US        |   8400000 | PA      | $8338429.68    | 0.03%             | 2070-10-27      | Variable      | 5.69%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2006-5                                                     | CUSIP: 52520TAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5462511 | PA      | $649876.04     | 0.00%             | 2036-09-25      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2006-9                                                     | CUSIP: 52521HBE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3402058 | PA      | $635238.04     | 0.00%             | 2037-01-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Alternative Loan T | Wells Fargo Alternative Loan 2007-PA6 Trust                                      | CUSIP: 94985KAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2679762 | PA      | $2461083.08    | 0.01%             | 2037-12-28      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2007-4                                                     | CUSIP: 52521LAQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2226166 | PA      | $652534.64     | 0.00%             | 2037-05-25      | Floating      | 4.12%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2007-5                                                     | CUSIP: 52521RBJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    465832 | PA      | $626454.54     | 0.00%             | 2036-08-25      | Floating      | 17.32%                | No            |                  2 | On Loan: No      |
| Aegis Asset Backed Securities  | Aegis Asset Backed Securities Trust 2004-6                                       | CUSIP: 00764MDY0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2331398 | PA      | $2246123.39    | 0.01%             | 2035-03-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Aegis Asset Backed Securities  | Aegis Asset Backed Securities Trust 2006-1                                       | CUSIP: 00764SAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7979911 | PA      | $6087820.99    | 0.02%             | 2037-01-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| Aligned Data Centers Issuer LL | Aligned Data Centers Issuer LLC                                                  | CUSIP: 01627AAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11550000 | PA      | $11422694.75   | 0.04%             | 2046-08-15      | Fixed         | 2.48%                 | No            |                  2 | On Loan: No      |
| American Home Mortgage Investm | American Home Mortgage Investment Trust 2007-A                                   | CUSIP: 026931AC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7248123 | PA      | $976952.71     | 0.00%             | 2037-01-25      | Variable      | 6.60%                 | No            |                  2 | On Loan: No      |
| Argent Securities Inc.         | Ameriquest Mortgage Securities Trust 2006-M3                                     | CUSIP: 03076MAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  94468002 | PA      | $53491608.40   | 0.17%             | 2036-10-25      | Floating      | 3.97%                 | No            |                  2 | On Loan: No      |
| Anthelion CLO                  | Anthelion CLO 2025-1 Ltd                                                         | CUSIP: 03676GAA9<br>LEI: 254900S9YB3JCLS0SX64 | Long             | ABS-CBDO         | CORP              | US        |  34000000 | PA      | $34032463.20   | 0.11%             | 2036-07-20      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Apidos CLO                     | Apidos Loan Fund 2024-1 Ltd                                                      | CUSIP: 037986AN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  10450000 | PA      | $10444775.00   | 0.03%             | 2038-10-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Arbor Realty Commercial Real E | Arbor Realty Commercial Real Estate Notes 2025-FL1 LLC                           | CUSIP: 03881KAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  13200000 | PA      | $13214612.40   | 0.04%             | 2043-01-20      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137H2WW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12155912 | PA      | $9959077.51    | 0.03%             | 2051-10-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC       | OBX 2025-R1 Trust                                                                | CUSIP: 67123GAF2<br>LEI: 254900UIO03AL696QM79 | Long             | ABS-MBS          | CORP              | US        |  10838000 | PA      | $10790022.34   | 0.03%             | 2062-09-25      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC       | OBX 2026-NQM2 Trust                                                              | CUSIP: 67123VAF9<br>LEI: 2549007DTHVTGCMU8X03 | Long             | ABS-MBS          | CORP              | US        |  18505405 | PA      | $18376157.79   | 0.06%             | 2065-12-01      | Variable      | 4.82%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgag | PRPM 2026-NQM1 Trust                                                             | CUSIP: 74391DAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5201000 | PA      | $5188309.56    | 0.02%             | 2071-02-25      | Variable      | 5.44%                 | No            |                  2 | On Loan: No      |
| Renaissance Home Equity Loan T | Renaissance Home Equity Loan Trust 2006-3                                        | CUSIP: 75971EAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  18049871 | PA      | $5682550.48    | 0.02%             | 2036-11-25      | Variable      | 5.81%                 | No            |                  2 | On Loan: No      |
| Renew Financial                | Renew 2017-2                                                                     | CUSIP: 75973KAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5383462 | PA      | $4903692.78    | 0.02%             | 2053-09-22      | Fixed         | 3.22%                 | No            |                  2 | On Loan: No      |
| N/A                            | US 10yr Ultra Fut Jun26                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    -20950 | NC      | $40203111.71   | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136A4GN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7145556 | PA      | $6764981.40    | 0.02%             | 2042-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136AK5T6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13310815 | PA      | $12110152.52   | 0.04%             | 2044-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136AN7C5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  14708016 | PA      | $14107361.44   | 0.05%             | 2044-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                 | Fannie Mae-Aces                                                                  | CUSIP: 3136B9MX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        | 436576541 | PA      | $24651207.07   | 0.08%             | 2031-09-25      | Variable      | 1.45%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                 | Fannie Mae-Aces                                                                  | CUSIP: 3136B9NV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  69844701 | PA      | $1997369.88    | 0.01%             | 2030-09-25      | Variable      | 1.22%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                 | Fannie Mae-Aces                                                                  | CUSIP: 3136BDXU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        | 170924429 | PA      | $4096511.59    | 0.01%             | 2033-08-25      | Variable      | 0.89%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                 | Fannie Mae-Aces                                                                  | CUSIP: 3136BHNT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6690000 | PA      | $6320317.29    | 0.02%             | 2033-05-25      | Variable      | 2.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3138EPA38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  17475980 | PA      | $15996357.44   | 0.05%             | 2044-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3138EPF41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5246096 | PA      | $5178468.87    | 0.02%             | 2045-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3138EPHQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  15792879 | PA      | $15638216.30   | 0.05%             | 2044-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3138ERG61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8141503 | PA      | $7456127.38    | 0.02%             | 2045-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3138ERP79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7893370 | PA      | $7720033.18    | 0.02%             | 2031-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3138ETGN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  17143792 | PA      | $16107518.08   | 0.05%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                | Lehman XS Trust 2006-5                                                           | CUSIP: 525221JT5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5644001 | PA      | $5065057.71    | 0.02%             | 2036-04-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                | Lehman XS Trust Series 2006-GP3                                                  | CUSIP: 525228AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6975854 | PA      | $6690973.31    | 0.02%             | 2046-06-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| Apollo Aviation Securitization | AASET 2024-2 Ltd                                                                 | CUSIP: 00038QAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  48573557 | PA      | $49001878.92   | 0.16%             | 2049-09-16      | Fixed         | 5.93%                 | No            |                  2 | On Loan: No      |
| Apollo Aviation Securitization | AASET MT-1 Ltd                                                                   | CUSIP: 00039NAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9700156 | PA      | $9636115.79    | 0.03%             | 2050-02-16      | Fixed         | 5.52%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                     | AMSR 2021-SFR3 Trust                                                             | CUSIP: 00180UAF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11000000 | PA      | $10803180.30   | 0.03%             | 2038-10-17      | Fixed         | 2.43%                 | No            |                  2 | On Loan: No      |
| LoanCore 2022-CRE7 Issuer Ltd. | LoanCore 2022-CRE7 Issuer Ltd                                                    | CUSIP: 53946PAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2070411 | PA      | $2073120.88    | 0.01%             | 2037-01-17      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| LoanCore 2018-CRE1 Issuer, Ltd | LoanCore 2025 2025-CRE8 Issuer LLC                                               | CUSIP: 53947FAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  26610000 | PA      | $26646508.92   | 0.09%             | 2042-08-17      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3138LJCS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3926670 | PA      | $3739963.69    | 0.01%             | 2037-06-01      | Fixed         | 3.43%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3138LKM61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        | 217500000 | PA      | $176499255.53  | 0.57%             | 2047-11-01      | Fixed         | 3.37%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3138LTJ25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2898711 | PA      | $2776389.41    | 0.01%             | 2042-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3138M8J95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10714622 | PA      | $10002333.07   | 0.03%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3138M8KB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9005010 | PA      | $8406338.11    | 0.03%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3138WBYP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3076499 | PA      | $3036847.81    | 0.01%             | 2044-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31398TWK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1954927 | PA      | $1934297.56    | 0.01%             | 2040-08-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140QVEL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  47317243 | PA      | $48312485.73   | 0.16%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140W0Q57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  20210196 | PA      | $20522706.36   | 0.07%             | 2054-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140W4G92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  52824969 | PA      | $52671747.05   | 0.17%             | 2055-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140XDPG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8855502 | PA      | $7218475.81    | 0.02%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140XFNS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11235071 | PA      | $10045595.05   | 0.03%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140XRW92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  18870863 | PA      | $19366705.43   | 0.06%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| First Franklin Mtg Loan Asset  | First Franklin Mortgage Loan Trust 2006-FF9                                      | CUSIP: 320276AF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4000000 | PA      | $3762083.60    | 0.01%             | 2036-06-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| 280 Park Avenue Mortgage Trust | 280 Park Avenue 2017-280P Mortgage Trust                                         | CUSIP: 90205FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  24890000 | PA      | $24771807.35   | 0.08%             | 2034-09-15      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| Long Beach Mortgage Loan Trust | Long Beach Mortgage Loan Trust 2006-2                                            | CUSIP: 542514TU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12628145 | PA      | $4154596.56    | 0.01%             | 2046-03-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| Long Beach Mortgage Loan Trust | Long Beach Mortgage Loan Trust 2006-3                                            | CUSIP: 542514UK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  44599144 | PA      | $13161827.20   | 0.04%             | 2046-05-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| Long Beach Mortgage Loan Trust | Long Beach Mortgage Loan Trust 2006-5                                            | CUSIP: 54251PAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  14333380 | PA      | $6777355.29    | 0.02%             | 2036-06-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| LUNAR AIRCRAFT 2020-1 LIMITED  | LUNAR AIRCRAFT 2020-1 LTD                                                        | CUSIP: 55037LAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5759294 | PA      | $5670261.00    | 0.02%             | 2045-02-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Ace Securities Corp.           | ACE Securities Corp Home Equity Loan Trust Series 2007-HE1                       | CUSIP: 00443LAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2091233 | PA      | $1273747.75    | 0.00%             | 2037-01-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| AlphaFlow Transitional Mortgag | AlphaFlow Transitional Mortgage Trust 2021-WL1                                   | CUSIP: 02079YAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2793726 | PA      | $2132491.84    | 0.01%             | 2026-01-25      | Variable      | 3.28%                 | No            |                  2 | On Loan: No      |
| Arbor Realty Collateralized Lo | Arbor Realty Commercial Real Estate Notes 2021-FL4 Ltd                           | CUSIP: 03880RAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3970338 | PA      | $3975340.66    | 0.01%             | 2036-11-15      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| Argent Securities Inc.         | Argent Securities Trust 2006-W5                                                  | CUSIP: 04012XAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10422245 | PA      | $6926788.94    | 0.02%             | 2036-06-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| Asset Backed Securities Corp H | Asset Backed Securities Corp Home Equity Loan Trust Series 2004-HE3              | CUSIP: 04541GJU7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1075071 | PA      | $1036727.50    | 0.00%             | 2034-06-25      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| Asset Backed Securities Corp H | Asset Backed Securities Corp Home Equity Loan Trust Series AMQ 2006-HE7          | CUSIP: 04544QAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  15875633 | PA      | $14572119.55   | 0.05%             | 2036-11-25      | Floating      | 4.06%                 | No            |                  2 | On Loan: No      |
| Avant Credit Card Master Trust | Avant Credit Card Master Trust 2025-1                                            | CUSIP: 05351KAR0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  15500000 | PA      | $15349994.10   | 0.05%             | 2031-04-15      | Fixed         | 5.08%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S | BBCMS Mortgage Trust 2020-C7                                                     | CUSIP: 05492VAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1437000 | PA      | $1267063.54    | 0.00%             | 2053-04-15      | Fixed         | 2.44%                 | No            |                  2 | On Loan: No      |
| BFLD Trust                     | BFLD Trust 2025-EWEST                                                            | CUSIP: 05494JAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4860000 | PA      | $4854280.75    | 0.02%             | 2042-06-15      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| BCAP LLC Trust                 | BCAP LLC 2008-RR3 Trust                                                          | CUSIP: 05531VAK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10159968 | PA      | $2943343.72    | 0.01%             | 2036-10-25      | Variable      | 6.70%                 | No            |                  2 | On Loan: No      |
| BCAP LLC Trust                 | BCAP LLC 2009-RR13-I Trust                                                       | CUSIP: 05532KAQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1415165 | PA      | $617398.61     | 0.00%             | 2037-07-26      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| BCAP LLC Trust                 | BCAP LLC 2010-RR6 Trust                                                          | CUSIP: 05533CDQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6211144 | PA      | $2203557.24    | 0.01%             | 2037-02-26      | Variable      | 4.29%                 | No            |                  2 | On Loan: No      |
| BNC Mortgage Loan Trust        | BNC Mortgage Loan Trust 2006-2                                                   | CUSIP: 055683AD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2198531 | PA      | $2155635.01    | 0.01%             | 2036-11-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| Bain Capital Credit CLO, Limit | Bain Capital Credit CLO 2021-6 Ltd                                               | CUSIP: 05684PAL0<br>LEI: 254900YXN9JEMKU5DF45 | Long             | ABS-CBDO         | CORP              | US        |   5800000 | PA      | $5792958.22    | 0.02%             | 2034-10-21      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| Bain Capital Credit CLO, Limit | Bain Capital Credit CLO 2024-6 Ltd                                               | CUSIP: 05685XAA6<br>LEI: 254900HQYGN91X5XN386 | Long             | ABS-CBDO         | CORP              | US        |  15000000 | PA      | $15007500.00   | 0.05%             | 2038-01-21      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Alternative Lo | Banc of America Alternative Loan Trust 2007-2                                    | CUSIP: 059475AF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    317360 | PA      | $271985.74     | 0.00%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Alternative Lo | Banc of America Alternative Loan Trust 2006-6                                    | CUSIP: 059487AC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    856254 | PA      | $747260.19     | 0.00%             | 2046-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Alternative Lo | Banc of America Alternative Loan Trust 2006-9                                    | CUSIP: 059494AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1807533 | PA      | $1626143.84    | 0.01%             | 2037-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor | Banc of America Funding 2006-6 Trust                                             | CUSIP: 05950RAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1048102 | PA      | $913726.50     | 0.00%             | 2036-08-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Bayview Financial Acquisition  | Bayview Financial Mortgage Pass-Through Trust 2006-C                             | CUSIP: 07325DAK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1733444 | PA      | $1662880.80    | 0.01%             | 2036-11-28      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust | Bayview Commercial Asset Trust 2007-3                                            | CUSIP: 07325YAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    504406 | PA      | $481018.69     | 0.00%             | 2037-07-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| Apollo Aviation Securitization | AASET 2024-1                                                                     | CUSIP: 00255JAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  28066547 | PA      | $28259840.94   | 0.09%             | 2049-05-16      | Fixed         | 6.90%                 | No            |                  2 | On Loan: No      |
| Ace Securities Corp.           | ACE Securities Corp Home Equity Loan Trust Series 2007-WM2                       | CUSIP: 00442KAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2484792 | PA      | $1024447.71    | 0.00%             | 2037-02-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| Adjustable Rate Mortgage Trust | Adjustable Rate Mortgage Trust 2005-7                                            | CUSIP: 007036MV5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     61672 | PA      | $59601.98      | 0.00%             | 2035-10-25      | Variable      | 4.85%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust       | Angel Oak Mortgage Trust 2026-2                                                  | CUSIP: 03466LAH7<br>LEI: 254900KYTF3JMR1ZQR67 | Long             | ABS-MBS          | CORP              | US        |   4061000 | PA      | $3981458.82    | 0.01%             | 2071-02-25      | Variable      | 5.45%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                     | MFA 2026-NQM1 Trust                                                              | CUSIP: 55287YAK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3174000 | PA      | $3178050.02    | 0.01%             | 2071-02-25      | Variable      | 5.41%                 | No            |                  2 | On Loan: No      |
| Magnetite CLO Ltd              | Magnetite XXIII Ltd                                                              | CUSIP: 55954NAS8<br>LEI: 549300WG00K34O9YA435 | Long             | ABS-CBDO         | CORP              | US        |  50729000 | PA      | $50661885.53   | 0.16%             | 2035-01-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| Marble Point CLO XXV Ltd       | Marble Point Clo XXV Ltd                                                         | CUSIP: 565923BC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  20500000 | PA      | $20490838.55   | 0.07%             | 2036-10-20      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgage | MASTR Adjustable Rate Mortgages Trust 2005-6                                     | CUSIP: 576433A71<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    661755 | PA      | $600485.57     | 0.00%             | 2035-07-25      | Variable      | 3.41%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Alt-A Trust       | Bear Stearns ALT-A Trust 2006-3                                                  | CUSIP: 07386HK83<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8657097 | PA      | $6133297.12    | 0.02%             | 2036-05-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Adjustable Rate M | Bear Stearns ARM Trust 2005-12                                                   | CUSIP: 07387AFZ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    182302 | PA      | $162777.05     | 0.00%             | 2036-02-25      | Variable      | 4.51%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Alt-A Trust       | Bear Stearns ALT-A Trust 2006-8                                                  | CUSIP: 07387QAM2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2728987 | PA      | $1846928.22    | 0.01%             | 2046-08-25      | Variable      | 4.52%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Adjustable Rate M | Bear Stearns ARM Trust 2007-1                                                    | CUSIP: 073880AD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2141555 | PA      | $1867667.28    | 0.01%             | 2047-02-25      | Variable      | 5.31%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust       | Benchmark 2020-IG1 Mortgage Trust                                                | CUSIP: 08162LAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 275367278 | PA      | $3913519.75    | 0.01%             | 2043-09-15      | Variable      | 0.51%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust       | Benchmark 2020-B17 Mortgage Trust                                                | CUSIP: 08162MAZ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  61150546 | PA      | $2386797.53    | 0.01%             | 2053-03-15      | Variable      | 1.39%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust       | Benchmark 2025-V18 Mortgage Trust                                                | CUSIP: 08164EAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 150254129 | PA      | $7619957.84    | 0.02%             | 2058-10-15      | Variable      | 1.26%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust       | Benchmark 2024-V12 Mortgage Trust                                                | CUSIP: 081915AC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  76875071 | PA      | $2238248.44    | 0.01%             | 2057-12-15      | Variable      | 0.85%                 | No            |                  2 | On Loan: No      |
| Birch Grove CLO Ltd.           | Birch Grove CLO 5 Ltd                                                            | CUSIP: 090976AL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  13500000 | PA      | $13517938.80   | 0.04%             | 2037-10-20      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| Blue Stream Issuer, LLC        | Blue Stream Issuer LLC                                                           | CUSIP: 09606BAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  21500000 | PA      | $21719463.40   | 0.07%             | 2054-11-20      | Fixed         | 5.41%                 | No            |                  2 | On Loan: No      |
| BMO Mortgage Trust             | BMO 2024-5C7 Mortgage Trust                                                      | CUSIP: 09660WAX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  20482000 | PA      | $20841510.31   | 0.07%             | 2057-11-15      | Variable      | 5.89%                 | No            |                  2 | On Loan: No      |
| Brant Point CLO Ltd            | Brant Point Clo 2024-3 Ltd                                                       | CUSIP: 10548JAA4<br>LEI: 254900ONWQ51D1IGDN52 | Long             | ABS-CBDO         | CORP              | US        |  37000000 | PA      | $36998779.00   | 0.12%             | 2039-01-20      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trus | BRAVO Residential Funding Trust 2024-NQM7                                        | CUSIP: 105698AF1<br>LEI: 254900T3YTF92WA96N66 | Long             | ABS-MBS          | CORP              | US        |   8000000 | PA      | $8064712.80    | 0.03%             | 2064-10-27      | Variable      | 6.38%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trus | BRAVO Residential Funding Trust 2025-NQM7                                        | CUSIP: 10570TAE5<br>LEI: 254900I1LYOO3G3UAT10 | Long             | ABS-MBS          | CORP              | US        |   1850000 | PA      | $1857167.64    | 0.01%             | 2065-07-25      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| Bridge Street CLO              | Bridge Street CLO IV Ltd                                                         | CUSIP: 107934AA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  39500000 | PA      | $39527914.65   | 0.13%             | 2037-04-20      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Secur | Bridgecrest Lending Auto Securitization Trust 2024-4                             | CUSIP: 10806EAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  19700000 | PA      | $19792820.49   | 0.06%             | 2030-08-15      | Fixed         | 4.83%                 | No            |                  2 | On Loan: No      |
| Credit-Based Asset Servicing a | Credit-Based Asset Servicing and Securitization LLC                              | CUSIP: 12498QAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6309898 | PA      | $4380816.00    | 0.01%             | 2036-05-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| Centragas                      | CENT 2025-CITY                                                                   | CUSIP: 12517TAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  33003000 | PA      | $33269063.59   | 0.11%             | 2040-07-10      | Variable      | 4.92%                 | No            |                  2 | On Loan: No      |
| CFCRE Commercial Mortgage Trus | CFCRE Commercial Mortgage Trust 2016-C4                                          | CUSIP: 12531YAQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9945290 | PA      | $99.45         | 0.00%             | 2058-05-10      | Variable      | 1.14%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2007-HY1                                         | CUSIP: 12544EAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2400411 | PA      | $2257295.81    | 0.01%             | 2037-04-25      | Variable      | 4.47%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust       | Angel Oak Mortgage Trust 2025-7                                                  | CUSIP: 03466TAB3<br>LEI: 254900QTRHHMG5RQ9X60 | Long             | ABS-MBS          | CORP              | US        |   1827350 | PA      | $1834964.86    | 0.01%             | 2070-06-25      | Variable      | 5.76%                 | No            |                  2 | On Loan: No      |
| Arbor Realty Collateralized Lo | Arbor Realty Collateralized Loan Obligation Ltd                                  | CUSIP: 03881UAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   9396000 | PA      | $9411663.13    | 0.03%             | 2041-01-20      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| Argent Securities Inc.         | Argent Securities Inc Asset-Backed Pass-Through Certificates Series 2004-W11     | CUSIP: 040104ML2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9652851 | PA      | $8626430.73    | 0.03%             | 2034-11-25      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| BX Trust 2019-OC11             | BX Trust 2019-OC11                                                               | CUSIP: 05606FAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 326679000 | PA      | $2420854.73    | 0.01%             | 2041-12-09      | Variable      | 0.18%                 | No            |                  2 | On Loan: No      |
| BSPRT Issuer, Ltd.             | BSPRT 2023-FL10 Issuer Ltd                                                       | CUSIP: 05610VAG7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  15000000 | PA      | $15060825.00   | 0.05%             | 2035-09-15      | Floating      | 7.65%                 | No            |                  2 | On Loan: No      |
| BX Trust                       | BX Trust 2022-LBA6                                                               | CUSIP: 12433EAN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  17820000 | PA      | $17838987.21   | 0.06%             | 2039-01-15      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| BX Trust                       | BX Trust 2021-RISE                                                               | CUSIP: 12434EAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2746474 | PA      | $2746248.75    | 0.01%             | 2036-11-15      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| BX Trust                       | BX Trust 2021-RISE                                                               | CUSIP: 12434EAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3302701 | PA      | $3303055.50    | 0.01%             | 2036-11-15      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investo | Merrill Lynch Mortgage Investors Trust Series 2007-HE3                           | CUSIP: 590238AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7567093 | PA      | $2867066.29    | 0.01%             | 2047-04-25      | Floating      | 3.93%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investo | Merrill Lynch Mortgage Investors Trust Series 2006-HE4                           | CUSIP: 59023EAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7100503 | PA      | $1439613.51    | 0.00%             | 2037-07-25      | Floating      | 3.99%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trus | CSAIL 2019-C16 Commercial Mortgage Trust                                         | CUSIP: 12596WAH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  15894000 | PA      | $15084876.20   | 0.05%             | 2052-06-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trus | CSAIL 2016-C5 Commercial Mortgage Trust                                          | CUSIP: 12636LBE9<br>LEI: 549300FU8TZDHFLQZL50 | Long             | ABS-MBS          | CORP              | US        |   1139920 | PA      | $1120541.43    | 0.00%             | 2048-11-15      | Variable      | 4.40%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Mortgage-Backed Trust 2007-1                                                | CUSIP: 126378AH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7986602 | PA      | $1853322.88    | 0.01%             | 2037-02-25      | Variable      | 6.13%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Mortgage-Backed Trust 2006-9                                                | CUSIP: 126380AC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6447047 | PA      | $5650308.45    | 0.02%             | 2036-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | Csmc 2021-Nqm6 Trust                                                             | CUSIP: 12662KAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7445317 | PA      | $5385982.52    | 0.02%             | 2066-07-25      | Variable      | 2.58%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategi | Carlyle US CLO 2021-7 LTD                                                        | CUSIP: 14316WAL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  48000000 | PA      | $47976710.40   | 0.15%             | 2038-04-15      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Series 2005-1R                                                              | CUSIP: 22546MAQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    704031 | PA      | $448107.15     | 0.00%             | 2035-12-26      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Crown City CLO                 | Crown City CLO V                                                                 | CUSIP: 22823AAN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  17500000 | PA      | $17510328.50   | 0.06%             | 2037-04-20      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Mortgage-Backed Trust 2007-5                                                | CUSIP: 22944BBC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7766864 | PA      | $5901739.90    | 0.02%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Figure Line of Credit Trust 20 | Figure Line of Credit Trust 2020-1                                               | CUSIP: 302452AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8736820 | PA      | $8467434.06    | 0.03%             | 2049-09-25      | Variable      | 4.04%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BLD80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12467581 | PA      | $11483689.14   | 0.04%             | 2052-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BPUX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  96165526 | PA      | $15776848.92   | 0.05%             | 2051-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31394V6A3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    210144 | PA      | $215870.23     | 0.00%             | 2036-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31396PTY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    149311 | PA      | $8994.01       | 0.00%             | 2037-03-25      | Floating      | 2.87%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31396QFB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    187000 | PA      | $9301.68       | 0.00%             | 2039-07-25      | Floating      | 2.32%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31397LWC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1900410 | PA      | $1928788.41    | 0.01%             | 2034-06-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31397QGM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2227865 | PA      | $2158997.40    | 0.01%             | 2041-02-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31397SW83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2435412 | PA      | $2413291.77    | 0.01%             | 2041-05-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31397SZH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    632159 | PA      | $620131.50     | 0.00%             | 2041-05-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31398GRB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    188032 | PA      | $15088.49      | 0.00%             | 2040-01-25      | Floating      | 2.47%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31398NWB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    667280 | PA      | $55390.08      | 0.00%             | 2050-10-25      | Floating      | 2.17%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31398PLB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7403 | PA      | $43.96         | 0.00%             | 2040-04-25      | Floating      | 2.67%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2007-18                                          | CUSIP: 12544JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    312203 | PA      | $125834.17     | 0.00%             | 2037-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2007-7                                           | CUSIP: 12544TAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1833988 | PA      | $775401.16     | 0.00%             | 2037-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust      | Morgan Stanley Bank of America Merrill Lynch Trust 2016-C28                      | CUSIP: 61766LBT5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  20157184 | PA      | $201.57        | 0.00%             | 2049-01-15      | Variable      | 1.04%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2007-QS2 Trust                                                       | CUSIP: 74923CAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1946697 | PA      | $1626090.12    | 0.01%             | 2037-01-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2007-QS11 Trust                                                      | CUSIP: 74925GAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1885856 | PA      | $1504119.00    | 0.00%             | 2037-10-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GMAC Mortgage Corporation Loan | GMACM Mortgage Loan Trust 2005-AR5                                               | CUSIP: 76112BYB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1429635 | PA      | $1147766.52    | 0.00%             | 2035-09-19      | Variable      | 4.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BQBG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  16726854 | PA      | $11826625.33   | 0.04%             | 2050-11-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BRGX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  51999953 | PA      | $8602404.15    | 0.03%             | 2051-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31396WSP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1411960 | PA      | $1474042.55    | 0.00%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31397L3D9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    204332 | PA      | $14717.59      | 0.00%             | 2037-02-25      | Floating      | 2.22%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31397SB52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    884526 | PA      | $874257.31     | 0.00%             | 2041-05-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| First Franklin Mtg Loan Asset  | First Franklin Mortgage Loan Trust Series 2007-FF2                               | CUSIP: 32029GAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  19180192 | PA      | $9106519.46    | 0.03%             | 2037-03-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| GPMT Ltd.                      | GPMT 2021-FL4 Ltd                                                                | CUSIP: 36262TAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   9311334 | PA      | $9340488.09    | 0.03%             | 2036-12-15      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38374UV32<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10392 | PA      | $10419.53      | 0.00%             | 2039-06-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38375QHY8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2708123 | PA      | $294137.61     | 0.00%             | 2038-05-16      | Floating      | 3.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38377DBR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2317593 | PA      | $47345.65      | 0.00%             | 2040-03-20      | Floating      | 2.26%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38377FHZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4182598 | PA      | $338934.71     | 0.00%             | 2040-05-20      | Floating      | 1.96%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381E2A5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        | 118383276 | PA      | $4764441.47    | 0.02%             | 2063-10-16      | Variable      | 0.59%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381EDN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        | 174475640 | PA      | $12130558.46   | 0.04%             | 2062-05-16      | Variable      | 0.98%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381ENL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        | 283069653 | PA      | $16175251.01   | 0.05%             | 2064-02-16      | Variable      | 0.76%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381EP36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  87313008 | PA      | $3561078.51    | 0.01%             | 2063-10-16      | Variable      | 0.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381ERF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        | 137231781 | PA      | $8243389.60    | 0.03%             | 2063-10-16      | Variable      | 0.79%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381EUQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  84581437 | PA      | $5112009.02    | 0.02%             | 2063-01-16      | Variable      | 0.83%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381HP54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  47880498 | PA      | $2919862.92    | 0.01%             | 2063-07-16      | Variable      | 0.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381HTD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        | 128575110 | PA      | $8874716.98    | 0.03%             | 2062-01-16      | Variable      | 0.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38383C6P0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  21760345 | PA      | $3151122.13    | 0.01%             | 2051-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38383LHD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  70954969 | PA      | $9674121.09    | 0.03%             | 2051-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38383UVT4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  54094445 | PA      | $7673816.31    | 0.02%             | 2051-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38383Y3M2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10737381 | PA      | $10715173.68   | 0.03%             | 2047-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38384D2P1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  23178926 | PA      | $20510996.85   | 0.07%             | 2052-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38384GUM0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  26119474 | PA      | $23639325.57   | 0.08%             | 2053-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Acquisition | JP Morgan Mortgage Acquisition Trust 2006-CH2                                    | CUSIP: 46629QAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4813728 | PA      | $2837313.23    | 0.01%             | 2029-09-25      | Variable      | 5.96%                 | No            |                  2 | On Loan: No      |
| Long Beach Mortgage Loan Trust | Long Beach Mortgage Loan Trust 2006-WL1                                          | CUSIP: 542514QX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11644073 | PA      | $11873504.70   | 0.04%             | 2046-01-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| Luminent Mortgage Trust        | Luminent Mortgage Trust 2005-1                                                   | CUSIP: 550279AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    990863 | PA      | $968846.59     | 0.00%             | 2035-11-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loans Trust  | MASTR Alternative Loan Trust 2007-1                                              | CUSIP: 55275SAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3688503 | PA      | $1005614.39    | 0.00%             | 2036-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MF1 Multifamily Housing Mortga | MF1 2022-FL9 LLC                                                                 | CUSIP: 55285AAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5006626 | PA      | $5014441.40    | 0.02%             | 2037-06-19      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| Maritime Partners, LLC         | MP 2023 LLC                                                                      | CUSIP: 553427AB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  19987296 | PA      | $19859663.26   | 0.06%             | 2065-11-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Manhattan West                 | Manhattan West 2020-1MW Mortgage Trust                                           | CUSIP: 563136AG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5731000 | PA      | $5507260.04    | 0.02%             | 2039-09-10      | Variable      | 2.33%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2007-8                                           | CUSIP: 12545AAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4281760 | PA      | $1740908.85    | 0.01%             | 2038-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan  | CitiMortgage Alternative Loan Trust Series 2007-A1                               | CUSIP: 12566QAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    810502 | PA      | $734787.33     | 0.00%             | 2037-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan  | CitiMortgage Alternative Loan Trust Series 2007-A1                               | CUSIP: 12566QAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2073863 | PA      | $150223.98     | 0.00%             | 2037-01-25      | Floating      | 1.61%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan  | CitiMortgage Alternative Loan Trust Series 2007-A5                               | CUSIP: 12566WAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    372255 | PA      | $345227.25     | 0.00%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Helios Issuer, LLC             | SUNNOVA HELIOS II ISSUER LLC 2019-A                                              | CUSIP: 86745LAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4651902 | PA      | $4269635.38    | 0.01%             | 2046-06-20      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se | Wells Fargo Mortgage Backed Securities 2007-7 Trust                              | CUSIP: 94985JAH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    194130 | PA      | $171161.46     | 0.00%             | 2037-06-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loans Trust  | MASTR Alternative Loan Trust 2005-5                                              | CUSIP: 576434T20<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6269268 | PA      | $2646965.27    | 0.01%             | 2035-08-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Backed Securities  | Mastr Asset Backed Securities Trust 2007-HE1                                     | CUSIP: 576457AC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4804703 | PA      | $4698628.19    | 0.02%             | 2037-05-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                     | MFA 2025-NQM3 Trust                                                              | CUSIP: 58004LAD9<br>LEI: 2549007EHG79GWD49I44 | Long             | ABS-MBS          | CORP              | US        |  10000000 | PA      | $10014620.00   | 0.03%             | 2070-08-25      | Variable      | 6.13%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investo | Merrill Lynch Mortgage Investors Trust Series 2007-HE3                           | CUSIP: 590238AD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2704106 | PA      | $1024554.78    | 0.00%             | 2047-04-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Alternative Note | Merrill Lynch Alternative Note Asset Trust Series 2007-F1                        | CUSIP: 59023YAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12693633 | PA      | $1465943.22    | 0.00%             | 2037-03-25      | Floating      | 2.89%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investo | Merrill Lynch Mortgage Investors Trust Series 2007-MLN1                          | CUSIP: 59024UAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  41900674 | PA      | $33037123.05   | 0.11%             | 2037-03-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trus | CSAIL 2019-C17 Commercial Mortgage Trust                                         | CUSIP: 12597BAW9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  23192077 | PA      | $776454.50     | 0.00%             | 2052-09-15      | Variable      | 1.31%                 | No            |                  2 | On Loan: No      |
| CSMCM Trust Certificates       | CSMCM 2020-RPL1 Trust                                                            | CUSIP: 12597LAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7756652 | PA      | $5986483.16    | 0.02%             | 2046-01-25      | Variable      | 3.23%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust | Morgan Stanley Capital I Trust 2021-L6                                           | CUSIP: 61692CBX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10779000 | PA      | $9093204.28    | 0.03%             | 2054-06-15      | Variable      | 3.44%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Inc     | Morgan Stanley Capital I Inc Trust 2006-NC2                                      | CUSIP: 617451EG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13161715 | PA      | $13408599.64   | 0.04%             | 2036-02-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T | Morgan Stanley Mortgage Loan Trust 2006-7                                        | CUSIP: 61749JAE6<br>LEI: 549300E4V6DCTUJSC749 | Long             | ABS-MBS          | CORP              | US        |  11469368 | PA      | $5707142.74    | 0.02%             | 2036-06-25      | Variable      | 5.04%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Inc     | Morgan Stanley ABS Capital I Inc Trust 2006-HE7                                  | CUSIP: 61750MAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  15408025 | PA      | $6471672.35    | 0.02%             | 2036-09-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Inc     | Morgan Stanley ABS Capital I Inc Trust 2006-HE7                                  | CUSIP: 61750MAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  20445952 | PA      | $8580527.96    | 0.03%             | 2036-09-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust      | Morgan Stanley Bank of America Merrill Lynch Trust 2013-C9                       | CUSIP: 61762DAZ4<br>LEI: 549300PFVBG5704L7K74 | Long             | ABS-MBS          | CORP              | US        |   3172649 | PA      | $3030584.41    | 0.01%             | 2046-05-15      | Variable      | 3.71%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust | Morgan Stanley Capital I Trust 2020-L4                                           | CUSIP: 61770KAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13625665 | PA      | $547075.90     | 0.00%             | 2053-02-15      | Variable      | 1.17%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust      | Morgan Stanley Bank of America Merrill Lynch Trust 2025-5C2                      | CUSIP: 61779RBK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  19614000 | PA      | $19891540.06   | 0.06%             | 2058-11-15      | Fixed         | 5.11%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust            | COMM 2015-DC1 Mortgage Trust                                                     | CUSIP: 12629NAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13720354 | PA      | $137.20        | 0.00%             | 2048-02-10      | Variable      | 0.56%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Series 2010-4R                                                              | CUSIP: 12643NMK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2237530 | PA      | $2029974.82    | 0.01%             | 2037-06-26      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag | Wells Fargo Commercial Mortgage Trust 2025-AGLN                                  | CUSIP: 94990HAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  15140000 | PA      | $15126661.66   | 0.05%             | 2037-07-15      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag | Wells Fargo Commercial Mortgage Trust 2019-C53                                   | CUSIP: 95002BAK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $4471887.50    | 0.01%             | 2052-10-15      | Variable      | 3.58%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag | Wells Fargo Commercial Mortgage Trust 2024-5C1                                   | CUSIP: 95003VAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6516000 | PA      | $6742988.77    | 0.02%             | 2057-07-15      | Fixed         | 5.93%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag | Wells Fargo Commercial Mortgage Trust 2024-5C1                                   | CUSIP: 95003VAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 117782619 | PA      | $3307418.40    | 0.01%             | 2057-07-15      | Variable      | 1.03%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag | Wells Fargo Commercial Mortgage Trust 2025-5C7                                   | CUSIP: 95004XAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4708000 | PA      | $4772594.70    | 0.02%             | 2058-12-15      | Variable      | 5.86%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-J1                                                   | CUSIP: 12667F3Y9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11617 | PA      | $9343.81       | 0.00%             | 2020-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-J3                                                   | CUSIP: 12667GDQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2383287 | PA      | $1777209.01    | 0.01%             | 2035-05-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-60T1                                                 | CUSIP: 12668AUW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    292007 | PA      | $170372.21     | 0.00%             | 2035-12-25      | Floating      | 8.12%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-57CB                                                 | CUSIP: 12668AYE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9643123 | PA      | $6809878.02    | 0.02%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-64CB                                                 | CUSIP: 12668AZP3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3512203 | PA      | $3099644.10    | 0.01%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-77T1                                                 | CUSIP: 12668BCF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  27131885 | PA      | $11914671.71   | 0.04%             | 2036-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-86CB                                                 | CUSIP: 12668BFE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    768937 | PA      | $418956.58     | 0.00%             | 2036-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Centex Home Equity             | Centex Home Equity Loan Trust 2004-A                                             | CUSIP: 152314HZ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2842292 | PA      | $2832794.72    | 0.01%             | 2034-01-25      | Variable      | 5.43%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora | Chase Mortgage Finance Trust Series 2006-S3                                      | CUSIP: 16162XAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4617868 | PA      | $1869098.71    | 0.01%             | 2036-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2007-13                                          | CUSIP: 17025JAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2780835 | PA      | $1213411.47    | 0.00%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2007-12                                          | CUSIP: 17025LAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6162932 | PA      | $2914376.16    | 0.01%             | 2037-08-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan  | CitiMortgage Alternative Loan Trust Series 2007-A8                               | CUSIP: 17313MAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    169198 | PA      | $157428.15     | 0.00%             | 2037-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust  | Citigroup Mortgage Loan Trust 2020-RP1                                           | CUSIP: 17328MAR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  22116950 | PA      | $16866678.01   | 0.05%             | 2064-08-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust  | Citigroup Mortgage Loan Trust 2020-RP1                                           | CUSIP: 17328MAT7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  18676200 | PA      | $13788776.66   | 0.04%             | 2064-08-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust  | Citigroup Mortgage Loan Trust 2020-RP1                                           | CUSIP: 17328MBH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  48653880 | PA      | $39983515.39   | 0.13%             | 2064-08-25      | Variable      | 6.39%                 | No            |                  2 | On Loan: No      |
| CoreVest American Finance Ltd  | CoreVest American Finance 2020-3 Trust                                           | CUSIP: 21873CAL7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9000000 | PA      | $7874013.60    | 0.03%             | 2053-08-15      | Variable      | 2.95%                 | No            |                  2 | On Loan: No      |
| Bank                           | BANK 2018-BNK10                                                                  | CUSIP: 065404AN5<br>LEI: 549300GL0Y86051URC66 | Long             | ABS-MBS          | CORP              | US        |  31334000 | PA      | $882005.10     | 0.00%             | 2061-02-15      | Variable      | 1.72%                 | No            |                  2 | On Loan: No      |
| CSAB Mortgage Backed Trust     | CSAB Mortgage-Backed Trust 2007-1                                                | CUSIP: 12629EAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7586166 | PA      | $1579179.47    | 0.01%             | 2037-05-25      | Variable      | 5.90%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Mortgage-Backed Trust Series 2006-2                                         | CUSIP: 225470YZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2590910 | PA      | $973938.45     | 0.00%             | 2036-03-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Crown City CLO                 | Crown City CLO VI                                                                | CUSIP: 22823EAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  90000000 | PA      | $90073386.00   | 0.29%             | 2037-07-15      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Mortgage-Backed Trust 2006-6                                                | CUSIP: 22942JAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6525076 | PA      | $2787801.49    | 0.01%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank Commercial Mortg | DBJPM 20-C9 Mortgage Trust                                                       | CUSIP: 233063AW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  46197420 | PA      | $1848908.51    | 0.01%             | 2053-09-15      | Variable      | 1.58%                 | No            |                  2 | On Loan: No      |
| DTP Commercial Mortgage Trust  | DTP Commercial Mortgage Trust 2023-STE2                                          | CUSIP: 23346GAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2210000 | PA      | $2214650.06    | 0.01%             | 2041-01-15      | Variable      | 5.40%                 | No            |                  2 | On Loan: No      |
| DataBank Issuer II, LLC        | DataBank Issuer II LLC                                                           | CUSIP: 23802YAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5045000 | PA      | $4861870.54    | 0.02%             | 2055-09-27      | Fixed         | 5.67%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities INC  | Deutsche Alt-A Securities Inc Mortgage Loan Trust Series 2005-5                  | CUSIP: 251510HU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    420410 | PA      | $154198.09     | 0.00%             | 2035-11-25      | Floating      | 3.99%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities INC  | Deutsche Alt-A Securities Inc Mortgage Loan Trust Series 2005-6                  | CUSIP: 251510KF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3757350 | PA      | $3210408.70    | 0.01%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities INC  | Deutsche Alt-B Securities Mortgage Loan Trust Series 2006-AB4                    | CUSIP: 251513AQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    547152 | PA      | $477402.35     | 0.00%             | 2036-10-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Diamond Issuer LLC             | Diamond Issuer LLC                                                               | CUSIP: 25267TAQ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6000000 | PA      | $5819103.60    | 0.02%             | 2051-11-20      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage T | EFMT 2026-INV2                                                                   | CUSIP: 26846TAL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12320000 | PA      | $12018649.10   | 0.04%             | 2071-02-25      | Variable      | 5.33%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                                            | CUSIP: 31292K2X4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1511835 | PA      | $1498895.66    | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Series 2010-7R                                                              | CUSIP: 12643RBJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8010974 | PA      | $4051048.30    | 0.01%             | 2037-01-26      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Trust 2013-9R                                                               | CUSIP: 12647LAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7057098 | PA      | $6433378.57    | 0.02%             | 2043-05-27      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                 | CUSIP: 3132DWCE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6866373 | PA      | $6323076.85    | 0.02%             | 2051-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136A2DB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    520021 | PA      | $422438.72     | 0.00%             | 2041-11-25      | Floating      | 2.53%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora | Chase Mortgage Finance Trust Series 2005-A1                                      | CUSIP: 16162WPG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1993583 | PA      | $1909785.99    | 0.01%             | 2035-12-25      | Variable      | 4.66%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage  | Citigroup Commercial Mortgage Trust 2016-C1                                      | CUSIP: 17290YAW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  51394951 | PA      | $513.95        | 0.00%             | 2049-05-10      | Variable      | 1.71%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136AL2L4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  33945336 | PA      | $31050264.11   | 0.10%             | 2044-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136ALPL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  25684004 | PA      | $23373031.48   | 0.08%             | 2044-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136B0YQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  22818629 | PA      | $20714659.72   | 0.07%             | 2048-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BBG63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7217047 | PA      | $5468563.42    | 0.02%             | 2060-09-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Citicorp Mortgage Securities,  | Citicorp Mortgage Securities Inc                                                 | CUSIP: 172973M97<br>LEI: 549300ISEJNGWSXAKR30 | Long             | ABS-MBS          | CORP              | US        |   1346130 | PA      | $1317581.21    | 0.00%             | 2035-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust  | Citigroup Mortgage Loan Trust 2006-FX1                                           | CUSIP: 17309YAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1943968 | PA      | $1117104.83    | 0.00%             | 2036-10-25      | Variable      | 7.34%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage  | Citigroup Commercial Mortgage Trust 2016-P5                                      | CUSIP: 17325DAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  64050457 | PA      | $37155.67      | 0.00%             | 2049-10-10      | Variable      | 1.35%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage  | Citigroup Commercial Mortgage Trust 2020-GC46                                    | CUSIP: 17328RBC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2853000 | PA      | $2512041.96    | 0.01%             | 2053-02-15      | Variable      | 3.15%                 | No            |                  2 | On Loan: No      |
| Liberty Street Trust           | LBTY Commercial Mortgage Trust 2026-225L                                         | CUSIP: 50178LAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  22560000 | PA      | $22290800.54   | 0.07%             | 2043-02-10      | Variable      | 4.59%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2005-2                                                     | CUSIP: 52520MCC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1365295 | PA      | $675383.89     | 0.00%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ameriquest Mortgage Securities | Ameriquest Mortgage Securities Asset-Backed Pass-Through Ctfs Ser 2004 FR1       | CUSIP: 03072SQR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    133228 | PA      | $132673.03     | 0.00%             | 2034-05-25      | Variable      | 3.69%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust       | Angel Oak Mortgage Trust 2025-12                                                 | CUSIP: 03466KAE6<br>LEI: 254900ZULW8CAJ29C630 | Long             | ABS-MBS          | CORP              | US        |  10467153 | PA      | $10417337.31   | 0.03%             | 2070-12-25      | Variable      | 5.34%                 | No            |                  2 | On Loan: No      |
| ARDN 2025-ARCP Mortgage Trust  | ARDN 2025-ARCP Mortgage Trust                                                    | CUSIP: 039961AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  22380000 | PA      | $22327702.42   | 0.07%             | 2035-06-15      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                 | CUSIP: 3132DQJQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  14335536 | PA      | $12316590.43   | 0.04%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                 | CUSIP: 3132DQLN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11250058 | PA      | $11586148.82   | 0.04%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2005-3                                                     | CUSIP: 52520MEF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    543221 | PA      | $486979.00     | 0.00%             | 2036-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2006-1                                                     | CUSIP: 52520MFG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1879673 | PA      | $1196115.64    | 0.00%             | 2036-02-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BDQ43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  35474343 | PA      | $5338640.26    | 0.02%             | 2051-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BDR26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  17259636 | PA      | $2668035.99    | 0.01%             | 2051-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BGV73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  16854398 | PA      | $13886045.50   | 0.04%             | 2049-06-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BKF23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  19652942 | PA      | $17510356.47   | 0.06%             | 2049-01-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC               | COLT 2024-6 Mortgage Loan Trust                                                  | CUSIP: 19688XAD8<br>LEI: 213800U2X2TO1PQH1O75 | Long             | ABS-MBS          | CORP              | US        |   5552000 | PA      | $5552089.39    | 0.02%             | 2069-11-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC               | COLT 2026-2 Mortgage Loan Trust                                                  | CUSIP: 19689FAL8<br>LEI: 213800O4MIR3K4EURE50 | Long             | ABS-MBS          | CORP              | US        |   4000000 | PA      | $4024252.00    | 0.01%             | 2071-03-25      | Variable      | 5.42%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BLGM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        | 112396947 | PA      | $100488973.62  | 0.32%             | 2047-11-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137A1HC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1461119 | PA      | $81202.87      | 0.00%             | 2032-08-15      | Floating      | 2.26%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137A6XX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9320575 | PA      | $9559014.90    | 0.03%             | 2034-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3138WDZ20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7438825 | PA      | $7082591.61    | 0.02%             | 2035-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2006-4                                                     | CUSIP: 52520RAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1352585 | PA      | $106858.84     | 0.00%             | 2036-08-25      | Floating      | 1.61%                 | No            |                  2 | On Loan: No      |
| SOLRR Aircraft 2021-1 Limited  | Lunar 2021-1 Structured Aircraft Portfolio Notes                                 | CUSIP: 83438LAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | MC        |    846173 | PA      | $805599.05     | 0.00%             | 2046-10-15      | Fixed         | 3.43%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140NVJY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        | 135297000 | PA      | $137571600.99  | 0.44%             | 2031-06-01      | Fixed         | 5.81%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140NWL60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  49221000 | PA      | $49215214.07   | 0.16%             | 2029-10-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140QFUP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  17426728 | PA      | $15667769.21   | 0.05%             | 2040-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140QPXV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  77518810 | PA      | $76887471.23   | 0.25%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140QPZM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  37977121 | PA      | $38178457.94   | 0.12%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140XCW79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  57313412 | PA      | $49424581.58   | 0.16%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140XM4S2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  31740601 | PA      | $26130941.74   | 0.08%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140XMUM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  42081046 | PA      | $36228008.17   | 0.12%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Co | Structured Asset Securities Corp Mortgage Pass-Through Ctfs Ser 2003-24A         | CUSIP: 86359AH71<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    241536 | PA      | $241076.78     | 0.00%             | 2033-07-25      | Variable      | 6.29%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Inve | Structured Asset Mortgage Investments II Trust 2006-AR3                          | CUSIP: 86360KAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6845888 | PA      | $5746497.56    | 0.02%             | 2036-05-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                 | CUSIP: 3132DSGJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  32498423 | PA      | $33634003.02   | 0.11%             | 2054-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                 | CUSIP: 3132DSQS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  42972557 | PA      | $43943758.05   | 0.14%             | 2054-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3138WDZK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6918493 | PA      | $6503922.96    | 0.02%             | 2045-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31396QCR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    147191 | PA      | $11892.42      | 0.00%             | 2039-07-25      | Floating      | 2.17%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                 | CUSIP: 3132DTN71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  43746264 | PA      | $45447290.73   | 0.15%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                 | CUSIP: 3132DTTV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  26489676 | PA      | $27062561.14   | 0.09%             | 2053-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                     | AMSR 2021-SFR4 Trust                                                             | CUSIP: 66982FAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6500000 | PA      | $6398957.50    | 0.02%             | 2038-12-17      | Fixed         | 2.77%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Co | Structured Asset Securities Corp Mortgage Loan Trust Series 2007-RF1             | CUSIP: 86362CAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12144790 | PA      | $9992635.90    | 0.03%             | 2037-03-25      | Floating      | 3.98%                 | No            |                  2 | On Loan: No      |
| Switch ABS Issuer, LLC         | Switch ABS Issuer LLC                                                            | CUSIP: 871044AY9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1750000 | PA      | $1713366.55    | 0.01%             | 2055-10-25      | Fixed         | 6.24%                 | No            |                  2 | On Loan: No      |
| TAL Advantage VII LLC          | TAL Advantage VII LLC                                                            | CUSIP: 87407RAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4394000 | PA      | $4215483.20    | 0.01%             | 2045-09-20      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| Trestles CLO LTD               | Trestles CLO VI Ltd                                                              | CUSIP: 894940AQ8<br>LEI: 254900837GHK5VH7YU15 | Long             | ABS-CBDO         | CORP              | US        |  25000000 | PA      | $24967622.50   | 0.08%             | 2038-04-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                                                 | CUSIP: 912810TA6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 148600000 | PA      | $99396566.59   | 0.32%             | 2041-08-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                                                 | CUSIP: 91282CAV3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 150000000 | PA      | $130769532.00  | 0.42%             | 2030-11-15      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140XPBW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  31868781 | PA      | $31549581.42   | 0.10%             | 2053-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31416CH25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4603690 | PA      | $4637529.63    | 0.01%             | 2036-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31396QLH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    240197 | PA      | $242322.21     | 0.00%             | 2039-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31398FJM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1033138 | PA      | $1023462.16    | 0.00%             | 2039-10-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31398FKF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3123602 | PA      | $292645.62     | 0.00%             | 2036-01-25      | Floating      | 3.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31398FU25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    141690 | PA      | $144058.58     | 0.00%             | 2039-11-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31398GY86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    501628 | PA      | $496900.68     | 0.00%             | 2040-02-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31402RCV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1721971 | PA      | $1736934.08    | 0.01%             | 2035-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140FXMB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  53941161 | PA      | $48804132.57   | 0.16%             | 2053-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140LCX63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5592000 | PA      | $5085845.21    | 0.02%             | 2030-06-01      | Fixed         | 1.81%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140LER90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  48972000 | PA      | $43378267.82   | 0.14%             | 2032-01-01      | Fixed         | 1.98%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140LFHN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  41850000 | PA      | $36782365.09   | 0.12%             | 2032-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140W3S42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  76564694 | PA      | $76333954.24   | 0.25%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140W4UK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  36589388 | PA      | $36297385.71   | 0.12%             | 2056-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140XATW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4090606 | PA      | $3454765.04    | 0.01%             | 2041-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140XCB49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  23520204 | PA      | $20329191.74   | 0.07%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31417AGE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1715573 | PA      | $1684931.76    | 0.01%             | 2031-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31417AWX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5077287 | PA      | $4981930.81    | 0.02%             | 2032-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31417DQC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6987233 | PA      | $6766338.60    | 0.02%             | 2032-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2007-2                                                     | CUSIP: 52521DAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1345160 | PA      | $866317.34     | 0.00%             | 2037-02-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| MASTR Seasoned Securitization  | MASTR Seasoned Securitization Trust 2005-2                                       | CUSIP: 55265WDF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    290309 | PA      | $262850.21     | 0.00%             | 2032-10-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| MAPS Trust                     | MAPS 2026-1 Trust                                                                | CUSIP: 55293WAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6865752 | PA      | $6737239.23    | 0.02%             | 2051-01-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140XCGN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  37973984 | PA      | $36383268.24   | 0.12%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140XQ7M3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  23901356 | PA      | $24832902.74   | 0.08%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MAPS Trust                     | MAPS 2026-1 Trust                                                                | CUSIP: 55293WAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1531211 | PA      | $1525963.50    | 0.00%             | 2051-01-15      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Backed Securities  | Mastr Asset Backed Securities Trust 2006-AM2                                     | CUSIP: 57645FAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5180535 | PA      | $4878515.41    | 0.02%             | 2036-06-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investo | Merrill Lynch Mortgage Investors Trust Series 2006-AR1                           | CUSIP: 59020VAV5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7365914 | PA      | $1889268.62    | 0.01%             | 2037-03-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| NYC Commercial Mortgage Trust  | NYC Commercial Mortgage Trust 2026-1PARK                                         | CUSIP: 62979QAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  20180000 | PA      | $20127092.08   | 0.06%             | 2043-02-15      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31417YMB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1047288 | PA      | $1051531.37    | 0.00%             | 2030-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31417YP76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31497 | PA      | $30959.35      | 0.00%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Novastar Home Equity Loan      | NovaStar Mortgage Funding Trust Series 2005-3                                    | CUSIP: 66987XHA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  14600000 | PA      | $12608046.08   | 0.04%             | 2036-01-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC       | OBX 2026-NQM3 Trust                                                              | CUSIP: 67449MAL3<br>LEI: 25490008A4OQW8G7VN96 | Long             | ABS-MBS          | CORP              | US        |  10000000 | PA      | $9751117.00    | 0.03%             | 2066-01-25      | Variable      | 5.32%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31418AG36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  23141749 | PA      | $21603234.00   | 0.07%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31418CBM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1401953 | PA      | $1240245.47    | 0.00%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31418DAQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7685113 | PA      | $7135050.81    | 0.02%             | 2049-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31418DRW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  30452214 | PA      | $24791369.86   | 0.08%             | 2050-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Prose                          | Primrose Funding LLC                                                             | CUSIP: 74166YAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5746125 | PA      | $5851718.09    | 0.02%             | 2055-07-30      | Fixed         | 6.46%                 | No            |                  2 | On Loan: No      |
| Textainer Marine Containers Li | Textainer Marine Containers VII Ltd                                              | CUSIP: 88315LAH1<br>LEI: 549300X48KLHDDGPK024 | Long             | ABS-O            | CORP              | US        |   1612705 | PA      | $1530321.58    | 0.00%             | 2045-09-20      | Fixed         | 3.34%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31418DYC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  78698380 | PA      | $66771214.75   | 0.21%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31418FCS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  14324744 | PA      | $14665546.12   | 0.05%             | 2044-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Thornburg Mortgage Securities  | Thornburg Mortgage Securities Trust 2004-4                                       | CUSIP: 885220GK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1955482 | PA      | $1735502.86    | 0.01%             | 2044-12-25      | Variable      | 2.51%                 | No            |                  2 | On Loan: No      |
| TPG Real Estate Finance        | TRTX 2025-FL6 Issuer Ltd                                                         | CUSIP: 897764AA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  26180000 | PA      | $26269954.48   | 0.08%             | 2042-09-18      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31418VWV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    126773 | PA      | $128192.75     | 0.00%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mort | First Horizon Alternative Mortgage Securities Trust 2006-FA1                     | CUSIP: 32051GS63<br>LEI: 5493005TE20WPW8O1W08 | Long             | ABS-MBS          | CORP              | US        |   5962558 | PA      | $2242835.87    | 0.01%             | 2036-04-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust   | GS Mortgage Securities Trust 2013-GC13                                           | CUSIP: 36198EAY1<br>LEI: 549300WF5YRKNHB1FX69 | Long             | ABS-MBS          | CORP              | US        |   4000000 | PA      | $3756460.80    | 0.01%             | 2046-07-10      | Variable      | 3.86%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp.   | GSMSC Pass-Through Trust 2008-2R                                                 | CUSIP: 3622X1AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    871876 | PA      | $245367.81     | 0.00%             | 2036-09-25      | Variable      | 13.15%                | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust   | GS Mortgage Securities Trust 2018-GS10                                           | CUSIP: 36250SBF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6834000 | PA      | $731499.74     | 0.00%             | 2033-03-10      | Variable      | 4.58%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust   | GS Mortgage Securities Trust 2018-GS10                                           | CUSIP: 36250SBH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9287000 | PA      | $944332.81     | 0.00%             | 2033-03-10      | Variable      | 4.58%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust   | GS Mortgage Securities Corp Trust 2018-TWR                                       | CUSIP: 36251SAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11242000 | PA      | $294984.46     | 0.00%             | 2031-07-15      | Floating      | 6.77%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382KQD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  84325787 | PA      | $11971150.17   | 0.04%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382LCX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  68407169 | PA      | $10245875.29   | 0.03%             | 2050-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382LRF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  42505240 | PA      | $5727470.51    | 0.02%             | 2050-11-20      | Floating      | 2.51%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382LS36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  40503115 | PA      | $5669532.90    | 0.02%             | 2050-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382ME47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  50924783 | PA      | $6089117.04    | 0.02%             | 2051-01-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382MZP7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  48716225 | PA      | $8369476.73    | 0.03%             | 2051-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38384RDT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  49833763 | PA      | $3576394.76    | 0.01%             | 2066-03-16      | Variable      | 0.74%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2007-4                                                     | CUSIP: 52521LAN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    744103 | PA      | $195121.26     | 0.00%             | 2037-05-25      | Floating      | 4.12%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                | Lehman XS Trust 2007-1                                                           | CUSIP: 525241AF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2889466 | PA      | $3026340.36    | 0.01%             | 2037-02-25      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                | Lehman XS Trust Series 2007-15N                                                  | CUSIP: 52524VAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7747325 | PA      | $7254042.37    | 0.02%             | 2047-08-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                | Lehman XS Trust Series 2007-12N                                                  | CUSIP: 52524YAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7723410 | PA      | $7777225.34    | 0.03%             | 2047-07-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| Luminace ABS-2022 Issuer, LLC  | Luminace Abs-2024 Issuer LLC                                                     | CUSIP: 55026NAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  13398961 | PA      | $13227388.94   | 0.04%             | 2031-10-30      | Fixed         | 5.87%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I  | RFMSI Series 2007-S4 Trust                                                       | CUSIP: 74958YAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1035022 | PA      | $791152.55     | 0.00%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I  | RFMSI Series 2007-S4 Trust                                                       | CUSIP: 74958YAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    579643 | PA      | $443066.83     | 0.00%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati | Residential Asset Securitization Trust 2007-A2                                   | CUSIP: 761120AB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  18676425 | PA      | $8947010.44    | 0.03%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati | Residential Asset Securitization Trust 2007-A5                                   | CUSIP: 76114HAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5925093 | PA      | $682576.09     | 0.00%             | 2037-05-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati | Residential Asset Securitization Trust 2007-A7                                   | CUSIP: 76114QAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  15007833 | PA      | $5348506.56    | 0.02%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I  | RFMSI Series 2007-S6 Trust                                                       | CUSIP: 762009BB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    986775 | PA      | $779650.72     | 0.00%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                | Lehman XS Trust Series 2005-2                                                    | CUSIP: 86359DMY0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3783073 | PA      | $3468314.93    | 0.01%             | 2035-08-25      | Variable      | 5.94%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-5 Trust   | CUSIP: 93934FAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1006457 | PA      | $886817.98     | 0.00%             | 2035-07-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-1 Trust   | CUSIP: 93934FKN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1208886 | PA      | $1148487.60    | 0.00%             | 2036-02-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-3 Trust   | CUSIP: 93934FNQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1648765 | PA      | $1448173.83    | 0.00%             | 2036-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-5 Trust   | CUSIP: 93935BAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12406767 | PA      | $2528360.18    | 0.01%             | 2036-07-25      | Variable      | 6.72%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2007-5 Trust   | CUSIP: 93936PAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3334133 | PA      | $3076167.84    | 0.01%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo | Velocity Commercial Capital Loan Trust 2019-1                                    | CUSIP: 92257CAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  14168719 | PA      | $13623842.58   | 0.04%             | 2049-03-25      | Variable      | 3.76%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo | Velocity Commercial Capital Loan Trust 2019-2                                    | CUSIP: 92257NAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3987148 | PA      | $3873858.84    | 0.01%             | 2049-07-25      | Variable      | 3.13%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo | Velocity Commercial Capital Loan Trust 2024-6                                    | CUSIP: 92261BAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  37695440 | PA      | $37792411.25   | 0.12%             | 2054-12-25      | Variable      | 5.81%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo | Velocity Commercial Capital Loan Trust 2025-4                                    | CUSIP: 92262JAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10969638 | PA      | $10863896.48   | 0.03%             | 2055-09-25      | Variable      | 5.19%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo | Velocity Commercial Capital Loan Trust 2025-5                                    | CUSIP: 92262KAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  70706236 | PA      | $70146702.62   | 0.23%             | 2055-12-25      | Variable      | 5.32%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo | Velocity Commercial Capital Loan Trust 2026-1                                    | CUSIP: 92262WAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  29846856 | PA      | $29463691.01   | 0.09%             | 2056-02-25      | Variable      | 5.10%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo | Velocity Commercial Capital Loan Trust 2025-1                                    | CUSIP: 922955AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  24257011 | PA      | $24451942.74   | 0.08%             | 2055-02-25      | Variable      | 6.03%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust     | Verus Securitization Trust 2026-3                                                | CUSIP: 92490HAE6<br>LEI: 213800WC8BFD1C25XM36 | Long             | ABS-MBS          | CORP              | US        |  58000000 | PA      | $57711160.00   | 0.19%             | 2071-03-25      | Variable      | 4.93%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust     | Verus Securitization Trust 2024-R1                                               | CUSIP: 924926AF5<br>LEI: 213800A8V9BALJ9WKP38 | Long             | ABS-MBS          | CORP              | US        |   1055000 | PA      | $1052835.88    | 0.00%             | 2069-09-25      | Variable      | 5.90%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust     | Verus Securitization Trust 2025-7                                                | CUSIP: 924931AH1<br>LEI: 213800OVCAXDOBS94P47 | Long             | ABS-MBS          | CORP              | US        |   1290000 | PA      | $1284766.21    | 0.00%             | 2070-08-25      | Variable      | 5.82%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust     | Verus Securitization Trust 2026-R1                                               | CUSIP: 924932AC0<br>LEI: 213800IRNLDELLG4XV07 | Long             | ABS-MBS          | CORP              | US        |  36403515 | PA      | $36110641.69   | 0.12%             | 2067-10-25      | Variable      | 4.83%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust     | Verus Securitization Trust 2026-R1                                               | CUSIP: 924932AF3<br>LEI: 213800IRNLDELLG4XV07 | Long             | ABS-MBS          | CORP              | US        |   2890723 | PA      | $2867698.96    | 0.01%             | 2067-10-25      | Variable      | 5.03%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust     | Verus Securitization Trust 2021-4                                                | CUSIP: 92538HAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2300000 | PA      | $1664084.50    | 0.01%             | 2066-07-25      | Variable      | 3.81%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust     | Verus Securitization Trust 2021-5                                                | CUSIP: 92538KAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9255000 | PA      | $6976543.02    | 0.02%             | 2066-09-25      | Variable      | 2.33%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust     | Verus Securitization Trust 2021-3                                                | CUSIP: 92539LAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6100000 | PA      | $4863280.51    | 0.02%             | 2066-06-25      | Variable      | 2.40%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust     | Verus Securitization Trust 2024-8                                                | CUSIP: 92540PAD0<br>LEI: 213800RZ8QGNZ38DSP77 | Long             | ABS-MBS          | CORP              | US        |   8415000 | PA      | $8419375.80    | 0.03%             | 2069-10-25      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust     | Verus Securitization Trust 2026-1                                                | CUSIP: 92541JAM3<br>LEI: 2138009KJR7Q44BI8668 | Long             | ABS-MBS          | CORP              | US        |  10274168 | PA      | $10203747.46   | 0.03%             | 2071-01-25      | Variable      | 5.22%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-6 Trust   | CUSIP: 92922FY77<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    231239 | PA      | $207151.31     | 0.00%             | 2035-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer | WaMu Mortgage Pass-Through Certificates Series 2005-AR19 Trust                   | CUSIP: 92925CBL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4382014 | PA      | $3933752.87    | 0.01%             | 2045-12-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| Warwick Capital CLO Ltd        | Warwick Capital CLO 4 Ltd                                                        | CUSIP: 93655QAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  10000000 | PA      | $10013664.00   | 0.03%             | 2037-07-20      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-AR5 Trust | CUSIP: 93935AAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4311989 | PA      | $3625426.38    | 0.01%             | 2046-06-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2007-OC1 Trust | CUSIP: 93936FAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4750561 | PA      | $4343812.77    | 0.01%             | 2047-01-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2007-2 Trust   | CUSIP: 93936HAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6000102 | PA      | $4992039.90    | 0.02%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Alternative Loan T | Wells Fargo Alternative Loan 2007-PA1 Trust                                      | CUSIP: 94984TAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2288560 | PA      | $2114472.13    | 0.01%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Alternative Loan T | Wells Fargo Alternative Loan 2007-PA2 Trust                                      | CUSIP: 94985FAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9425709 | PA      | $8639924.75    | 0.03%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se | Wells Fargo Mortgage Backed Securities 2007-7 Trust                              | CUSIP: 94985JBU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    167849 | PA      | $147989.90     | 0.00%             | 2037-06-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag | Wells Fargo Commercial Mortgage Trust 2026-5C8                                   | CUSIP: 95005BAH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2388000 | PA      | $2340570.98    | 0.01%             | 2059-03-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivable | Westlake Automobile Receivables Trust 2024-3                                     | CUSIP: 96043CAF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  15000000 | PA      | $15093817.50   | 0.05%             | 2029-11-15      | Fixed         | 4.92%                 | No            |                  2 | On Loan: No      |
| Wingstop Funding LLC           | Wingstop Funding LLC                                                             | CUSIP: 974153AB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10342500 | PA      | $10020071.53   | 0.03%             | 2050-12-05      | Fixed         | 2.84%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-24CB                                                 | CUSIP: 02146TAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1170363 | PA      | $567745.30     | 0.00%             | 2036-08-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-24CB                                                 | CUSIP: 02146TAX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2746812 | PA      | $1376945.23    | 0.00%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-19CB                                                 | CUSIP: 02147QAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4267712 | PA      | $467986.19     | 0.00%             | 2036-08-25      | Floating      | 1.81%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S | BBCMS Mortgage Trust 2024-5C25                                                   | CUSIP: 05554VAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5780000 | PA      | $5998149.92    | 0.02%             | 2057-03-15      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor | Banc of America Funding 2006-B Trust                                             | CUSIP: 058928AN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    212175 | PA      | $188120.58     | 0.00%             | 2036-03-20      | Variable      | 4.17%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382TJ62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7124230 | PA      | $717548.85     | 0.00%             | 2051-06-20      | Floating      | 2.51%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382UBT7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  54573740 | PA      | $8010306.30    | 0.03%             | 2051-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382URD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  20187652 | PA      | $34256.43      | 0.00%             | 2051-06-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| HSI Asset Securitization Corpo | HSI Asset Securitization Corp Trust 2007-NC1                                     | CUSIP: 40430TAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11724810 | PA      | $7567722.08    | 0.02%             | 2037-04-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| IndyMac INDA Mortgage Loan Tru | IndyMac INDA Mortgage Loan Trust 2006-AR2                                        | CUSIP: 45661SAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    657515 | PA      | $406459.11     | 0.00%             | 2036-09-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| IndyMac INDA Mortgage Loan Tru | IndyMac INDA Mortgage Loan Trust 2006-AR3                                        | CUSIP: 45662FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6422864 | PA      | $4917972.51    | 0.02%             | 2036-12-25      | Variable      | 3.92%                 | No            |                  2 | On Loan: No      |
| IndyMac IMJA Mortgage Loan Tru | IndyMac IMJA Mortgage Loan Trust 2007-A2                                         | CUSIP: 456654AF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  18206726 | PA      | $3872066.25    | 0.01%             | 2037-10-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| IndyMac IMJA Mortgage Loan Tru | IndyMac IMJA Mortgage Loan Trust 2007-A3                                         | CUSIP: 456669AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  15510134 | PA      | $5812494.06    | 0.02%             | 2037-11-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Alternative Loan T | JP Morgan Alternative Loan Trust 2005-S1                                         | CUSIP: 46627MAU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1402645 | PA      | $911977.90     | 0.00%             | 2035-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Acquisition | JP Morgan Mortgage Acquisition Trust 2006-WF1                                    | CUSIP: 46628SAH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2722637 | PA      | $686090.08     | 0.00%             | 2036-07-25      | Variable      | 6.91%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor | JP Morgan Chase Commercial Mortgage Securities Trust 2020-NNN                    | CUSIP: 46652BBL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  29530000 | PA      | $10777564.10   | 0.03%             | 2037-01-16      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| Liberty Street Trust           | LBTY Commercial Mortgage Trust 2026-225L                                         | CUSIP: 50178LAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2270000 | PA      | $2228235.63    | 0.01%             | 2043-02-10      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                | Lehman XS Trust Series 2005-9N                                                   | CUSIP: 525221GQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6009423 | PA      | $5535890.64    | 0.02%             | 2036-02-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Long Beach Mortgage Loan Trust | Long Beach Mortgage Loan Trust 2006-3                                            | CUSIP: 542514UL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4546366 | PA      | $1342896.48    | 0.00%             | 2046-05-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| LSTAR Commercial Mortgage Trus | LSTAR Commercial Mortgage Trust 2017-5                                           | CUSIP: 54910TBA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13709569 | PA      | $54202.15      | 0.00%             | 2050-03-10      | Variable      | 0.87%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-26CB                                                 | CUSIP: 02147WAS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1389412 | PA      | $623314.90     | 0.00%             | 2036-09-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-39CB                                                 | CUSIP: 02148JAK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    645719 | PA      | $525531.71     | 0.00%             | 2037-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor | Banc of America Funding 2006-3 Trust                                             | CUSIP: 058931AB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    232095 | PA      | $200895.63     | 0.00%             | 2036-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Mortgage Secur | Banc of America Mortgage 2006-1 Trust                                            | CUSIP: 05949YAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    693774 | PA      | $587347.03     | 0.00%             | 2036-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor | Banc of America Funding 2006-H Trust                                             | CUSIP: 05950PAS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  42188720 | PA      | $13394015.65   | 0.04%             | 2036-10-20      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor | Banc of America Funding 2007-5 Trust                                             | CUSIP: 059523AB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1052110 | PA      | $865343.37     | 0.00%             | 2037-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Bank                           | Bank 2019-BNK19                                                                  | CUSIP: 06540WAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  17013666 | PA      | $512453.32     | 0.00%             | 2061-08-15      | Variable      | 1.03%                 | No            |                  2 | On Loan: No      |
| Bank                           | BANK 2017-BNK4                                                                   | CUSIP: 06541FBF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3554000 | PA      | $3162471.46    | 0.01%             | 2050-05-15      | Variable      | 4.37%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S | Barclays Commercial Mortgage Trust 2019-C4                                       | CUSIP: 07335CAK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 162044810 | PA      | $6198991.78    | 0.02%             | 2052-08-15      | Variable      | 1.51%                 | No            |                  2 | On Loan: No      |
| CD Commercial Mortgage Trust   | CD 2017-CD6 Mortgage Trust                                                       | CUSIP: 125039AJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5723000 | PA      | $5425712.47    | 0.02%             | 2050-11-13      | Variable      | 3.91%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan  | CitiMortgage Alternative Loan Trust Series 2007-A4                               | CUSIP: 12566VAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2752263 | PA      | $2251695.74    | 0.01%             | 2037-04-25      | Floating      | 4.12%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan  | CitiMortgage Alternative Loan Trust Series 2007-A3                               | CUSIP: 12567AAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1676231 | PA      | $1488104.20    | 0.00%             | 2037-03-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust            | COMM 2014-CCRE16 Mortgage Trust                                                  | CUSIP: 12591VAK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4345000 | PA      | $4174926.71    | 0.01%             | 2047-04-10      | Variable      | 4.72%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2004-36CB                                                 | CUSIP: 12667FR23<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  20675416 | PA      | $14377072.36   | 0.05%             | 2035-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-46CB                                                 | CUSIP: 12667G7H0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1697267 | PA      | $1157208.66    | 0.00%             | 2035-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-28CB                                                 | CUSIP: 12667GYP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    894833 | PA      | $330373.00     | 0.00%             | 2035-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-J13                                                  | CUSIP: 12668AC86<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    312740 | PA      | $187435.20     | 0.00%             | 2035-11-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-64CB                                                 | CUSIP: 12668AZZ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    241991 | PA      | $213566.04     | 0.00%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-85CB                                                 | CUSIP: 12668BEE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  18337018 | PA      | $6612917.41    | 0.02%             | 2036-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-12CB                                                 | CUSIP: 12668BXD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2996050 | PA      | $1432040.39    | 0.00%             | 2036-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora | Chase Mortgage Finance Trust Series 2006-S1                                      | CUSIP: 16162WRB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7060299 | PA      | $2906231.51    | 0.01%             | 2036-05-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora | Chase Mortgage Finance Trust Series 2007-S1                                      | CUSIP: 16163FAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3920263 | PA      | $1492537.31    | 0.00%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ChaseFlex Trust                | ChaseFlex Trust Multi-Class Mortgage Pass-Through Certificates Series 2007-M1    | CUSIP: 16165YAT9<br>LEI: 5493006ND0ASVXWQFQ18 | Long             | ABS-MBS          | CORP              | US        |   4089425 | PA      | $3479882.56    | 0.01%             | 2037-08-25      | Variable      | 4.20%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust  | Citigroup Mortgage Loan Trust 2006-AR3                                           | CUSIP: 17306SAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3712678 | PA      | $3529801.92    | 0.01%             | 2036-06-25      | Variable      | 5.58%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC               | Colt 2025-1 Mortgage Loan Trust                                                  | CUSIP: 196920AE2<br>LEI: 21380069FFOP8RZNF423 | Long             | ABS-MBS          | CORP              | US        |   1504792 | PA      | $1514088.57    | 0.00%             | 2070-01-25      | Variable      | 6.08%                 | No            |                  2 | On Loan: No      |
| Compass Datacenters Issuer III | Compass Datacenters Issuer III LLC                                               | CUSIP: 20469BAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  16250000 | PA      | $16301315.88   | 0.05%             | 2050-02-25      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                                            | CUSIP: 3128LXBH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4190377 | PA      | $4246512.34    | 0.01%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                                            | CUSIP: 3128MAAA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4074866 | PA      | $3944457.97    | 0.01%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                                            | CUSIP: 3128MJVG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11685407 | PA      | $10690807.56   | 0.03%             | 2044-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                                            | CUSIP: 3128MJVM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  13789124 | PA      | $12599776.35   | 0.04%             | 2044-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                                            | CUSIP: 3128MJXD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        | 112278218 | PA      | $101953927.76  | 0.33%             | 2045-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati | Residential Asset Securitization Trust 2005-A16                                  | CUSIP: 45660L2T5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7150654 | PA      | $2455391.48    | 0.01%             | 2036-02-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I  | RFMSI Series 2006-S10 Trust                                                      | CUSIP: 74958DAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2987691 | PA      | $2431861.87    | 0.01%             | 2036-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2007-QS6 Trust                                                       | CUSIP: 75116CAN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    392367 | PA      | $574502.32     | 0.00%             | 2037-04-25      | Floating      | 23.39%                | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati | Residential Asset Securitization Trust 2006-A10                                  | CUSIP: 76113LAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4827242 | PA      | $1368312.64    | 0.00%             | 2036-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati | Residential Asset Securitization Trust 2006-A14CB                                | CUSIP: 76114BAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  31076331 | PA      | $3642975.70    | 0.01%             | 2036-12-25      | Floating      | 2.76%                 | No            |                  2 | On Loan: No      |
| SOFI CONSUMER LOAN PROGRAM TRU | SoFi Consumer Loan Program 2025-3 Trust                                          | CUSIP: 83390JAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  19792569 | PA      | $19798118.73   | 0.06%             | 2034-08-15      | Fixed         | 4.47%                 | No            |                  2 | On Loan: No      |
| Starwood Residential Mortgage  | STAR 2021-1 Trust                                                                | CUSIP: 85573GAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6329000 | PA      | $5057670.35    | 0.02%             | 2065-05-25      | Variable      | 4.52%                 | No            |                  2 | On Loan: No      |
| Starwood Mortgage Residential  | Starwood Mortgage Residential Trust 2021-2                                       | CUSIP: 85573HAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7110000 | PA      | $5224880.20    | 0.02%             | 2065-05-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Stellantis Financial Underwrit | Stellantis Financial Underwritten Enhanced Lease Trust 2025-C                    | CUSIP: 85855EAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10610000 | PA      | $10605170.33   | 0.03%             | 2028-06-20      | Fixed         | 4.06%                 | No            |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust | Mariner Finance issuance Trust 2024-B                                            | CUSIP: 56847GAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  35000000 | PA      | $35151182.50   | 0.11%             | 2038-11-20      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T | Morgan Stanley Mortgage Loan Trust 2007-3XS                                      | CUSIP: 61752RAJ1<br>LEI: 549300SRGEL7X4RBPX12 | Long             | ABS-MBS          | CORP              | US        |   4784106 | PA      | $1640480.58    | 0.01%             | 2047-01-25      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ReRemic Trust   | Morgan Stanley Re-REMIC Trust 2010-R5                                            | CUSIP: 61759HBC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4618263 | PA      | $4551902.59    | 0.01%             | 2037-01-26      | Variable      | 3.44%                 | No            |                  2 | On Loan: No      |
| Natixis Commercial Mortgage Se | Natixis Commercial Mortgage Securities Trust 2020-2PAC                           | CUSIP: 63875DAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13188800 | PA      | $11808082.99   | 0.04%             | 2038-12-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer | WaMu Mortgage Pass-Through Certificates Series 2006-AR10 Trust                   | CUSIP: 93363EAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4524777 | PA      | $4007823.75    | 0.01%             | 2036-09-25      | Variable      | 4.44%                 | No            |                  2 | On Loan: No      |
| Warwick Capital CLO Ltd        | Warwick Capital CLO 3 Ltd                                                        | CUSIP: 93655PAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  18500000 | PA      | $18519421.30   | 0.06%             | 2037-04-20      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| SUBWAY FUNDING LLC             | Subway Funding LLC                                                               | CUSIP: 864300AL2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6181750 | PA      | $6042952.40    | 0.02%             | 2054-07-30      | Fixed         | 5.91%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2007-HY2                                                  | CUSIP: 02148LAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  14411863 | PA      | $13736220.44   | 0.04%             | 2047-03-25      | Variable      | 4.67%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-41CB                                                 | CUSIP: 02149CAK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2599618 | PA      | $1261324.99    | 0.00%             | 2037-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-43CB                                                 | CUSIP: 02149FAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8749994 | PA      | $4384627.49    | 0.01%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2007-5CB                                                  | CUSIP: 02150EAT0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3321880 | PA      | $375247.54     | 0.00%             | 2037-04-25      | Floating      | 1.86%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se | Wells Fargo Mortgage Backed Securities 2006-AR4 Trust                            | CUSIP: 94983PAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    476002 | PA      | $474547.07     | 0.00%             | 2036-04-25      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se | Wells Fargo Mortgage Backed Securities 2007-AR9 Trust                            | CUSIP: 94986GAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7376430 | PA      | $6698095.75    | 0.02%             | 2037-12-28      | Variable      | 5.85%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag | Wells Fargo Commercial Mortgage Trust 2015-C27                                   | CUSIP: 94989DBC2<br>LEI: 5493001SKB2HKIF64L70 | Long             | ABS-MBS          | CORP              | US        |   1915619 | PA      | $1697766.36    | 0.01%             | 2048-02-15      | Fixed         | 3.89%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag | Wells Fargo Commercial Mortgage Trust 2019-C49                                   | CUSIP: 95001WAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4335668 | PA      | $231538.98     | 0.00%             | 2052-03-15      | Variable      | 2.14%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag | Wells Fargo Commercial Mortgage Trust 2020-C55                                   | CUSIP: 95002EBG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  52886315 | PA      | $1783173.17    | 0.01%             | 2053-02-15      | Variable      | 0.78%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag | Wells Fargo Commercial Mortgage Trust 2019-C52                                   | CUSIP: 95002MBA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  24972000 | PA      | $23239252.85   | 0.07%             | 2052-08-15      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2007-9T1                                                  | CUSIP: 02150JAT9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1412122 | PA      | $563462.37     | 0.00%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2007-HY4                                                  | CUSIP: 02150QAK2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10118827 | PA      | $10015584.38   | 0.03%             | 2037-06-25      | Variable      | 4.26%                 | No            |                  2 | On Loan: No      |
| Banc of America Alternative Lo | Banc of America Alternative Loan Trust 2006-7                                    | CUSIP: 059469AD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7456314 | PA      | $1858255.03    | 0.01%             | 2036-10-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor | Banc of America Funding 2006-H Trust                                             | CUSIP: 05950PAH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     75964 | PA      | $65861.13      | 0.00%             | 2046-09-20      | Variable      | 4.06%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor | Banc of America Funding 2009-R15 Trust                                           | CUSIP: 05955PAH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    764442 | PA      | $664182.48     | 0.00%             | 2036-12-26      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2006-20                                          | CUSIP: 12544AAW5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1216876 | PA      | $516855.51     | 0.00%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137ACDU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1862202 | PA      | $1846857.25    | 0.01%             | 2041-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137ACSU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1555142 | PA      | $124031.57     | 0.00%             | 2041-07-15      | Floating      | 2.18%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31398SLC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3446694 | PA      | $3329037.99    | 0.01%             | 2040-12-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31415RYM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    403004 | PA      | $426536.00     | 0.00%             | 2038-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31417ATZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6418543 | PA      | $6299472.04    | 0.02%             | 2032-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust        | GSR Mortgage Loan Trust 2006-2F                                                  | CUSIP: 362334DK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1486144 | PA      | $593598.54     | 0.00%             | 2036-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust | HarborView Mortgage Loan Trust 2006-11                                           | CUSIP: 41162GAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3160859 | PA      | $2883630.21    | 0.01%             | 2036-12-19      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-J1                                                   | CUSIP: 12667F3W3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2645117 | PA      | $2567049.79    | 0.01%             | 2035-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-46CB                                                 | CUSIP: 12668ABD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    859867 | PA      | $586263.68     | 0.00%             | 2035-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-80CB                                                 | CUSIP: 12668BGF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  16622432 | PA      | $7010562.19    | 0.02%             | 2036-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-J1                                                   | CUSIP: 12668BJZ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3196914 | PA      | $2109826.40    | 0.01%             | 2036-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2007-8CB                                                  | CUSIP: 02150FAM2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    219479 | PA      | $254398.98     | 0.00%             | 2037-05-25      | Floating      | 17.44%                | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2007-19                                                   | CUSIP: 02151AAK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    577320 | PA      | $565860.12     | 0.00%             | 2037-08-25      | Floating      | 16.24%                | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2007-21CB                                                 | CUSIP: 02151FAH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2626220 | PA      | $1845049.55    | 0.01%             | 2037-09-25      | Floating      | 13.23%                | No            |                  2 | On Loan: No      |
| BDS Ltd                        | BDS 2024-FL13 LLC                                                                | CUSIP: 05555MAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6000000 | PA      | $6010920.00    | 0.02%             | 2039-09-19      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| BNC Mortgage Loan Trust        | BNC Mortgage Loan Trust 2007-4                                                   | CUSIP: 05570GAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4451322 | PA      | $3899194.82    | 0.01%             | 2037-11-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| BSPRT Issuer, Ltd.             | BSPRT 2022-FL8 Issuer Ltd                                                        | CUSIP: 055983AA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    679694 | PA      | $680534.26     | 0.00%             | 2037-02-15      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| BPR Trust                      | BPR Commercial Mortgage Trust 2025-STAR                                          | CUSIP: 05619DAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9026000 | PA      | $8961290.80    | 0.03%             | 2042-11-05      | Variable      | 4.62%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu | Bear Stearns Asset Backed Securities I Trust 2007-HE3                            | CUSIP: 073852AF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3939961 | PA      | $4128259.84    | 0.01%             | 2037-04-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Alt-A Trust       | Bear Stearns ALT-A Trust 2006-5                                                  | CUSIP: 073873AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3279380 | PA      | $2973027.22    | 0.01%             | 2036-08-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu | Bear Stearns Asset Backed Securities I Trust 2005-AC6                            | CUSIP: 073879M88<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  16959664 | PA      | $13767517.89   | 0.04%             | 2035-09-25      | Variable      | 5.09%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu | Bear Stearns Asset Backed Securities I Trust 2006-HE10                           | CUSIP: 07389RAS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1596460 | PA      | $1896366.68    | 0.01%             | 2036-12-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust       | Benchmark 2019-B9 Mortgage Trust                                                 | CUSIP: 08160JAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  71751703 | PA      | $1633162.03    | 0.01%             | 2052-03-15      | Variable      | 1.00%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust       | Benchmark 2019-B12 Mortgage Trust                                                | CUSIP: 08162FAM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13870000 | PA      | $432827.22     | 0.00%             | 2052-08-15      | Variable      | 1.10%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust       | Benchmark 2019-B10 Mortgage Trust                                                | CUSIP: 08162VAM0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12985000 | PA      | $651002.98     | 0.00%             | 2062-03-15      | Variable      | 1.87%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust       | Benchmark 2020-B19 Mortgage Trust                                                | CUSIP: 08162WBF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 198130540 | PA      | $8583589.58    | 0.03%             | 2053-09-15      | Variable      | 1.66%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust       | Benchmark 2019-B14 Mortgage Trust                                                | CUSIP: 08162YAP7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  14907500 | PA      | $638501.64     | 0.00%             | 2062-12-15      | Variable      | 1.26%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust       | Benchmark 2021-B30 Mortgage Trust                                                | CUSIP: 08163KBH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 358126042 | PA      | $12634400.24   | 0.04%             | 2054-11-15      | Variable      | 0.79%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust       | Benchmark 2025-V15 Mortgage Trust                                                | CUSIP: 08164CAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5578000 | PA      | $5802777.78    | 0.02%             | 2058-06-15      | Fixed         | 6.17%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust       | Benchmark 2024-V11 Mortgage Trust                                                | CUSIP: 081921BA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 168337489 | PA      | $3132794.34    | 0.01%             | 2057-11-15      | Variable      | 0.56%                 | No            |                  2 | On Loan: No      |
| BMO Mortgage Trust             | BMO 2024-5C3 Mortgage Trust                                                      | CUSIP: 09660QAT1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4656000 | PA      | $4771965.13    | 0.02%             | 2057-02-15      | Fixed         | 5.74%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati | Residential Asset Securitization Trust 2006-A1                                   | CUSIP: 45660L6K0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    641971 | PA      | $271287.90     | 0.00%             | 2036-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati | Residential Asset Securitization Trust 2005-A8CB                                 | CUSIP: 45660LSZ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2555273 | PA      | $1376935.49    | 0.00%             | 2035-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati | Residential Asset Securitization Trust 2006-A2                                   | CUSIP: 45661EBQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3796900 | PA      | $1353619.16    | 0.00%             | 2046-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I  | RFMSI Series 2007-S2 Trust                                                       | CUSIP: 749583AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1203956 | PA      | $926413.08     | 0.00%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati | Residential Asset Securitization Trust 2006-A13                                  | CUSIP: 76113HAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7206732 | PA      | $2314024.12    | 0.01%             | 2036-12-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati | Residential Asset Securitization Trust 2007-A5                                   | CUSIP: 76114HAK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3911619 | PA      | $1890285.00    | 0.01%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati | Residential Asset Securitization Trust 2007-A5                                   | CUSIP: 76114HAM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1714263 | PA      | $828415.39     | 0.00%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati | Residential Asset Securitization Trust 2007-A7                                   | CUSIP: 76114QAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  33871695 | PA      | $12071228.44   | 0.04%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I  | RFMSI Series 2007-S8 Trust                                                       | CUSIP: 76200QAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3515260 | PA      | $2374242.48    | 0.01%             | 2037-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I  | RFMSI Series 2007-S7 Trust                                                       | CUSIP: 76200RAV0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7015767 | PA      | $5689916.01    | 0.02%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Securitized Asset Backed Recei | Securitized Asset Backed Receivables LLC Trust 2006-NC3                          | CUSIP: 81377CAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3233375 | PA      | $1069007.88    | 0.00%             | 2036-09-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust  | UBS Commercial Mortgage Trust 2017-C1                                            | CUSIP: 90276EAK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8000000 | PA      | $7548922.40    | 0.02%             | 2050-06-15      | Fixed         | 4.44%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust  | UBS Commercial Mortgage Trust                                                    | CUSIP: 90278MBD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8350000 | PA      | $7774654.11    | 0.03%             | 2052-10-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust  | UBS Commercial Mortgage Trust 2019-C18                                           | CUSIP: 90278PBD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  14858000 | PA      | $13815241.79   | 0.04%             | 2052-12-15      | Variable      | 3.38%                 | No            |                  2 | On Loan: No      |
| TSY INFL IX N/B                | United States Treasury Inflation Indexed Bonds                                   | CUSIP: 91282CFR7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 119053971 | PA      | $120939749.40  | 0.39%             | 2027-10-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust     | Verus Securitization Trust 2021-4                                                | CUSIP: 92538HAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4588000 | PA      | $3286573.43    | 0.01%             | 2066-07-25      | Variable      | 3.05%                 | No            |                  2 | On Loan: No      |
| VIVINT SOLAR FINANCING LLC     | Vivint Solar Financing V LLC                                                     | CUSIP: 92854VAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  15034584 | PA      | $14657862.47   | 0.05%             | 2048-04-30      | Fixed         | 4.73%                 | No            |                  2 | On Loan: No      |
| WAMU Asset-Backed Certificates | WaMu Asset-Backed Certificates WaMu Series 2007-HE4 Trust                        | CUSIP: 93363XAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12078691 | PA      | $9214350.14    | 0.03%             | 2047-07-25      | Floating      | 3.96%                 | No            |                  2 | On Loan: No      |
| BMO Mortgage Trust             | BMO 2025-5C12 Mortgage Trust                                                     | CUSIP: 09663VAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2944000 | PA      | $3009103.91    | 0.01%             | 2058-10-15      | Fixed         | 5.56%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trus | BRAVO Residential Funding Trust Series 2026-NQM2                                 | CUSIP: 105934AH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5500000 | PA      | $5380966.80    | 0.02%             | 2065-11-25      | Variable      | 5.45%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-9T1                                                  | CUSIP: 12668BVL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    798212 | PA      | $301156.55     | 0.00%             | 2036-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-7CB                                                  | CUSIP: 12668BXX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2126835 | PA      | $1036299.43    | 0.00%             | 2036-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CD Commercial Mortgage Trust   | CD 2017-CD6 Mortgage Trust                                                       | CUSIP: 125039AK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5175000 | PA      | $4856274.34    | 0.02%             | 2050-11-13      | Variable      | 4.27%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-4CB                                                  | CUSIP: 12668BPM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5068751 | PA      | $2212126.42    | 0.01%             | 2036-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-7CB                                                  | CUSIP: 12668BYA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2154083 | PA      | $1049576.00    | 0.00%             | 2036-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategi | Carlyle US Clo 2017-2 Ltd                                                        | CUSIP: 14315JBA6<br>LEI: 549300VC6J79YJCFU884 | Long             | ABS-CBDO         | CORP              | US        |  28080000 | PA      | $28109958.55   | 0.09%             | 2037-07-20      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2007-15                                          | CUSIP: 17025TAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3084734 | PA      | $1783667.03    | 0.01%             | 2037-09-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-OA21                                                 | CUSIP: 23245QAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  22733998 | PA      | $19946513.97   | 0.06%             | 2047-03-20      | Floating      | 3.98%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                                            | CUSIP: 3128MJWP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  14609209 | PA      | $13290810.25   | 0.04%             | 2045-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                                            | CUSIP: 3128P7XZ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3465786 | PA      | $3359082.27    | 0.01%             | 2033-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                                            | CUSIP: 31322YVB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    909693 | PA      | $852543.16     | 0.00%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                                            | CUSIP: 31323EBT0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8150927 | PA      | $7622939.98    | 0.02%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                 | CUSIP: 3132DQEL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  24019100 | PA      | $21358193.96   | 0.07%             | 2052-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip               | Freddie Mac Strips                                                               | CUSIP: 3132HTCE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4635608 | PA      | $4289402.77    | 0.01%             | 2042-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                                            | CUSIP: 3132L7AW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  40067216 | PA      | $36519815.09   | 0.12%             | 2045-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                                            | CUSIP: 3132LVVE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  36427671 | PA      | $34496054.32   | 0.11%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                                            | CUSIP: 3132M5FU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2017907 | PA      | $1948651.91    | 0.01%             | 2044-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                                            | CUSIP: 31335AH43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  19470065 | PA      | $18315703.53   | 0.06%             | 2045-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136AXPA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10557419 | PA      | $9228947.64    | 0.03%             | 2057-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136B1M27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  32681713 | PA      | $24931411.81   | 0.08%             | 2048-05-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                 | Fannie Mae-Aces                                                                  | CUSIP: 3136B4TD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        | 148745677 | PA      | $1313126.83    | 0.00%             | 2029-04-25      | Variable      | 0.33%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                 | Fannie Mae-Aces                                                                  | CUSIP: 3136B56P5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        | 453646792 | PA      | $7773646.06    | 0.03%             | 2029-08-25      | Variable      | 0.73%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BBJ52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  15258212 | PA      | $2098121.64    | 0.01%             | 2050-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BDEK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  19530091 | PA      | $2554930.43    | 0.01%             | 2051-01-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                 | Fannie Mae-Aces                                                                  | CUSIP: 3136BK6Z0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        | 661318993 | PA      | $10573961.64   | 0.03%             | 2032-01-25      | Variable      | 0.36%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                 | Fannie Mae-Aces                                                                  | CUSIP: 3136BLQ78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12369996 | PA      | $11802150.14   | 0.04%             | 2030-05-25      | Variable      | 2.46%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137A4EL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2274781 | PA      | $2243424.40    | 0.01%             | 2030-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137AFWU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3262527 | PA      | $3136217.48    | 0.01%             | 2041-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137AJZS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6011263 | PA      | $5954964.71    | 0.02%             | 2033-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137AV4D6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1716108 | PA      | $1699008.19    | 0.01%             | 2035-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137HREZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  50000000 | PA      | $50077070.00   | 0.16%             | 2055-04-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3138WHJT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11514934 | PA      | $10186919.11   | 0.03%             | 2046-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3138YBX24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11257858 | PA      | $10022242.95   | 0.03%             | 2045-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31396UP61<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    640531 | PA      | $647522.50     | 0.00%             | 2036-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31396UT42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    221749 | PA      | $224294.63     | 0.00%             | 2036-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                | Fannie Mae Interest Strip                                                        | CUSIP: 31422M2P0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  34633512 | PA      | $5237254.36    | 0.02%             | 2050-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                 | CUSIP: 3142GRFM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  14206866 | PA      | $14745912.33   | 0.05%             | 2054-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mort | First Horizon Alternative Mortgage Securities Trust 2006-AA3                     | CUSIP: 320516AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    796262 | PA      | $631707.55     | 0.00%             | 2036-06-25      | Variable      | 4.97%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mort | First Horizon Alternative Mortgage Securities Trust 2006-FA8                     | CUSIP: 32052DAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1863089 | PA      | $645621.13     | 0.00%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mort | First Horizon Alternative Mortgage Securities Trust 2007-FA4                     | CUSIP: 32052WAN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    579335 | PA      | $186745.67     | 0.00%             | 2037-08-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| First Horizon Mortgage Pass-Th | First Horizon Mortgage Pass-Through Trust 2007-4                                 | CUSIP: 32056CAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1532673 | PA      | $513280.77     | 0.00%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| firstkey homes 2020-sfr1 trust | FirstKey Homes 2021-SFR1 Trust                                                   | CUSIP: 33767WAJ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  16350000 | PA      | $16167408.11   | 0.05%             | 2038-08-17      | Fixed         | 2.39%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2005-18                                          | CUSIP: 126694EH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2021643 | PA      | $938870.60     | 0.00%             | 2035-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2005-J4                                          | CUSIP: 126694RN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    554315 | PA      | $453589.17     | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| firstkey homes 2020-sfr1 trust | FirstKey Homes 2021-SFR1 Trust                                                   | CUSIP: 33767WAL7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11500000 | PA      | $11371250.60   | 0.04%             | 2038-08-17      | Fixed         | 2.49%                 | No            |                  2 | On Loan: No      |
| FirstKey Homes  2021-SFR3 Trus | FirstKey Homes 2021-SFR3 Trust                                                   | CUSIP: 33768JAL5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  25293000 | PA      | $24849292.49   | 0.08%             | 2038-12-17      | Fixed         | 3.08%                 | No            |                  2 | On Loan: No      |
| Franklin Park Place CLO        | Franklin Park Place CLO I LLC                                                    | CUSIP: 35455DAL1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  22632000 | PA      | $22643829.75   | 0.07%             | 2038-04-14      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT             | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2020-2                    | CUSIP: 35563PQN2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  13893461 | PA      | $11174862.40   | 0.04%             | 2059-11-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR            | Freddie Mac STACR REMIC Trust 2024-HQA2                                          | CUSIP: 35564NEC3<br>LEI: 5299002OYNAPMJKK2A73 | Long             | ABS-MBS          | CORP              | US        |  23000000 | PA      | $23072312.00   | 0.07%             | 2044-08-25      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR            | Freddie Mac STACR REMIC Trust 2025-DNA1                                          | CUSIP: 35564NFZ1<br>LEI: 529900WZAMS87JCAOC53 | Long             | ABS-MBS          | CORP              | US        |  15730834 | PA      | $15703989.42   | 0.05%             | 2045-01-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| GBX Leasing 2022-1 LLC.        | GBX Leasing 2022-1 LLC                                                           | CUSIP: 361528AE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  19105876 | PA      | $19033573.19   | 0.06%             | 2056-02-20      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38374UCH2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1388939 | PA      | $1383818.86    | 0.00%             | 2039-05-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38374XXB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    294784 | PA      | $4972.48       | 0.00%             | 2038-09-20      | Floating      | 2.31%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38375QV30<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    952618 | PA      | $65863.75      | 0.00%             | 2038-06-16      | Floating      | 2.46%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38376CJK6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1071346 | PA      | $1073322.91    | 0.00%             | 2039-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38377ELF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1356173 | PA      | $1385435.57    | 0.00%             | 2039-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38377WGK4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2224147 | PA      | $186595.89     | 0.00%             | 2041-05-20      | Floating      | 1.59%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38378PTH1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2375367 | PA      | $161271.75     | 0.00%             | 2043-02-16      | Floating      | 2.46%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2007-15                                          | CUSIP: 17025TAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1241310 | PA      | $717507.00     | 0.00%             | 2037-09-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mor | Credit Suisse First Boston Mortgage Securities Corp                              | CUSIP: 2254W0NF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3221005 | PA      | $2016621.15    | 0.01%             | 2035-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38380R4L1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        | 196820311 | PA      | $11720629.84   | 0.04%             | 2063-05-16      | Variable      | 0.83%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38380RM64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        | 555934242 | PA      | $33161922.27   | 0.11%             | 2063-04-16      | Variable      | 0.81%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381D5J5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  66508544 | PA      | $4378683.10    | 0.01%             | 2061-12-16      | Variable      | 0.89%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2005-S1                                                 | CUSIP: 466247MQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2729025 | PA      | $2838212.71    | 0.01%             | 2035-01-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Acquisition | JP Morgan Mortgage Acquisition Trust 2006-WMC4                                   | CUSIP: 46630BAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  35550679 | PA      | $4011407.12    | 0.01%             | 2036-12-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2007-S1                                                 | CUSIP: 46630RAK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6062494 | PA      | $2173224.70    | 0.01%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Acquisition | JP Morgan Mortgage Acquisition Trust 2007-CH3                                    | CUSIP: 46630XAH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9690000 | PA      | $8949777.99    | 0.03%             | 2037-03-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2007-S3                                                 | CUSIP: 46631NDZ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3458433 | PA      | $1396544.10    | 0.00%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                 | CUSIP: 3132A5GP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10529639 | PA      | $9490351.22    | 0.03%             | 2047-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                 | CUSIP: 3132A5JX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9509273 | PA      | $9112465.60    | 0.03%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Altde Trust                    | ALTDE 2025-1 Trust                                                               | CUSIP: 00166NAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  15199688 | PA      | $15142932.27   | 0.05%             | 2050-08-15      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                     | AMSR 2021-SFR3 Trust                                                             | CUSIP: 00180UAG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  18500000 | PA      | $18224856.90   | 0.06%             | 2038-10-17      | Fixed         | 3.23%                 | No            |                  2 | On Loan: No      |
| Adjustable Rate Mortgage Trust | Adjustable Rate Mortgage Trust 2004-4                                            | CUSIP: 007036EA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2182756 | PA      | $1934368.78    | 0.01%             | 2035-03-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| Aligned Data Centers Issuer LL | Aligned Data Centers Issuer LLC                                                  | CUSIP: 01627AAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  12950000 | PA      | $12818947.30   | 0.04%             | 2046-08-15      | Fixed         | 1.94%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust       | Angel Oak Mortgage Trust 2025-7                                                  | CUSIP: 03466TAD9<br>LEI: 254900QTRHHMG5RQ9X60 | Long             | ABS-MBS          | CORP              | US        |   5007000 | PA      | $5035426.74    | 0.02%             | 2070-06-25      | Variable      | 6.35%                 | No            |                  2 | On Loan: No      |
| BNC Mortgage Loan Trust        | BNC Mortgage Loan Trust 2007-1                                                   | CUSIP: 05569GAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2990817 | PA      | $2932116.50    | 0.01%             | 2037-03-25      | Floating      | 3.95%                 | No            |                  2 | On Loan: No      |
| BMO Mortgage Trust             | BMO 2024-5C6 Mortgage Trust                                                      | CUSIP: 05593QAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  20804000 | PA      | $21186383.76   | 0.07%             | 2057-09-15      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu | Bear Stearns Asset Backed Securities I Trust 2006-AC5                            | CUSIP: 073856AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    389888 | PA      | $447097.12     | 0.00%             | 2036-12-25      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu | Bear Stearns Asset Backed Securities I Trust 2007-HE6                            | CUSIP: 07387YAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10211471 | PA      | $9297295.11    | 0.03%             | 2037-08-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust       | Benchmark 2019-B11 Mortgage Trust                                                | CUSIP: 08162BAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13924000 | PA      | $569054.39     | 0.00%             | 2052-05-15      | Variable      | 1.47%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust       | Benchmark 2021-B28 Mortgage Trust                                                | CUSIP: 08163GAZ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 115279980 | PA      | $5415876.52    | 0.02%             | 2054-08-15      | Variable      | 1.24%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust       | Benchmark 2021-B31 Mortgage Trust                                                | CUSIP: 08163MAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  15995000 | PA      | $933042.73     | 0.00%             | 2054-12-15      | Variable      | 1.14%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust       | Benchmark 2022-B32 Mortgage Trust                                                | CUSIP: 08163NAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13067000 | PA      | $891782.24     | 0.00%             | 2055-01-15      | Variable      | 1.52%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust       | Benchmark 2025-V18 Mortgage Trust                                                | CUSIP: 08164EAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9856000 | PA      | $10021535.46   | 0.03%             | 2058-10-15      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust       | Benchmark 2026-V21 Mortgage Trust                                                | CUSIP: 08164HBA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  27184000 | PA      | $27519740.07   | 0.09%             | 2031-03-15      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust       | Benchmark 2024-V11 Mortgage Trust                                                | CUSIP: 081921AZ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9000000 | PA      | $9354251.70    | 0.03%             | 2057-11-15      | Variable      | 5.91%                 | No            |                  2 | On Loan: No      |
| BMO Mortgage Trust             | BMO 2024-5C7 Mortgage Trust                                                      | CUSIP: 09660WAV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 111887970 | PA      | $3327604.18    | 0.01%             | 2057-11-15      | Variable      | 0.93%                 | No            |                  2 | On Loan: No      |
| BMO Mortgage Trust             | BMO 2025-5C9 Mortgage Trust                                                      | CUSIP: 096933AC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1794000 | PA      | $1857499.17    | 0.01%             | 2058-04-15      | Variable      | 5.78%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trus | Bravo Residential Funding Trust 2025-NQM9                                        | CUSIP: 10569WAD3<br>LEI: 254900XY2WSFF1Q6S467 | Long             | ABS-MBS          | CORP              | US        |   2748558 | PA      | $2736859.21    | 0.01%             | 2065-09-25      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trus | BRAVO Residential Funding Trust 2026-NQM3                                        | CUSIP: 10571LAG6<br>LEI: 254900E9MG7I39Q47K50 | Long             | ABS-MBS          | CORP              | US        |   8380000 | PA      | $8392570.00    | 0.03%             | 2065-11-25      | Variable      | 5.34%                 | No            |                  2 | On Loan: No      |
| BX Trust                       | BX Trust 2022-LBA6                                                               | CUSIP: 12433EAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5320000 | PA      | $5322239.72    | 0.02%             | 2039-01-15      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| BX Trust                       | BX Trust 2021-LGCY                                                               | CUSIP: 12434DAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4670000 | PA      | $4666329.85    | 0.02%             | 2036-10-15      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| Cantor Commercial Real Estate  | Cantor Commercial Real Estate Lending 2019-CF3                                   | CUSIP: 12529TAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11514000 | PA      | $405577.20     | 0.00%             | 2053-01-15      | Variable      | 1.08%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                                            | CUSIP: 3128P7RH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7693959 | PA      | $7561544.12    | 0.02%             | 2032-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                                            | CUSIP: 3128S12P7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4557073 | PA      | $4259400.16    | 0.01%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                                            | CUSIP: 3132GABS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    121961 | PA      | $118843.43     | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                                            | CUSIP: 3132J72E1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  29138246 | PA      | $26735572.42   | 0.09%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31397EQ65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1414398 | PA      | $129230.15     | 0.00%             | 2037-01-15      | Floating      | 2.64%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31397FEN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1109763 | PA      | $93621.96      | 0.00%             | 2037-02-15      | Floating      | 2.29%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31397JHY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    951890 | PA      | $80030.02      | 0.00%             | 2037-06-15      | Floating      | 2.86%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31397PWJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    461162 | PA      | $476016.84     | 0.00%             | 2038-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31398MCQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    300770 | PA      | $16903.69      | 0.00%             | 2040-02-25      | Floating      | 1.52%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31398MX35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    396862 | PA      | $20882.58      | 0.00%             | 2040-04-25      | Floating      | 1.22%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31398NQL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    829935 | PA      | $799097.89     | 0.00%             | 2040-10-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31398RFU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    130223 | PA      | $131876.16     | 0.00%             | 2039-10-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GSMPS Mortgage Loan Trust      | GSMPS Mortgage Loan Trust 2006-RP1                                               | CUSIP: 3623413D9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12162358 | PA      | $108894.46     | 0.00%             | 2036-01-25      | Variable      | 0.28%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust         | GSAA Home Equity Trust 2005-12                                                   | CUSIP: 362341SR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     91380 | PA      | $58370.23      | 0.00%             | 2035-09-25      | Variable      | 5.07%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust        | GSR Mortgage Loan Trust 2005-8F                                                  | CUSIP: 362341WE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1655523 | PA      | $534982.88     | 0.00%             | 2035-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust   | GS Mortgage Securities Corp Trust 2018-TWR                                       | CUSIP: 36251SAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  15571000 | PA      | $12057645.20   | 0.04%             | 2031-07-15      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust   | GS Mortgage Securities Trust 2016-GS2                                            | CUSIP: 36252TAT2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  14201321 | PA      | $142.01        | 0.00%             | 2049-05-10      | Variable      | 1.59%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38383CNL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  19739437 | PA      | $2887988.26    | 0.01%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38383CTG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  22877087 | PA      | $3819622.49    | 0.01%             | 2051-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38383FLS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  27716617 | PA      | $4946800.84    | 0.02%             | 2051-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38383HFY0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  72887556 | PA      | $12757997.27   | 0.04%             | 2051-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38383MKH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10612573 | PA      | $9833101.35    | 0.03%             | 2049-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38383YRU8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  28027529 | PA      | $24656840.07   | 0.08%             | 2047-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38384JYV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  19950023 | PA      | $2878900.10    | 0.01%             | 2051-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38384K3X7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11284824 | PA      | $11321991.63   | 0.04%             | 2054-03-20      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38385NQA5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  56734692 | PA      | $56125100.43   | 0.18%             | 2054-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Greensky Home Improvement Issu | GreenSky Home Improvement Issuer Trust 2024-2                                    | CUSIP: 39571XAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10000000 | PA      | $10117902.00   | 0.03%             | 2059-10-27      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| MSILF Government Portfolio     | MSILF Government Portfolio                                                       | CUSIP: 61747C707<br>LEI: 549300BI6Y5SI6BYPB26 | Long             | STIV             | RF                | US        | 278759086 | NS      | $278759085.64  | 0.90%             |  |  |  | No            |                  1 | On Loan: No      |
| New York Mortgage Trust        | NYMT Loan Trust 2026-INV1                                                        | CUSIP: 62957GAJ6<br>LEI: 254900Y31NJCJWYHMA05 | Long             | ABS-MBS          | CORP              | US        |   6726694 | PA      | $6660759.61    | 0.02%             | 2061-02-25      | Variable      | 5.05%                 | No            |                  2 | On Loan: No      |
| New Century Home Equity Loan T | New Century Home Equity Loan Trust 2006-1                                        | CUSIP: 64352VQS3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12500000 | PA      | $11972572.50   | 0.04%             | 2036-05-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan  | New Residential Mortgage Loan Trust 2026-NQM1                                    | CUSIP: 64832LAF0<br>LEI: 213800ECBEJHYYK9P940 | Long             | ABS-MBS          | CORP              | US        |   2668051 | PA      | $2641663.22    | 0.01%             | 2065-11-25      | Variable      | 5.08%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corpor | Nomura Asset Acceptance Corp Alternative Loan Trust Series 2006-AP1              | CUSIP: 65535VSJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13535489 | PA      | $3774986.85    | 0.01%             | 2036-01-25      | Variable      | 5.51%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corpor | Nomura Asset Acceptance Corp Alternative Loan Trust Series 2006-AP1              | CUSIP: 65535VSK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2287783 | PA      | $637787.12     | 0.00%             | 2036-01-25      | Variable      | 5.65%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corpor | Nomura Asset Acceptance Corp Alternative Loan Trust Series 2006-AF1              | CUSIP: 65536PAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12328473 | PA      | $2154516.61    | 0.01%             | 2036-05-25      | Variable      | 6.16%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                    | OCP CLO Ltd                                                                      | CUSIP: 671026AW2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  45000000 | PA      | $44979853.50   | 0.14%             | 2039-01-17      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC       | OBX 2026-NQM1 Trust                                                              | CUSIP: 67123HAL7<br>LEI: 25490068H0VHV68K7086 | Long             | ABS-MBS          | CORP              | US        |  10000000 | PA      | $9880821.00    | 0.03%             | 2065-11-25      | Variable      | 5.64%                 | No            |                  2 | On Loan: No      |
| Octagon 75 Ltd                 | Octagon 75 Ltd                                                                   | CUSIP: 67579EAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  10000000 | PA      | $9994841.00    | 0.03%             | 2038-01-22      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| PR Mortgage Loan Trust         | PR Mortgage Loan Trust 2014-1                                                    | CUSIP: 69358KAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  84563398 | PA      | $78920583.47   | 0.25%             | 2049-10-25      | Variable      | 5.85%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgag | PRPM 2025-NQM5 Trust                                                             | CUSIP: 69383FAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7473073 | PA      | $7456391.77    | 0.02%             | 2070-10-25      | Variable      | 5.43%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgag | PRPM 2025-NQM5 Trust                                                             | CUSIP: 69383FAH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11800000 | PA      | $11736360.24   | 0.04%             | 2070-10-25      | Variable      | 5.90%                 | No            |                  2 | On Loan: No      |
| Park Blue CLO Ltd              | Park Blue CLO 2025-VII Ltd                                                       | CUSIP: 70019HAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  21000000 | PA      | $20990881.80   | 0.07%             | 2038-04-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| PHANTOM AVIATION               | Phantom Aviation                                                                 | CUSIP: 71711GAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  33121306 | PA      | $33607858.22   | 0.11%             | 2051-01-15      | Fixed         | 5.24%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partne | PRET 2025-NPL7 LLC                                                               | CUSIP: 740934AA2<br>LEI: 2549001J36X6SUZ41Q96 | Long             | ABS-MBS          | CORP              | US        |  38830943 | PA      | $38933744.50   | 0.13%             | 2055-07-25      | Variable      | 5.66%                 | No            |                  2 | On Loan: No      |
| PRKCM Trust                    | PRKCM 2026-AFC1 Trust                                                            | CUSIP: 74277KAH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2849000 | PA      | $2795351.34    | 0.01%             | 2061-02-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust     | Progress Residential 2021-SFR5 Trust                                             | CUSIP: 74333FAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7000000 | PA      | $6944718.20    | 0.02%             | 2038-07-17      | Fixed         | 2.21%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgag | PRPM 2025-3                                                                      | CUSIP: 74449DAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  24746809 | PA      | $24695635.26   | 0.08%             | 2030-05-25      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2006-QS14 Trust                                                      | CUSIP: 74922GAT1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2091742 | PA      | $1719227.22    | 0.01%             | 2036-11-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2006-QS16 Trust                                                      | CUSIP: 74922LAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    182955 | PA      | $146506.12     | 0.00%             | 2036-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2006-QS17 Trust                                                      | CUSIP: 74922SAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4866572 | PA      | $4072742.12    | 0.01%             | 2036-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2006-QS5 Trust                                                       | CUSIP: 75114TAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5347288 | PA      | $4750176.59    | 0.02%             | 2036-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Raptor Aircraft Finance LLC    | Raptor Aircraft Finance I LLC                                                    | CUSIP: 75383HAA9<br>LEI: 549300QFYP8PTWJMXQ65 | Long             | ABS-O            | CORP              | US        |   8051684 | PA      | $7730236.46    | 0.02%             | 2044-08-23      | Fixed         | 4.21%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2005-QA3 Trust                                                       | CUSIP: 76110H2G3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4814356 | PA      | $1846681.63    | 0.01%             | 2035-03-25      | Variable      | 3.95%                 | No            |                  2 | On Loan: No      |
| JP Morgan ReRemic              | JP Morgan Resecuritization Trust Series 2009-4                                   | CUSIP: 46633JAR7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4474280 | PA      | $1865327.34    | 0.01%             | 2037-02-26      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Legacy Mortgage Asset Trust    | Legacy Mortgage Asset Trust 2019-RPL3                                            | CUSIP: 52474FBE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  99373847 | PA      | $88248388.45   | 0.28%             | 2058-06-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2005-QS13 Trust                                                      | CUSIP: 761118GX0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    512890 | PA      | $407105.95     | 0.00%             | 2035-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2005-QS15 Trust                                                      | CUSIP: 761118KJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1054360 | PA      | $931337.74     | 0.00%             | 2035-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                 | CUSIP: 3132A5KB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7934269 | PA      | $7602343.08    | 0.02%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                 | CUSIP: 3132DPUK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  30616633 | PA      | $28337498.92   | 0.09%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Adjustable Rate M | Bear Stearns ARM Trust 2006-4                                                    | CUSIP: 073882AK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1508183 | PA      | $1382222.45    | 0.00%             | 2046-10-25      | Variable      | 4.55%                 | No            |                  2 | On Loan: No      |
| Bank5                          | BANK5 Trust 2024-5YR6                                                            | CUSIP: 066043AX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 122609225 | PA      | $2580691.22    | 0.01%             | 2057-05-15      | Variable      | 0.74%                 | No            |                  2 | On Loan: No      |
| Bank5                          | BANK5 2026-5YR20                                                                 | CUSIP: 06650JAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3790000 | PA      | $3848301.95    | 0.01%             | 2059-02-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2005-QS17 Trust                                                      | CUSIP: 761118PR3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1148699 | PA      | $964346.24     | 0.00%             | 2035-12-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2005-QS17 Trust                                                      | CUSIP: 761118QA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1616137 | PA      | $1406373.58    | 0.00%             | 2035-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Legacy Mortgage Asset Trust    | Legacy Mortgage Asset Trust 2021-GS4                                             | CUSIP: 52475WAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  26765078 | PA      | $26807383.35   | 0.09%             | 2060-11-25      | Variable      | 7.55%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2005-2                                                     | CUSIP: 52520MCM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    912416 | PA      | $540650.33     | 0.00%             | 2035-12-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Co | Structured Asset Securities Corp Mortgage Loan Trust 2006-BC4                    | CUSIP: 86359RAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  56205293 | PA      | $31394466.59   | 0.10%             | 2036-12-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Co | Structured Asset Securities Corp Mortgage Loan Trust 2007-MLN1                   | CUSIP: 863613AD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11327542 | PA      | $7197973.20    | 0.02%             | 2037-01-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| FS Trust                       | FS Trust 2026-HULA                                                               | CUSIP: 30345AAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  17360000 | PA      | $17382061.09   | 0.06%             | 2041-03-15      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip               | Freddie Mac Strips                                                               | CUSIP: 31325X3F5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  27851231 | PA      | $4814641.47    | 0.02%             | 2050-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                 | CUSIP: 3132DQNJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  56884083 | PA      | $48836938.68   | 0.16%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                 | CUSIP: 3132DQZT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  44298106 | PA      | $45181671.00   | 0.15%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2006-1                                                     | CUSIP: 52520MFH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1879673 | PA      | $91893.09      | 0.00%             | 2036-02-25      | Floating      | 0.96%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2006-9                                                     | CUSIP: 52521HAU7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1581760 | PA      | $1466554.32    | 0.00%             | 2037-01-25      | Floating      | 13.23%                | No            |                  2 | On Loan: No      |
| Freddiemac Strip               | Freddie Mac Strips                                                               | CUSIP: 31325YCP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  92882311 | PA      | $14007058.33   | 0.05%             | 2050-12-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136AUYN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6126464 | PA      | $5791987.09    | 0.02%             | 2037-06-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                 | CUSIP: 3132DTTZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  19219246 | PA      | $19939151.32   | 0.06%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                 | CUSIP: 3132DU5X1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  23868093 | PA      | $24392516.42   | 0.08%             | 2054-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3138L95L2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  24800608 | PA      | $22567558.34   | 0.07%             | 2040-06-01      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3138WCRX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6089513 | PA      | $5838869.30    | 0.02%             | 2034-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3138WDCC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5843128 | PA      | $5578777.30    | 0.02%             | 2034-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3138WHQP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  22386145 | PA      | $19804198.38   | 0.06%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3138YHX21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    385263 | PA      | $342966.12     | 0.00%             | 2045-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31393Y3E3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    694396 | PA      | $80430.37      | 0.00%             | 2034-07-25      | Floating      | 3.92%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31396TQY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    907989 | PA      | $918373.08     | 0.00%             | 2036-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31396VJC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    104076 | PA      | $7165.91       | 0.00%             | 2037-04-25      | Floating      | 2.33%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31396X2R4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2335866 | PA      | $2362121.34    | 0.01%             | 2035-10-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31397ARJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1340371 | PA      | $1356211.44    | 0.00%             | 2036-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31397KCA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3089691 | PA      | $274856.16     | 0.00%             | 2037-08-15      | Floating      | 2.26%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31397NS71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    478707 | PA      | $39484.97      | 0.00%             | 2039-06-25      | Floating      | 2.22%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31397SGL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    983461 | PA      | $861974.95     | 0.00%             | 2041-04-25      | Floating      | 1.43%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31398E3V4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    104542 | PA      | $7996.45       | 0.00%             | 2039-06-15      | Floating      | 2.36%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31398E4P6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1341325 | PA      | $143999.04     | 0.00%             | 2039-06-15      | Floating      | 2.96%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31398JQB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1681072 | PA      | $186830.80     | 0.00%             | 2035-08-15      | Floating      | 3.41%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31398MUP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    411425 | PA      | $19705.74      | 0.00%             | 2040-03-25      | Floating      | 1.17%                 | No            |                  2 | On Loan: No      |
| Prime Mortgage Trust           | Prime Mortgage Trust 2006-DR1                                                    | CUSIP: 74159UAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1930088 | PA      | $1638816.80    | 0.01%             | 2035-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust     | Progress Residential 2021-SFR10 Trust                                            | CUSIP: 74333WAN2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10776099 | PA      | $10560989.15   | 0.03%             | 2040-12-17      | Fixed         | 4.61%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137HRJ26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  35313857 | PA      | $35298495.47   | 0.11%             | 2055-05-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31397TP71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    134001 | PA      | $9177.88       | 0.00%             | 2037-02-15      | Floating      | 2.24%                 | No            |                  2 | On Loan: No      |
| Renaissance Home Equity Loan T | Renaissance Home Equity Loan Trust 2006-4                                        | CUSIP: 75970HAH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  20198460 | PA      | $6412354.59    | 0.02%             | 2037-01-25      | Variable      | 5.68%                 | No            |                  2 | On Loan: No      |
| Renaissance Home Equity Loan T | Renaissance Home Equity Loan Trust 2007-2                                        | CUSIP: 75970QAH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  22755581 | PA      | $5911990.95    | 0.02%             | 2037-06-25      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                 | CUSIP: 3132DVMN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  17436325 | PA      | $17774937.28   | 0.06%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                                            | CUSIP: 3132M3UU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1873629 | PA      | $1811663.03    | 0.01%             | 2043-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                                            | CUSIP: 3132M4JR7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1617508 | PA      | $1564008.31    | 0.01%             | 2044-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                                            | CUSIP: 3132QWRY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8899468 | PA      | $8367273.24    | 0.03%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2005-QS14 Trust                                                      | CUSIP: 761118JH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4892252 | PA      | $1414400.82    | 0.00%             | 2035-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2005-QA13 Trust                                                      | CUSIP: 761118PE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6255924 | PA      | $5528755.86    | 0.02%             | 2035-12-25      | Variable      | 5.16%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S | BBCMS Mortgage Trust 2025-5C38                                                   | CUSIP: 05556RAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  39976000 | PA      | $2364716.32    | 0.01%             | 2058-11-15      | Variable      | 1.46%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S | BBCMS Mortgage Trust 2025-5C38                                                   | CUSIP: 05556RAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5591000 | PA      | $5714969.24    | 0.02%             | 2058-11-15      | Fixed         | 5.48%                 | No            |                  2 | On Loan: No      |
| BSTN Commercial Mortgage Trust | BSTN Commercial Mortgage Trust 2025-HUB                                          | CUSIP: 05594GAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  16680000 | PA      | $16677841.61   | 0.05%             | 2041-04-13      | Variable      | 4.57%                 | No            |                  2 | On Loan: No      |
| BMO Mortgage Trust             | BMO 2025-C11 Mortgage Trust                                                      | CUSIP: 05613XAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 153924899 | PA      | $11726922.37   | 0.04%             | 2058-02-15      | Variable      | 1.10%                 | No            |                  2 | On Loan: No      |
| BMO Mortgage Trust             | BMO 2025-5C10 Mortgage Trust                                                     | CUSIP: 05615BAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1763000 | PA      | $1824751.19    | 0.01%             | 2058-05-15      | Variable      | 5.95%                 | No            |                  2 | On Loan: No      |
| Banc of America Mortgage Secur | Banc of America Mortgage 2007-1 Trust                                            | CUSIP: 05952HBR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    129451 | PA      | $113672.08     | 0.00%             | 2037-01-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Bank                           | BANK 2019-BNK17                                                                  | CUSIP: 065403AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11541000 | PA      | $472940.95     | 0.00%             | 2052-04-15      | Variable      | 1.59%                 | No            |                  2 | On Loan: No      |
| Bank                           | BANK 2019-BNK16                                                                  | CUSIP: 065405AY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13119665 | PA      | $596543.30     | 0.00%             | 2052-02-15      | Variable      | 1.81%                 | No            |                  2 | On Loan: No      |
| Bank                           | BANK 2019-BNK20                                                                  | CUSIP: 06540AAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1099000 | PA      | $990165.04     | 0.00%             | 2062-09-15      | Variable      | 3.24%                 | No            |                  2 | On Loan: No      |
| Bank                           | BANK 2017-BNK5                                                                   | CUSIP: 06541WBB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4916000 | PA      | $4790151.87    | 0.02%             | 2060-06-15      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| Bank5                          | BANK5 Trust 2024-5YR6                                                            | CUSIP: 066043AB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11376000 | PA      | $11840457.05   | 0.04%             | 2057-05-15      | Fixed         | 6.22%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust   | Barclays Mortgage Loan Trust 2026-NQM1                                           | CUSIP: 06745EAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  37058420 | PA      | $36688162.21   | 0.12%             | 2065-12-25      | Variable      | 4.84%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Alt-A Trust       | Bear Stearns ALT-A Trust 2006-6                                                  | CUSIP: 073868AM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5527822 | PA      | $2328868.78    | 0.01%             | 2036-11-25      | Variable      | 4.13%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Mortgage Funding  | Bear Stearns Mortgage Funding Trust 2007-AR3                                     | CUSIP: 07401VAS0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4926374 | PA      | $4915343.20    | 0.02%             | 2037-04-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust       | Benchmark 2018-B7 Mortgage Trust                                                 | CUSIP: 08162TBC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  33534157 | PA      | $266190.78     | 0.00%             | 2053-05-15      | Variable      | 0.39%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust       | Benchmark 2025-V18 Mortgage Trust                                                | CUSIP: 08164EAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  21077000 | PA      | $21480418.00   | 0.07%             | 2058-10-15      | Fixed         | 5.18%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust       | Benchmark 2025-V16 Mortgage Trust                                                | CUSIP: 08164RAV7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7485000 | PA      | $7747194.31    | 0.02%             | 2058-08-15      | Variable      | 5.86%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust       | Benchmark 2025-V17 Mortgage Trust                                                | CUSIP: 081934AR2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8860000 | PA      | $8979595.82    | 0.03%             | 2058-09-15      | Fixed         | 5.07%                 | No            |                  2 | On Loan: No      |
| Bojangles Issuer, LLC          | Bojangles Issuer LLC                                                             | CUSIP: 09748RAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  17910000 | PA      | $18032984.39   | 0.06%             | 2054-11-20      | Fixed         | 6.58%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trus | BRAVO Residential Funding Trust 2026-NQM3                                        | CUSIP: 10571LAH4<br>LEI: 254900E9MG7I39Q47K50 | Long             | ABS-MBS          | CORP              | US        |   9573000 | PA      | $9582573.00    | 0.03%             | 2065-11-25      | Variable      | 5.63%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trus | BRAVO Residential Funding Trust Series 2026-NQM2                                 | CUSIP: 105934AG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9534677 | PA      | $9426549.66    | 0.03%             | 2065-11-25      | Variable      | 5.03%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2007-4                                           | CUSIP: 12544RBQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3080426 | PA      | $1197673.79    | 0.00%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2007-7                                           | CUSIP: 12544TAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4080850 | PA      | $1879134.93    | 0.01%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2007-9                                           | CUSIP: 12544XAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4991001 | PA      | $2202687.86    | 0.01%             | 2037-07-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2007-8                                           | CUSIP: 12545AAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2247052 | PA      | $848392.50     | 0.00%             | 2038-01-25      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2007-8                                           | CUSIP: 12545AAH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3641985 | PA      | $1480784.59    | 0.00%             | 2038-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2007-8                                           | CUSIP: 12545AAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5217182 | PA      | $2074713.08    | 0.01%             | 2038-01-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan  | CitiMortgage Alternative Loan Trust Series 2007-A5                               | CUSIP: 12566WAH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4907911 | PA      | $4551583.69    | 0.01%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CLI Funding LLC                | CLI Funding IX LLC                                                               | CUSIP: 12571WAJ2<br>LEI: 2549008S2Z91ASJFZL83 | Long             | ABS-O            | CORP              | US        |   5381917 | PA      | $5364841.46    | 0.02%             | 2050-06-20      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust            | COMM 2013-CCRE12 Mortgage Trust                                                  | CUSIP: 12591KAF2<br>LEI: 549300MGZ5FI5VFL1177 | Long             | ABS-MBS          | CORP              | US        |   8861821 | PA      | $88.62         | 0.00%             | 2046-10-10      | Variable      | 0.42%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trus | CSAIL 2018-C14 Commercial Mortgage Trust                                         | CUSIP: 12596GBF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1886000 | PA      | $1697506.56    | 0.01%             | 2051-11-15      | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| CSAB Mortgage Backed Trust     | CSAB Mortgage-Backed Trust 2006-4                                                | CUSIP: 12628LAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2099340 | PA      | $273894.37     | 0.00%             | 2036-12-25      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Mortgage-Backed Trust 2007-1                                                | CUSIP: 126378AW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5498577 | PA      | $631506.08     | 0.00%             | 2022-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Mortgage-Backed Trust 2006-9                                                | CUSIP: 126380AD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2799385 | PA      | $1495259.86    | 0.00%             | 2036-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Mortgage-Backed Trust 2006-9                                                | CUSIP: 126380CC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1353268 | PA      | $864099.80     | 0.00%             | 2036-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Series 2010-13R                                                             | CUSIP: 12644TAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1129863 | PA      | $973069.72     | 0.00%             | 2035-12-26      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2006-8                                           | CUSIP: 1266943D8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13227651 | PA      | $7507515.99    | 0.02%             | 2036-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | Reperforming Loan REMIC Trust 2004-R2                                            | CUSIP: 12669UCD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    408411 | PA      | $20918.45      | 0.00%             | 2034-11-25      | Variable      | 2.24%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2006-14                                          | CUSIP: 12670AAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4174649 | PA      | $1599506.47    | 0.01%             | 2036-09-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| CALIFORNIA HSG FIN AGY MUNI CT | California Housing Finance Agency                                                | CUSIP: 13033DAH8<br>LEI: 549300BOPCVLBA552Z14 | Long             | DBT              | MUN               | US        |  61017293 | PA      | $2263741.56    | 0.01%             | 2035-03-25      | Variable      | 0.82%                 | No            |                  2 | On Loan: No      |
| Capital Four US CLO            | Capital Four US CLO II Ltd                                                       | CUSIP: 14016CAQ9<br>LEI: 2138009KMDCX6G3MTA10 | Long             | ABS-CBDO         | CORP              | US        |  18000000 | PA      | $17973894.60   | 0.06%             | 2037-01-20      | Floating      | 6.32%                 | No            |                  2 | On Loan: No      |
| CARBON LEVEL MITIGATION TRUST  | Carbon Level Mitigation Trust Series 2022-3                                      | CUSIP: 14116CAJ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  25755422 | PA      | $14423087.70   | 0.05%             | 2052-11-21      | Fixed         | 0.23%                 | No            |                  2 | On Loan: No      |
| Castlelake Aircraft Securitiza | Castlelake Aircraft Structured Trust 2026-1                                      | CUSIP: 148924AA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  27750000 | PA      | $27334749.00   | 0.09%             | 2051-03-15      | Fixed         | 5.07%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2007-J3                                          | CUSIP: 17025QAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    393632 | PA      | $119489.02     | 0.00%             | 2037-07-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2007-21                                          | CUSIP: 17025WAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  34102522 | PA      | $14542979.73   | 0.05%             | 2038-02-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan  | CitiMortgage Alternative Loan Trust Series 2006-A1                               | CUSIP: 17309AAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1131745 | PA      | $1038667.43    | 0.00%             | 2036-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust  | Citigroup Mortgage Loan Trust 2021-RP2                                           | CUSIP: 17329JAU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  77995733 | PA      | $65540750.50   | 0.21%             | 2065-03-25      | Variable      | 5.42%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mor | Credit Suisse First Boston Mortgage Securities Corp                              | CUSIP: 2254582H0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3360741 | PA      | $1332296.59    | 0.00%             | 2035-09-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Mortgage-Backed Trust 2006-3                                                | CUSIP: 225470P98<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    739602 | PA      | $450364.06     | 0.00%             | 2036-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mor | Credit Suisse First Boston Mortgage Securities Corp                              | CUSIP: 225470SA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9680346 | PA      | $1553726.53    | 0.00%             | 2036-01-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Great Wolf Trust               | GWT 2024-WLF2                                                                    | CUSIP: 362414AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  15000000 | PA      | $15018076.50   | 0.05%             | 2041-05-15      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38383WBW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  26461289 | PA      | $4987958.25    | 0.02%             | 2051-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38385KLK4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  20389667 | PA      | $20420086.48   | 0.07%             | 2055-12-20      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| HSI Asset Securitization Corpo | HSI Asset Securitization Corp Trust 2007-NC1                                     | CUSIP: 40430TAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  50830807 | PA      | $33058328.79   | 0.11%             | 2037-04-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| HSI Asset Loan Obligation      | HSI Asset Loan Obligation Trust 2007-2                                           | CUSIP: 40432BAZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  17028240 | PA      | $5306071.14    | 0.02%             | 2037-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HERO Funding Trust             | HERO Funding Trust 2016-3                                                        | CUSIP: 42770XAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1365009 | PA      | $1297056.08    | 0.00%             | 2042-09-20      | Fixed         | 3.91%                 | No            |                  2 | On Loan: No      |
| Homebanc Mortgage Trust        | HomeBanc Mortgage Trust 2005-1                                                   | CUSIP: 43739EAS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    252083 | PA      | $245979.20     | 0.00%             | 2035-03-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| Imperial Fund LLC              | Imperial Fund Mortgage Trust 2021-NQM4                                           | CUSIP: 45276JAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7650455 | PA      | $6797333.69    | 0.02%             | 2057-01-25      | Variable      | 2.45%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru | IndyMac INDX Mortgage Loan Trust 2006-AR7                                        | CUSIP: 45661EDA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1846389 | PA      | $1636088.71    | 0.01%             | 2036-05-25      | Variable      | 3.55%                 | No            |                  2 | On Loan: No      |
| IndyMac INDA Mortgage Loan Tru | IndyMac INDA Mortgage Loan Trust 2006-AR2                                        | CUSIP: 45661SAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    447229 | PA      | $420852.86     | 0.00%             | 2036-09-25      | Variable      | 4.16%                 | No            |                  2 | On Loan: No      |
| IndyMac IMJA Mortgage Loan Tru | IndyMac IMJA Mortgage Loan Trust 2007-A2                                         | CUSIP: 456654AE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10496323 | PA      | $4495400.94    | 0.01%             | 2037-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| IndyMac IMJA Mortgage Loan Tru | IndyMac IMJA Mortgage Loan Trust 2007-A4                                         | CUSIP: 45670VAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12760584 | PA      | $3435838.30    | 0.01%             | 2038-02-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Jol Air                        | JOL Air Ltd                                                                      | CUSIP: 46651NAA2<br>LEI: 549300TS4MUGCDXPW498 | Long             | ABS-O            | CORP              | US        |   2036616 | PA      | $2040114.55    | 0.01%             | 2044-04-15      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| Jimmy John's Funding LLC       | Jimmy Johns Funding LLC                                                          | CUSIP: 47760QAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  19780000 | PA      | $19689995.07   | 0.06%             | 2047-07-30      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31397Y6G1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1107439 | PA      | $74305.39      | 0.00%             | 2038-08-15      | Floating      | 2.06%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31398KC40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    530257 | PA      | $38982.30      | 0.00%             | 2049-10-15      | Floating      | 2.21%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                 | CUSIP: 3132XGNA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  40000000 | PA      | $36270144.00   | 0.12%             | 2032-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                 | CUSIP: 3133KJE24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  13195519 | PA      | $11223106.65   | 0.04%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31417BWS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2411659 | PA      | $2363615.32    | 0.01%             | 2032-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31417C6S9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2344359 | PA      | $2150992.89    | 0.01%             | 2042-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust     | Verus Securitization Trust 2021-5                                                | CUSIP: 92538KAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6651000 | PA      | $4849868.63    | 0.02%             | 2066-09-25      | Variable      | 3.04%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-7 Trust   | CUSIP: 93934FBR2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2686839 | PA      | $2594381.92    | 0.01%             | 2035-08-25      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                     | AMSR 2021-SFR3 Trust                                                             | CUSIP: 00180UAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6500000 | PA      | $6383807.95    | 0.02%             | 2038-10-17      | Fixed         | 2.33%                 | No            |                  2 | On Loan: No      |
| Aegis Asset Backed Securities  | Aegis Asset Backed Securities Trust Mortgage Pass-Through Ctfs Ser 2004-2        | CUSIP: 00764MBU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    544922 | PA      | $533080.57     | 0.00%             | 2034-06-25      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| Affirm Master Trust            | Affirm Master Trust                                                              | CUSIP: 00833BAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  19450000 | PA      | $19574837.88   | 0.06%             | 2033-02-15      | Fixed         | 4.99%                 | No            |                  2 | On Loan: No      |
| Allegro CLO Ltd                | Allegro CLO XV Ltd                                                               | CUSIP: 01749WAL7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5000000 | PA      | $4993594.00    | 0.02%             | 2038-04-20      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-45T1                                                 | CUSIP: 02149JAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3136331 | PA      | $230548.90     | 0.00%             | 2037-02-25      | Floating      | 1.61%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2007-5CB                                                  | CUSIP: 02150EBG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13230979 | PA      | $5777652.49    | 0.02%             | 2037-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2007-5CB                                                  | CUSIP: 02150EBP7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5708768 | PA      | $2485343.66    | 0.01%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2007-22                                                   | CUSIP: 02151BBG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  17443338 | PA      | $6417951.61    | 0.02%             | 2037-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2007-15CB                                                 | CUSIP: 02151CAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7912941 | PA      | $6556258.53    | 0.02%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2007-15CB                                                 | CUSIP: 02151CAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5663285 | PA      | $3111819.50    | 0.01%             | 2037-07-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2007-23CB                                                 | CUSIP: 02151EAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9142183 | PA      | $1399216.56    | 0.00%             | 2037-09-25      | Floating      | 2.71%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2007-24                                                   | CUSIP: 02151GAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1884667 | PA      | $261885.64     | 0.00%             | 2037-10-25      | Floating      | 3.16%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2007-24                                                   | CUSIP: 02151GAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3091801 | PA      | $632146.45     | 0.00%             | 2037-10-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| American Home Mortgage Assets  | American Home Mortgage Assets Trust 2006-2                                       | CUSIP: 02660XAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2296872 | PA      | $2232183.35    | 0.01%             | 2046-09-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust   | Barclays Mortgage Loan Trust 2026-NQM1                                           | CUSIP: 06745EAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9338329 | PA      | $9299080.66    | 0.03%             | 2065-12-25      | Variable      | 5.24%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust   | Barclays Mortgage Loan Trust 2026-NQM2                                           | CUSIP: 06745FAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10491069 | PA      | $10387829.73   | 0.03%             | 2065-12-25      | Variable      | 5.20%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust   | Barclays Mortgage Loan Trust 2026-NQM2                                           | CUSIP: 06745FAH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5466500 | PA      | $5346892.98    | 0.02%             | 2065-12-25      | Variable      | 5.48%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan  | CitiMortgage Alternative Loan Trust Series 2007-A1                               | CUSIP: 12566QAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1662343 | PA      | $1507051.19    | 0.00%             | 2037-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan  | CitiMortgage Alternative Loan Trust Series 2007-A3                               | CUSIP: 12567AAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1511689 | PA      | $1333631.74    | 0.00%             | 2037-03-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-7CB                                                  | CUSIP: 12668BYF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3980554 | PA      | $1939523.14    | 0.01%             | 2036-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certi | CWABS Asset-Backed Certificates Trust 2006-25                                    | CUSIP: 12668HAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4338061 | PA      | $4067599.75    | 0.01%             | 2037-06-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certi | CWABS Asset-Backed Certificates Trust 2007-BC1                                   | CUSIP: 12668TAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7934720 | PA      | $7671886.10    | 0.02%             | 2037-05-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| ChaseFlex Trust                | ChaseFlex Trust Multi-Class Mortgage Pass-Through Certificates Series 2007-M1    | CUSIP: 16165YAU6<br>LEI: 5493006ND0ASVXWQFQ18 | Long             | ABS-MBS          | CORP              | US        |   4253365 | PA      | $3619030.75    | 0.01%             | 2037-08-25      | Variable      | 4.20%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust  | Citigroup Mortgage Loan Trust 2007-OPX1                                          | CUSIP: 17311FAH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6892996 | PA      | $2908421.66    | 0.01%             | 2037-01-25      | Variable      | 7.26%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC               | COLT 2025-6 Mortgage Loan Trust                                                  | CUSIP: 19689BAD5<br>LEI: 213800IXUWCX6RHIO921 | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $3012801.00    | 0.01%             | 2070-08-25      | Variable      | 6.26%                 | No            |                  2 | On Loan: No      |
| Home Equity Asset Trust        | Home Equity Asset Trust                                                          | CUSIP: 22541N3S6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    170395 | PA      | $168068.00     | 0.00%             | 2033-08-25      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-J4                                                   | CUSIP: 23242WAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    748156 | PA      | $409829.72     | 0.00%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FMC GMSR ISSUER TRUST          | FMC GMSR Issuer Trust                                                            | CUSIP: 30259RAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  62350000 | PA      | $61668583.09   | 0.20%             | 2028-01-25      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| FS Rialto Issuer Ltd           | FS Rialto 2025-FL10 Issuer LLC                                                   | CUSIP: 30340KAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  26100000 | PA      | $26162796.60   | 0.08%             | 2042-08-19      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                                            | CUSIP: 3128MJXW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  43493751 | PA      | $39447664.58   | 0.13%             | 2046-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                                            | CUSIP: 3128MJYM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  16077401 | PA      | $14535179.99   | 0.05%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                                            | CUSIP: 3128P7RY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4016766 | PA      | $3945786.33    | 0.01%             | 2032-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                                            | CUSIP: 3128P7TC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8532278 | PA      | $8377607.74    | 0.03%             | 2032-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31397UJU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7023385 | PA      | $6971749.46    | 0.02%             | 2041-06-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31397UVX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    473987 | PA      | $473025.77     | 0.00%             | 2041-07-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| firstkey homes 2020-sfr1 trust | FirstKey Homes 2021-SFR2 Trust                                                   | CUSIP: 33767TAL4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8000000 | PA      | $7893757.60    | 0.03%             | 2038-09-17      | Fixed         | 2.36%                 | No            |                  2 | On Loan: No      |
| GM Financial Securitized Term  | GM Financial Consumer Automobile Receivables Trust 2024-1                        | CUSIP: 36268GAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3973997 | PA      | $3990115.91    | 0.01%             | 2028-12-18      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| GE-WMC Mortgage Securities LLC | GE-WMC Mortgage Securities Trust 2006-1                                          | CUSIP: 36829JAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  29615809 | PA      | $12470909.04   | 0.04%             | 2036-08-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| Global SC Finance SRL          | Global SC Finance VII Srl                                                        | CUSIP: 37959PAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | CN        |   6435293 | PA      | $6188338.35    | 0.02%             | 2040-10-17      | Fixed         | 2.17%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38374KK93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    346355 | PA      | $346390.94     | 0.00%             | 2035-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38374M4Z9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    254831 | PA      | $288141.78     | 0.00%             | 2036-05-20      | Floating      | 12.18%                | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-1 Trust   | CUSIP: 93934FKK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3724471 | PA      | $2830629.19    | 0.01%             | 2036-02-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-5 Trust   | CUSIP: 93934NAV7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3886426 | PA      | $2771322.48    | 0.01%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31417FPE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5310159 | PA      | $5133611.91    | 0.02%             | 2033-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31417FU55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7139664 | PA      | $6675265.89    | 0.02%             | 2038-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GCAT                           | GCAT 2025-NQM3 Trust                                                             | CUSIP: 36171MAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $5031796.00    | 0.02%             | 2070-05-25      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae II Pool                                                               | CUSIP: 3617X4KF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5655768 | PA      | $4704728.50    | 0.02%             | 2052-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2006-QS16 Trust                                                      | CUSIP: 74922LAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1168276 | PA      | $935526.34     | 0.00%             | 2036-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2006-QS16 Trust                                                      | CUSIP: 74922LAL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1465668 | PA      | $1173882.91    | 0.00%             | 2036-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-5 Trust   | CUSIP: 93935BAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5170202 | PA      | $1052647.45    | 0.00%             | 2036-07-25      | Variable      | 6.95%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas | Washington Mutual Mortgage Pass-Through Certificates WMALT Ser 2006-AR10 Trust   | CUSIP: 93935YAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3328997 | PA      | $1662984.91    | 0.01%             | 2036-12-25      | Floating      | 3.99%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38379GZ34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7432822 | PA      | $644769.82     | 0.00%             | 2044-11-20      | Floating      | 1.81%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38379HDC6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7136405 | PA      | $643745.81     | 0.00%             | 2044-11-20      | Floating      | 1.81%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38380RNM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  58428565 | PA      | $3667590.26    | 0.01%             | 2063-06-16      | Variable      | 0.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38383FS79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  51343753 | PA      | $7390830.55    | 0.02%             | 2052-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38383RA23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        | 109724449 | PA      | $15610080.44   | 0.05%             | 2051-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38384AWW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  39447849 | PA      | $6710110.64    | 0.02%             | 2050-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust | HarborView Mortgage Loan Trust 2006-4                                            | CUSIP: 41161PP98<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4910566 | PA      | $2477338.27    | 0.01%             | 2046-05-19      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust | HarborView Mortgage Loan Trust 2006-14                                           | CUSIP: 41162NAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  23776006 | PA      | $22893152.53   | 0.07%             | 2047-01-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| IndyMac Residential Asset Back | Home Equity Mortgage Loan Asset-Backed Trust Series INABS 2006-D                 | CUSIP: 43709LAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8528139 | PA      | $7144051.60    | 0.02%             | 2036-11-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| Home Partners of America Trust | Home Partners of America 2019-2 Trust                                            | CUSIP: 43732TAG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3892366 | PA      | $3780290.35    | 0.01%             | 2039-10-19      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| HSI Asset Securitization Corpo | HSI Asset Securitization Corp Trust 2006-HE1                                     | CUSIP: 44328AAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  26018663 | PA      | $6876654.69    | 0.02%             | 2036-10-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| Imperial Fund LLC              | Imperial Fund Mortgage Trust 2021-NQM4                                           | CUSIP: 45276JAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10038391 | PA      | $8895793.25    | 0.03%             | 2057-01-25      | Variable      | 2.30%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati | Residential Asset Securitization Trust 2006-A2                                   | CUSIP: 45661EBV5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3155593 | PA      | $1124989.57    | 0.00%             | 2046-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| IndyMac IMJA Mortgage Loan Tru | IndyMac IMJA Mortgage Loan Trust 2007-A1                                         | CUSIP: 456652AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3100394 | PA      | $1078043.86    | 0.00%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| IndyMac IMSC Mortgage Loan Tru | IndyMac IMSC Mortgage Loan Trust 2007-F1                                         | CUSIP: 456671AC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  28767736 | PA      | $6646946.60    | 0.02%             | 2037-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| IndyMac INDA Mortgage Loan Tru | IndyMac INDA Mortgage Loan Trust 2007-AR3                                        | CUSIP: 456673AE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1245608 | PA      | $1088586.76    | 0.00%             | 2037-07-25      | Variable      | 3.21%                 | No            |                  2 | On Loan: No      |
| IndyMac IMSC Mortgage Loan Tru | IndyMac IMSC Mortgage Loan Trust 2007-F2                                         | CUSIP: 45670JAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    429052 | PA      | $288447.91     | 0.00%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor | JP Morgan Chase Commercial Mortgage Securities Trust 2015-JP1                    | CUSIP: 46590KAN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6716384 | PA      | $67.16         | 0.00%             | 2049-01-15      | Variable      | 0.72%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Acquisition | JP Morgan Mortgage Acquisition Corp 2005-WMC1                                    | CUSIP: 46626LBL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2179200 | PA      | $2024163.65    | 0.01%             | 2035-09-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor | J.P. Morgan Chase Commercial Mortgage SecuritiesTrust 2018-MINN                  | CUSIP: 46650GAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9343000 | PA      | $2394106.38    | 0.01%             | 2035-11-15      | Floating      | 6.47%                 | No            |                  2 | On Loan: No      |
| Jersey Mikes Funding LLC       | Jersey Mike's Funding LLC                                                        | CUSIP: 476681AF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  21100000 | PA      | $20860766.09   | 0.07%             | 2056-02-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor | JPMCC Commercial Mortgage Securities Trust 2019-COR4                             | CUSIP: 48128YAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  18869000 | PA      | $943127.34     | 0.00%             | 2052-03-10      | Variable      | 2.02%                 | No            |                  2 | On Loan: No      |
| Navient Refinance Loan Trust   | Navient Refinance Loan Trust 2025-C                                              | CUSIP: 638973AA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9444638 | PA      | $9404482.23    | 0.03%             | 2055-10-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust     | Navient Private Education Loan Trust 2018-B                                      | CUSIP: 63940QAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11000000 | PA      | $10788089.40   | 0.03%             | 2059-12-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Navigator Aircraft ABS LLC     | Navigator Aircraft ABS Ltd                                                       | CUSIP: 63943BAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | AE        |   8163830 | PA      | $7789608.21    | 0.03%             | 2046-11-15      | Variable      | 3.57%                 | No            |                  2 | On Loan: No      |
| Neighborly Issuer LLC          | Neighborly Issuer LLC                                                            | CUSIP: 64016NAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  14049375 | PA      | $13477547.17   | 0.04%             | 2051-04-30      | Fixed         | 3.58%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan  | NRZT 2025-NQM6                                                                   | CUSIP: 64832KAH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3250000 | PA      | $3224898.95    | 0.01%             | 2065-10-25      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan  | New Residential Mortgage Loan Trust 2026-NQM1                                    | CUSIP: 64832LAG8<br>LEI: 213800ECBEJHYYK9P940 | Long             | ABS-MBS          | CORP              | US        |   6063751 | PA      | $6004731.46    | 0.02%             | 2065-11-25      | Variable      | 5.18%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2007-QS1 Trust                                                       | CUSIP: 74922KAR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1484904 | PA      | $1136828.18    | 0.00%             | 2037-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2006-QS8 Trust                                                       | CUSIP: 75115AAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4612804 | PA      | $319285.40     | 0.00%             | 2036-08-25      | Floating      | 1.76%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2006-QS3 Trust                                                       | CUSIP: 761118XP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3033845 | PA      | $2750898.00    | 0.01%             | 2036-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati | Residential Asset Securitization Trust 2006-A8                                   | CUSIP: 761119AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2250431 | PA      | $1528971.04    | 0.00%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati | Residential Asset Securitization Trust 2006-A12                                  | CUSIP: 76113XAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7068226 | PA      | $2415151.28    | 0.01%             | 2036-11-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae II Pool                                                               | CUSIP: 3622ABC83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  22971690 | PA      | $19849288.80   | 0.06%             | 2051-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GGP Trust                      | GGP 2026-TY                                                                      | CUSIP: 373914AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  26530000 | PA      | $26239164.88   | 0.08%             | 2043-03-05      | Variable      | 4.67%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38377ELC6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3218246 | PA      | $272726.12     | 0.00%             | 2040-04-20      | Floating      | 1.89%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38377VE44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5936482 | PA      | $455070.54     | 0.00%             | 2041-05-20      | Floating      | 1.56%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                 | CUSIP: 3133KKVK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  17575916 | PA      | $15068116.14   | 0.05%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137A5PB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1906729 | PA      | $1873414.97    | 0.01%             | 2031-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Alternative Loan T | Wells Fargo Alternative Loan 2007-PA1 Trust                                      | CUSIP: 94984TAK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    368840 | PA      | $340782.44     | 0.00%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag | Wells Fargo Commercial Mortgage Trust 2015-C31                                   | CUSIP: 94989WAZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    116090 | PA      | $114398.00     | 0.00%             | 2048-11-15      | Variable      | 4.67%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2006-QS17 Trust                                                      | CUSIP: 74922SAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    851294 | PA      | $712431.50     | 0.00%             | 2036-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2007-QA5 Trust                                                       | CUSIP: 749236AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  17043161 | PA      | $10179605.92   | 0.03%             | 2037-09-25      | Variable      | 6.29%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38378Y2X6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12935720 | PA      | $1063440.34    | 0.00%             | 2044-02-20      | Floating      | 1.76%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38379YYJ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8022412 | PA      | $1117770.73    | 0.00%             | 2046-08-20      | Floating      | 2.31%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust | Morgan Stanley Capital I Trust 2024-NSTB                                         | CUSIP: 61690BAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  15186912 | PA      | $14995529.09   | 0.05%             | 2057-09-24      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust | Morgan Stanley Capital I 2017-HR2                                                | CUSIP: 61691NAK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4661000 | PA      | $4456199.39    | 0.01%             | 2050-12-15      | Variable      | 4.31%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137BJGS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1365336 | PA      | $1360787.06    | 0.00%             | 2041-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137F4ZY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3677391 | PA      | $531257.93     | 0.00%             | 2048-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag | Wells Fargo Commercial Mortgage Trust 2017-C42                                   | CUSIP: 95001GAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  40395526 | PA      | $469913.08     | 0.00%             | 2050-12-15      | Variable      | 0.82%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag | Wells Fargo Commercial Mortgage Trust 2019-C53                                   | CUSIP: 95002BBC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8777333 | PA      | $398591.86     | 0.00%             | 2052-10-15      | Variable      | 1.48%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ReRemic Trust   | Morgan Stanley Re-REMIC Trust 2010-R5                                            | CUSIP: 61759HBA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2232075 | PA      | $2511497.55    | 0.01%             | 2036-06-26      | Variable      | 7.07%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ReRemic Trust   | Morgan Stanley Re-REMIC Trust 2010-R9                                            | CUSIP: 61760CAP0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8743220 | PA      | $6641977.34    | 0.02%             | 2036-11-26      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137F52B4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3677391 | PA      | $2825228.96    | 0.01%             | 2048-05-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                 | CUSIP: 31427QAM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  39010545 | PA      | $39534598.17   | 0.13%             | 2055-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust      | Morgan Stanley Bank of America Merrill Lynch Trust 2016-C31                      | CUSIP: 61766RBE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6032000 | PA      | $5657194.44    | 0.02%             | 2049-11-15      | Variable      | 4.24%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust | Morgan Stanley Capital I Trust 2019-L2                                           | CUSIP: 61768HAX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  71217949 | PA      | $1690721.22    | 0.01%             | 2052-03-15      | Variable      | 0.97%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S | BBCMS Mortgage Trust 2020-C6                                                     | CUSIP: 05492TBK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12497250 | PA      | $9310362.52    | 0.03%             | 2053-02-15      | Variable      | 3.69%                 | No            |                  2 | On Loan: No      |
| Amortizing Residential Collate | Amortizing Residential Collateral Trust 2002-BC7                                 | CUSIP: 86358R7M3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3921153 | PA      | $2978881.64    | 0.01%             | 2032-10-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer | WaMu Mortgage Pass-Through Certificates Series 2007-HY5 Trust                    | CUSIP: 92990GAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6148709 | PA      | $5542040.05    | 0.02%             | 2037-05-25      | Variable      | 4.08%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S | BBCMS Mortgage Trust 2021-C9                                                     | CUSIP: 05493EAZ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 129280690 | PA      | $7586022.80    | 0.02%             | 2054-02-15      | Variable      | 1.55%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S | BBCMS Mortgage Trust 2021-C11                                                    | CUSIP: 05493MAH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  34040000 | PA      | $1599049.42    | 0.01%             | 2054-09-15      | Variable      | 0.95%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag | Wells Fargo Commercial Mortgage Trust 2020-C55                                   | CUSIP: 95002EBC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  28088000 | PA      | $25917496.99   | 0.08%             | 2053-02-15      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag | Wells Fargo Commercial Mortgage Trust 2021-C61                                   | CUSIP: 95003QBC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 159824646 | PA      | $7770754.21    | 0.02%             | 2054-11-15      | Variable      | 1.34%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                 | CUSIP: 31427QWN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11618082 | PA      | $11621085.04   | 0.04%             | 2055-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                 | CUSIP: 31427RVW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  63539132 | PA      | $64333844.67   | 0.21%             | 2056-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2006-QS12 Trust                                                      | CUSIP: 751151AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    961882 | PA      | $370776.52     | 0.00%             | 2036-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2007-QH7 Trust                                                       | CUSIP: 75115LAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8261329 | PA      | $7594569.56    | 0.02%             | 2037-08-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-7 Trust   | CUSIP: 93934FBT8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1921690 | PA      | $1655073.84    | 0.01%             | 2035-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-9 Trust   | CUSIP: 93934FEN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4237774 | PA      | $3957339.47    | 0.01%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Adjustable Rate Mortgage Trust | Adjustable Rate Mortgage Trust 2006-2                                            | CUSIP: 007034AN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9803199 | PA      | $1487155.09    | 0.00%             | 2036-05-25      | Variable      | 4.38%                 | No            |                  2 | On Loan: No      |
| Adjustable Rate Mortgage Trust | Adjustable Rate Mortgage Trust 2005-8                                            | CUSIP: 007036QH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3277111 | PA      | $2302913.46    | 0.01%             | 2035-11-25      | Variable      | 4.76%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S | BBCMS Mortgage Trust 2025-5C37                                                   | CUSIP: 05494NAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7263000 | PA      | $7354350.38    | 0.02%             | 2058-09-15      | Fixed         | 5.01%                 | No            |                  2 | On Loan: No      |
| BCAP LLC Trust                 | BCAP LLC Trust 2007-AA2                                                          | CUSIP: 05530NAV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1926313 | PA      | $819330.24     | 0.00%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag | Wells Fargo Commercial Mortgage Trust 2025-5C3                                   | CUSIP: 95004JAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1250000 | PA      | $1304615.75    | 0.00%             | 2058-01-15      | Variable      | 6.39%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag | Wells Fargo Commercial Mortgage Trust 2025-5C5                                   | CUSIP: 95004MAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12450000 | PA      | $12867338.94   | 0.04%             | 2058-07-15      | Fixed         | 5.92%                 | No            |                  2 | On Loan: No      |
| BCAP LLC Trust                 | BCAP LLC 2009-RR4 Trust                                                          | CUSIP: 05531RAK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2447068 | PA      | $961237.39     | 0.00%             | 2036-02-26      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S | BBCMS Mortgage Trust 2026-5C40                                                   | CUSIP: 05557AAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11608000 | PA      | $11779479.18   | 0.04%             | 2059-02-15      | Variable      | 5.53%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-16CB                                                 | CUSIP: 021460AG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2477376 | PA      | $1262758.03    | 0.00%             | 2036-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-24CB                                                 | CUSIP: 02146TAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2948154 | PA      | $1186425.19    | 0.00%             | 2036-08-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag | Wells Fargo Commercial Mortgage Trust 2025-5C6                                   | CUSIP: 95004TAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4386000 | PA      | $4465795.38    | 0.01%             | 2058-10-15      | Variable      | 5.58%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag | Wells Fargo Commercial Mortgage Trust 2025-5C7                                   | CUSIP: 95004XAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  32707000 | PA      | $33259323.11   | 0.11%             | 2058-12-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Carrington Mortgage Loan Trust | Carrington Mortgage Loan Trust Series 2006-NC3                                   | CUSIP: 144528AC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6474979 | PA      | $6316681.61    | 0.02%             | 2036-08-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| Carrington Mortgage Loan Trust | Carrington Mortgage Loan Trust Series 2006-FRE2                                  | CUSIP: 14454AAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  16532336 | PA      | $13493944.02   | 0.04%             | 2036-10-25      | Floating      | 3.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                                            | CUSIP: 3128MJXQ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  19529352 | PA      | $17719718.16   | 0.06%             | 2046-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137AEP41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1351454 | PA      | $1365759.71    | 0.00%             | 2034-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31397RVZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     92635 | PA      | $6095.69       | 0.00%             | 2038-03-15      | Floating      | 1.86%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                 | CUSIP: 3142GUTD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  55221009 | PA      | $55978624.12   | 0.18%             | 2055-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC       | OBX 2021-NQM3 Trust                                                              | CUSIP: 67114JAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9694000 | PA      | $6111554.19    | 0.02%             | 2061-07-25      | Variable      | 2.33%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38377QPD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2077190 | PA      | $1867975.30    | 0.01%             | 2040-12-20      | Floating      | 1.92%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38378JM66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    656495 | PA      | $652800.24     | 0.00%             | 2042-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MRCD Mortgage Trust            | MRCD 2019-MARK Mortgage Trust                                                    | CUSIP: 55348UAU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7794000 | PA      | $5144040.00    | 0.02%             | 2036-12-15      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T | Morgan Stanley Mortgage Loan Trust 2006-7                                        | CUSIP: 61749JAJ5<br>LEI: 549300E4V6DCTUJSC749 | Long             | ABS-MBS          | CORP              | US        |   1329170 | PA      | $541597.99     | 0.00%             | 2036-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust      | Morgan Stanley Bank of America Merrill Lynch Trust 2017-C33                      | CUSIP: 61767CAW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  35782833 | PA      | $348818.21     | 0.00%             | 2050-05-15      | Variable      | 1.23%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust | Morgan Stanley Capital I Trust 2019-H6                                           | CUSIP: 61769JAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9386700 | PA      | $405591.80     | 0.00%             | 2052-06-15      | Variable      | 1.58%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust | Morgan Stanley Capital I Trust 2019-H7                                           | CUSIP: 61771MAZ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5305000 | PA      | $5041557.94    | 0.02%             | 2052-07-15      | Fixed         | 3.52%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mor | Morgan Stanley Residential Mortgage Loan Trust 2026-NQM2                         | CUSIP: 617949AH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3200000 | PA      | $3151203.20    | 0.01%             | 2071-01-26      | Variable      | 5.48%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S | BBCMS Mortgage Trust 2026-5C40                                                   | CUSIP: 05557AAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5993000 | PA      | $6083626.15    | 0.02%             | 2059-02-15      | Variable      | 5.78%                 | No            |                  2 | On Loan: No      |
| Banc of America Alternative Lo | Banc of America Alternative Loan Trust 2006-5                                    | CUSIP: 05950BAP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    359463 | PA      | $315373.44     | 0.00%             | 2046-06-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC       | OBX 2024-NQM12 Trust                                                             | CUSIP: 67448PAA1<br>LEI: 254900MY906NOBBPOA44 | Long             | ABS-MBS          | CORP              | US        |   3008193 | PA      | $3022045.24    | 0.01%             | 2064-07-25      | Variable      | 5.47%                 | No            |                  2 | On Loan: No      |
| Option One Mortgage Loan Trust | Option One Mortgage Loan Trust 2004-3                                            | CUSIP: 68389FFV1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    577628 | PA      | $639004.55     | 0.00%             | 2034-11-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2007-7T2                                                  | CUSIP: 02147BAH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1278754 | PA      | $500793.97     | 0.00%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-18CB                                                 | CUSIP: 02147FAX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    653644 | PA      | $68466.97      | 0.00%             | 2036-07-25      | Floating      | 1.71%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2007-QH5 Trust                                                       | CUSIP: 75116EAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  23734108 | PA      | $10396980.11   | 0.03%             | 2037-06-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| Renaissance Home Equity Loan T | Renaissance Home Equity Loan Trust 2007-2                                        | CUSIP: 75970QAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  17696892 | PA      | $4123064.43    | 0.01%             | 2037-06-25      | Variable      | 5.67%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2005-QS13 Trust                                                      | CUSIP: 761118HB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4717172 | PA      | $216637.06     | 0.00%             | 2035-09-25      | Floating      | 1.26%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2005-QA11 Trust                                                      | CUSIP: 761118LM8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13276853 | PA      | $9502096.46    | 0.03%             | 2035-10-25      | Variable      | 5.41%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2005-QS16 Trust                                                      | CUSIP: 761118MA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    994955 | PA      | $826463.09     | 0.00%             | 2035-11-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2005-QS17 Trust                                                      | CUSIP: 761118PT9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1148699 | PA      | $57091.50      | 0.00%             | 2035-12-25      | Floating      | 1.36%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2006-QS1 Trust                                                       | CUSIP: 761118SE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    443506 | PA      | $472722.23     | 0.00%             | 2036-01-25      | Floating      | 13.78%                | No            |                  2 | On Loan: No      |
| Brant Point CLO Ltd            | Brant Point CLO 2024-5 Ltd                                                       | CUSIP: 83617CAA2<br>LEI: 2549006N6CIHZ26VQC36 | Long             | ABS-CBDO         | CORP              | US        |  11750000 | PA      | $11763901.43   | 0.04%             | 2037-10-20      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| Helios Issuer, LLC             | Sunnova Helios VII Issuer LLC                                                    | CUSIP: 86745RAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5411352 | PA      | $3524674.96    | 0.01%             | 2048-10-20      | Fixed         | 2.33%                 | No            |                  2 | On Loan: No      |
| AREIT CRE Trust                | AREIT 2025-CRE10 Ltd                                                             | CUSIP: 00193DAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  26120000 | PA      | $26157717.28   | 0.08%             | 2029-12-17      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Ace Securities Corp.           | ACE Securities Corp Home Equity Loan Trust Series 2007-WM1                       | CUSIP: 004424AE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3933356 | PA      | $1607527.93    | 0.01%             | 2036-11-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| Ace Securities Corp.           | ACE Securities Corp Home Equity Loan Trust Series 2007-ASAP1                     | CUSIP: 00442JAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1426155 | PA      | $582360.90     | 0.00%             | 2037-03-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| Ace Securities Corp.           | ACE Securities Corp Home Equity Loan Trust Series 2007-WM2                       | CUSIP: 00442KAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2178320 | PA      | $898027.50     | 0.00%             | 2037-02-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| Ace Securities Corp.           | ACE Securities Corp Home Equity Loan Trust Series 2007-HE1                       | CUSIP: 00443LAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1960531 | PA      | $1194085.08    | 0.00%             | 2037-01-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| Adjustable Rate Mortgage Trust | Adjustable Rate Mortgage Trust 2005-11                                           | CUSIP: 007036VG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  16305022 | PA      | $8223553.38    | 0.03%             | 2036-02-25      | Variable      | 4.92%                 | No            |                  2 | On Loan: No      |
| Adjustable Rate Mortgage Trust | Adjustable Rate Mortgage Trust 2007-3                                            | CUSIP: 00703RAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    754675 | PA      | $751050.94     | 0.00%             | 2037-11-25      | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| Affirm Master Trust            | Affirm Master Trust                                                              | CUSIP: 00833BAU2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  48800000 | PA      | $48635016.96   | 0.16%             | 2034-02-15      | Fixed         | 4.37%                 | No            |                  2 | On Loan: No      |
| American Home Mortgage Investm | American Home Mortgage Investment Trust 2005-4                                   | CUSIP: 02660TGW7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11154892 | PA      | $4315290.03    | 0.01%             | 2045-11-25      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| arbor multifamily mortgage sec | Arbor Multifamily Mortgage Securities Trust 2021-MF3                             | CUSIP: 03882KAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  21947000 | PA      | $548991.04     | 0.00%             | 2054-10-15      | Variable      | 0.49%                 | No            |                  2 | On Loan: No      |
| Balboa Bay Loan Funding Ltd    | Balboa Bay Loan Funding 2025-2 Ltd                                               | CUSIP: 057915AA8<br>LEI: 2549002Z9TKO9WGID477 | Long             | ABS-CBDO         | CORP              | US        |  16000000 | PA      | $16006544.00   | 0.05%             | 2039-01-20      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor | Banc of America Funding 2006-3 Trust                                             | CUSIP: 058931BN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    111383 | PA      | $113801.50     | 0.00%             | 2036-03-25      | Variable      | 6.38%                 | No            |                  2 | On Loan: No      |
| Banc of America Alternative Lo | Banc of America Alternative Loan Trust 2006-2                                    | CUSIP: 05948K2V0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    974249 | PA      | $907470.69     | 0.00%             | 2036-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-9 Trust   | CUSIP: 93934FFN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    879824 | PA      | $144644.72     | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Asset-Backed | Washington Mutural Asset-Backed Certificates WMABS Series 2006-HE2 Trust         | CUSIP: 93934JAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    984565 | PA      | $778501.68     | 0.00%             | 2036-05-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor | Banc of America Funding 2006-2 Trust                                             | CUSIP: 05949QBG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     44736 | PA      | $46348.51      | 0.00%             | 2036-03-25      | Floating      | 11.42%                | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor | Banc of America Funding 2006-2 Trust                                             | CUSIP: 05949QBP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     71496 | PA      | $71349.06      | 0.00%             | 2036-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust            | COMM 2018-COR3 Mortgage Trust                                                    | CUSIP: 12595VAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  15800000 | PA      | $481846.28     | 0.00%             | 2051-05-10      | Variable      | 1.75%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-32T1                                                 | CUSIP: 12667GD67<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4689129 | PA      | $2433529.26    | 0.01%             | 2035-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-20CB                                                 | CUSIP: 12667GPX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1923639 | PA      | $1081199.82    | 0.00%             | 2035-07-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| Canyon Capital CLO Ltd         | Canyon Capital CLO 2021-2 Ltd                                                    | CUSIP: 13876XAG6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2500000 | PA      | $2496255.75    | 0.01%             | 2034-04-15      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| Carrington Mortgage Loan Trust | Carrington Mortgage Loan Trust Series 2006-NC4                                   | CUSIP: 14453MAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  17918732 | PA      | $17620962.01   | 0.06%             | 2036-10-25      | Floating      | 3.95%                 | No            |                  2 | On Loan: No      |
| Carrington Mortgage Loan Trust | Carrington Mortgage Loan Trust Series 2006-FRE2                                  | CUSIP: 14454AAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5088528 | PA      | $4157338.20    | 0.01%             | 2036-10-25      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| Carval CLO LTD                 | CarVal CLO IX-C Ltd                                                              | CUSIP: 14688HAE2<br>LEI: 2549009HBUYMF23IOB57 | Long             | ABS-CBDO         | CORP              | US        |   6000000 | PA      | $5992550.40    | 0.02%             | 2037-04-20      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| Cascade MH Asset Trust         | Cascade MH Asset Trust 2019-MH1                                                  | CUSIP: 14732FAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  12325176 | PA      | $11858868.99   | 0.04%             | 2044-11-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Castlelake Aircraft Securitiza | Castlelake Aircraft Structured Trust 2026-1                                      | CUSIP: 148924AB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7070000 | PA      | $6970468.54    | 0.02%             | 2051-03-15      | Fixed         | 5.76%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora | Chase Mortgage Finance Trust Series 2007-S5                                      | CUSIP: 161631AT3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2192905 | PA      | $908457.22     | 0.00%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ChaseFlex Trust                | ChaseFlex Trust Series 2007-1                                                    | CUSIP: 16165VAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3103529 | PA      | $1023684.68    | 0.00%             | 2037-02-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust  | Citigroup Mortgage Loan Trust 2005-9                                             | CUSIP: 17307GK98<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    308571 | PA      | $289247.71     | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust  | Citigroup Mortgage Loan Trust 2014-8                                             | CUSIP: 17323AAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1992977 | PA      | $1734316.09    | 0.01%             | 2037-03-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage  | Citigroup Commercial Mortgage Trust 2017-P7                                      | CUSIP: 17325HBU7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  34793632 | PA      | $207161.29     | 0.00%             | 2050-04-14      | Variable      | 1.10%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage  | Citigroup Commercial Mortgage Trust 2020-420K                                    | CUSIP: 17328QAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7800000 | PA      | $6720355.98    | 0.02%             | 2042-11-10      | Variable      | 3.31%                 | No            |                  2 | On Loan: No      |
| ELP Commercial Mortgage Trust  | ELP Commercial Mortgage Trust 2025-ELP                                           | CUSIP: 290154AG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3570000 | PA      | $3528192.80    | 0.01%             | 2042-11-13      | Variable      | 5.07%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage  | Citigroup Commercial Mortgage Trust 2015-GC33                                    | CUSIP: 29425AAH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5450000 | PA      | $4751037.50    | 0.02%             | 2058-09-10      | Variable      | 4.34%                 | No            |                  2 | On Loan: No      |
| EQUS 2021-EQAZ Mortgage Trust  | EQUS 2021-EQAZ Mortgage Trust                                                    | CUSIP: 29478JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6279208 | PA      | $6277743.11    | 0.02%             | 2038-10-15      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                                            | CUSIP: 3128MAB73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8837594 | PA      | $8543892.70    | 0.03%             | 2044-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                                            | CUSIP: 3128ME6H9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5905949 | PA      | $5753810.75    | 0.02%             | 2032-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                                            | CUSIP: 3128MJVQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  17708051 | PA      | $16105549.64   | 0.05%             | 2045-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                                            | CUSIP: 3128MJW89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9592334 | PA      | $8710283.42    | 0.03%             | 2045-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137F7D77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8794233 | PA      | $1531334.51    | 0.00%             | 2050-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137F93G4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  24550870 | PA      | $4489617.65    | 0.01%             | 2051-02-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FEXJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6507725 | PA      | $5836388.45    | 0.02%             | 2048-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FMK84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7878604 | PA      | $7466851.46    | 0.02%             | 2049-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3138ELJ53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  19438317 | PA      | $17834812.30   | 0.06%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3138ENZF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  17891989 | PA      | $17290929.09   | 0.06%             | 2042-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3138LNQE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3620842 | PA      | $3502823.99    | 0.01%             | 2030-06-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3138WDVE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4377626 | PA      | $4177704.38    | 0.01%             | 2035-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor | Banc of America Funding 2006-7 Trust                                             | CUSIP: 05951KBB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    379348 | PA      | $343192.66     | 0.00%             | 2036-10-25      | Variable      | 6.54%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor | Banc of America Funding 2009-R14 Trust                                           | CUSIP: 05955MAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    510134 | PA      | $469840.15     | 0.00%             | 2035-06-26      | Floating      | 7.64%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag | Wells Fargo Commercial Mortgage Trust 2025-5C7                                   | CUSIP: 95004XAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9203000 | PA      | $9339437.24    | 0.03%             | 2058-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Willis Engine Securitization T | Willis Engine Structured Trust V                                                 | CUSIP: 97064FAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  36505843 | PA      | $35317431.74   | 0.11%             | 2045-03-15      | Fixed         | 3.23%                 | No            |                  2 | On Loan: No      |
| N/A                            | US LONG BOND(CBT) Jun26                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |     23000 | NC      | $-71232842.30  | -0.23%            |  |  |  | No            |                  1 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-29T1                                                 | CUSIP: 02147PAV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    355359 | PA      | $477056.71     | 0.00%             | 2036-10-25      | Floating      | 21.50%                | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-23CB                                                 | CUSIP: 02147RAQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4079439 | PA      | $1160424.71    | 0.00%             | 2036-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2007-2CB                                                  | CUSIP: 02149HAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2925695 | PA      | $1442211.32    | 0.00%             | 2037-03-25      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu | Bear Stearns Asset Backed Securities I Trust 2005-AC2                            | CUSIP: 073879SL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4513680 | PA      | $3850111.30    | 0.01%             | 2035-04-25      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor | Banc of America Funding 2014-R6 Trust                                            | CUSIP: 05969KAG8<br>LEI: 549300R28UJ0IF8WGK39 | Long             | ABS-MBS          | CORP              | US        |   4450884 | PA      | $3987341.36    | 0.01%             | 2036-10-26      | Variable      | 4.06%                 | No            |                  2 | On Loan: No      |
| Banc of America Alternative Lo | Banc of America Alternative Loan Trust 2006-8                                    | CUSIP: 06050AAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1146640 | PA      | $121008.84     | 0.00%             | 2036-11-25      | Floating      | 2.71%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2007-4 Trust   | CUSIP: 93936NAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2003474 | PA      | $1946839.10    | 0.01%             | 2037-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se | Wells Fargo Mortgage Backed Securities 2006-AR13 Trust                           | CUSIP: 94984DAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    414544 | PA      | $408324.88     | 0.00%             | 2036-09-25      | Variable      | 6.47%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se | Wells Fargo Mortgage Backed Securities 2006-AR12 Trust                           | CUSIP: 94984GAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    960834 | PA      | $878489.13     | 0.00%             | 2036-09-25      | Variable      | 6.77%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Alternative Loan T | Wells Fargo Alternative Loan 2007-PA1 Trust                                      | CUSIP: 94984TAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1396358 | PA      | $1290138.35    | 0.00%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Alternative Loan T | Wells Fargo Alternative Loan 2007-PA2 Trust                                      | CUSIP: 94985FAM0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2008541 | PA      | $253516.48     | 0.00%             | 2037-06-25      | Floating      | 2.86%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Alternative Loan T | Wells Fargo Alternative Loan 2007-PA3 Trust                                      | CUSIP: 94985GBB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1287642 | PA      | $1171388.96    | 0.00%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Bank                           | BANK 2020-BNK27                                                                  | CUSIP: 06539XAH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4270000 | PA      | $3819614.49    | 0.01%             | 2063-04-15      | Fixed         | 2.14%                 | No            |                  2 | On Loan: No      |
| Bank                           | BANK 2018-BNK10                                                                  | CUSIP: 065404BF1<br>LEI: 549300GL0Y86051URC66 | Long             | ABS-MBS          | CORP              | US        | 138128141 | PA      | $1390743.19    | 0.00%             | 2061-02-15      | Variable      | 0.68%                 | No            |                  2 | On Loan: No      |
| Bank                           | BANK 2019-BNK16                                                                  | CUSIP: 065405AJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  81752196 | PA      | $1729140.69    | 0.01%             | 2052-02-15      | Variable      | 0.93%                 | No            |                  2 | On Loan: No      |
| Bank                           | BANK 2019-BNK21                                                                  | CUSIP: 06540BBJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $4187659.50    | 0.01%             | 2052-10-17      | Variable      | 3.52%                 | No            |                  2 | On Loan: No      |
| Apollo Aviation Securitization | AASET 2020-1 Trust                                                               | CUSIP: 00255UAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3518898 | PA      | $3491475.37    | 0.01%             | 2040-01-16      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Accredited Mortgage Loan Trust | Accredited Mortgage Loan Trust 2006-2                                            | CUSIP: 00437NAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13085000 | PA      | $11098943.00   | 0.04%             | 2036-09-25      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Alternative Loan T | Wells Fargo Alternative Loan 2007-PA5 Trust                                      | CUSIP: 949922AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  17840280 | PA      | $15318437.28   | 0.05%             | 2037-11-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag | Wells Fargo Commercial Mortgage Trust 2025-5C4                                   | CUSIP: 949931AC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3930000 | PA      | $4061597.62    | 0.01%             | 2058-05-15      | Fixed         | 5.67%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-19CB                                                 | CUSIP: 02147QAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    656899 | PA      | $357832.37     | 0.00%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-26CB                                                 | CUSIP: 02147WAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1783428 | PA      | $829953.75     | 0.00%             | 2036-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-41CB                                                 | CUSIP: 02149CAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6357810 | PA      | $2340117.88    | 0.01%             | 2037-01-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-41CB                                                 | CUSIP: 02149CAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2737454 | PA      | $1328202.43    | 0.00%             | 2037-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PHH Alternative Mortgage Trust | PHH Alternative Mortgage Trust Series 2007-2                                     | CUSIP: 69337HAV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4980444 | PA      | $4380151.14    | 0.01%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PHH Alternative Mortgage Trust | PHH Alternative Mortgage Trust Series 2007-2                                     | CUSIP: 69337HBA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2323956 | PA      | $2043849.77    | 0.01%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Mortgage Funding  | Bear Stearns Mortgage Funding Trust 2006-AR3                                     | CUSIP: 07400HAQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5151117 | PA      | $4843366.76    | 0.02%             | 2036-11-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust       | Benchmark 2018-B8 Mortgage Trust                                                 | CUSIP: 08162UAY6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  26607707 | PA      | $336733.84     | 0.00%             | 2052-01-15      | Variable      | 0.61%                 | No            |                  2 | On Loan: No      |
| Bank                           | BANK 2017-BNK4                                                                   | CUSIP: 06541FBB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  30601200 | PA      | $269354.82     | 0.00%             | 2050-05-15      | Variable      | 1.32%                 | No            |                  2 | On Loan: No      |
| Bank5                          | BANK5 2024-5YR8                                                                  | CUSIP: 065923BD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  84815768 | PA      | $2194837.00    | 0.01%             | 2057-08-15      | Variable      | 0.90%                 | No            |                  2 | On Loan: No      |
| Battalion CLO LTD              | Battalion Clo XIX Ltd                                                            | CUSIP: 07133VAC0<br>LEI: 549300RYHI0ZPOOD3O84 | Long             | ABS-CBDO         | CORP              | US        |   1000000 | PA      | $1001503.40    | 0.00%             | 2034-04-15      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| Bayswater Park CLO Ltd         | Bayswater Park CLO Ltd                                                           | CUSIP: 072929AQ5<br>LEI: 254900BXH0PMWI87VS84 | Long             | ABS-CBDO         | CORP              | US        |  15000000 | PA      | $14997810.00   | 0.05%             | 2039-01-20      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S | BBCMS Mortgage Trust 2025-C32                                                    | CUSIP: 07337AAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  98379674 | PA      | $7898323.55    | 0.03%             | 2062-02-15      | Variable      | 1.13%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust       | Benchmark 2020-B16 Mortgage Trust                                                | CUSIP: 08161NAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  72406236 | PA      | $1909258.32    | 0.01%             | 2053-02-15      | Variable      | 1.03%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust       | Benchmark 2020-B17 Mortgage Trust                                                | CUSIP: 08162MAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12580000 | PA      | $588462.21     | 0.00%             | 2053-03-15      | Variable      | 1.40%                 | No            |                  2 | On Loan: No      |
| Deutsche Mortgage Securities,  | Deutsche Mortgage Securities Inc Mortgage Loan Trust Series 2006-PR1             | CUSIP: 25157GBG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1814804 | PA      | $1716169.92    | 0.01%             | 2036-04-15      | Floating      | 7.27%                 | No            |                  2 | On Loan: No      |
| Dividend Solar Loans LLC       | Dividend Solar Loans 2019-1 LLC                                                  | CUSIP: 255388AA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11158286 | PA      | $10399619.92   | 0.03%             | 2039-08-22      | Fixed         | 3.67%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage T | EFMT 2025-NQM6                                                                   | CUSIP: 281916AK2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  15234000 | PA      | $15083373.83   | 0.05%             | 2070-12-25      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31385XLY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1912993 | PA      | $1926693.25    | 0.01%             | 2033-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3138E0Q77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1605539 | PA      | $1502801.18    | 0.00%             | 2041-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3138ELYJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3144620 | PA      | $3036820.58    | 0.01%             | 2043-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382FXU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7495549 | PA      | $5886509.95    | 0.02%             | 2050-06-20      | Fixed         | 1.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382J3Q7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  93138735 | PA      | $13602306.83   | 0.04%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382KMG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  31003847 | PA      | $4399399.41    | 0.01%             | 2050-10-20      | Floating      | 2.51%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382KNK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        | 100961143 | PA      | $14863802.39   | 0.05%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38383CQM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  39365893 | PA      | $5881579.40    | 0.02%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Bayview Financing SBC Trust    | Oceanview Mortgage Trust 2026-SBC1                                               | CUSIP: 675967AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  47273067 | PA      | $46863965.86   | 0.15%             | 2055-08-25      | Variable      | 5.10%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-32CB                                                 | CUSIP: 02147XAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3138246 | PA      | $286586.82     | 0.00%             | 2036-11-25      | Floating      | 1.54%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-40T1                                                 | CUSIP: 02148KAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1031803 | PA      | $610529.63     | 0.00%             | 2037-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-42                                                   | CUSIP: 02148YAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3378771 | PA      | $343445.30     | 0.00%             | 2047-01-25      | Floating      | 1.61%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S | Barclays Commercial Mortgage Trust 2019-C5                                       | CUSIP: 05492JBA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  60597478 | PA      | $1383113.19    | 0.00%             | 2052-11-15      | Variable      | 0.82%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S | BBCMS Mortgage Trust 2024-5C29                                                   | CUSIP: 05555PAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12893000 | PA      | $13130380.76   | 0.04%             | 2057-09-15      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgag | PRPM 2025-4 LLC                                                                  | CUSIP: 69382KAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  40683316 | PA      | $40641058.40   | 0.13%             | 2030-06-25      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgag | PRPM 2025-NQM5 Trust                                                             | CUSIP: 69383FAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  19752964 | PA      | $19707243.75   | 0.06%             | 2070-10-25      | Variable      | 5.18%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgag | PRPM 2025-NQM5 Trust                                                             | CUSIP: 69383FAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11671000 | PA      | $11620058.42   | 0.04%             | 2070-10-25      | Variable      | 6.90%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgag | PRPM 2025-NQM6 Trust                                                             | CUSIP: 69383RAL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6449000 | PA      | $6403654.50    | 0.02%             | 2070-12-25      | Variable      | 5.77%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgag | PRPM 2024-6 LLC                                                                  | CUSIP: 74390PAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  22802540 | PA      | $22836388.04   | 0.07%             | 2029-11-25      | Variable      | 5.70%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgag | PRPM 2024-7 LLC                                                                  | CUSIP: 74448LAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  20970934 | PA      | $20994291.35   | 0.07%             | 2029-11-25      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag | Wells Fargo Commercial Mortgage Trust 2017-C42                                   | CUSIP: 95001GAM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1904000 | PA      | $1694644.54    | 0.01%             | 2050-12-15      | Variable      | 4.30%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag | Wells Fargo Commercial Mortgage Trust 2019-C52                                   | CUSIP: 95002MAY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  66711631 | PA      | $2704542.90    | 0.01%             | 2052-08-15      | Variable      | 1.56%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag | Wells Fargo Commercial Mortgage Trust 2024-5C2                                   | CUSIP: 95003UAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    635000 | PA      | $658572.85     | 0.00%             | 2057-11-15      | Variable      | 6.14%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag | Wells Fargo Commercial Mortgage Trust 2025-5C6                                   | CUSIP: 95004TAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  56836697 | PA      | $3011247.97    | 0.01%             | 2058-10-15      | Variable      | 1.37%                 | No            |                  2 | On Loan: No      |
| Renaissance Home Equity Loan T | Renaissance Home Equity Loan Trust 2006-2                                        | CUSIP: 759676AH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2062139 | PA      | $742922.17     | 0.00%             | 2036-08-25      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| Renaissance Home Equity Loan T | Renaissance Home Equity Loan Trust 2006-3                                        | CUSIP: 75971EAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  17385181 | PA      | $5260293.44    | 0.02%             | 2036-11-25      | Variable      | 5.59%                 | No            |                  2 | On Loan: No      |
| Renaissance Home Equity Loan T | Renaissance Home Equity Loan Trust 2006-3                                        | CUSIP: 75971EAH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2933947 | PA      | $972997.13     | 0.00%             | 2036-11-25      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3138WDXK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7259418 | PA      | $6922226.18    | 0.02%             | 2035-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3138WELW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7763362 | PA      | $7385655.80    | 0.02%             | 2035-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3138WH5S7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  15055083 | PA      | $13580912.48   | 0.04%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31402RJL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    703180 | PA      | $709040.16     | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-45T1                                                 | CUSIP: 02149JAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3136331 | PA      | $801962.45     | 0.00%             | 2037-02-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| American Home Mortgage Investm | American Home Mortgage Investment Trust 2006-2                                   | CUSIP: 02660YAW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2146383 | PA      | $252439.14     | 0.00%             | 2036-06-25      | Variable      | 7.10%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust       | Angel Oak Mortgage Trust 2025-9                                                  | CUSIP: 03466VAC6<br>LEI: 254900OJMXBRORE83E96 | Long             | ABS-MBS          | CORP              | US        |    919202 | PA      | $919250.04     | 0.00%             | 2070-08-25      | Variable      | 5.60%                 | No            |                  2 | On Loan: No      |
| Arbor Realty Collateralized Lo | Arbor Realty Commercial Real Estate Notes 2022-FL1 Ltd                           | CUSIP: 03880XAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5832509 | PA      | $5839910.47    | 0.02%             | 2037-01-15      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Aspire Mortgage Trust          | Aspire Mortgage Trust 2026-1                                                     | CUSIP: 04539FAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4000000 | PA      | $4005344.00    | 0.01%             | 2066-01-25      | Variable      | 5.21%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S | BBCMS Mortgage Trust 2020-C6                                                     | CUSIP: 05492TAZ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7424000 | PA      | $304950.45     | 0.00%             | 2053-02-15      | Variable      | 1.17%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust       | Benchmark 2021-B24 Mortgage Trust                                                | CUSIP: 08163CBE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 217194126 | PA      | $8117521.88    | 0.03%             | 2054-03-15      | Variable      | 1.13%                 | No            |                  2 | On Loan: No      |
| Benchmark 2024-V8 Mortgage Tru | Benchmark 2024-V8 Mortgage Trust                                                 | CUSIP: 08190AAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 135789868 | PA      | $3024311.94    | 0.01%             | 2057-07-15      | Variable      | 0.79%                 | No            |                  2 | On Loan: No      |
| BCAP LLC Trust                 | BCAP LLC Trust 2007-AA2                                                          | CUSIP: 05530NAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  16420239 | PA      | $17705086.44   | 0.06%             | 2047-05-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S | BBCMS Trust 2018-CBM                                                             | CUSIP: 05549RAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  17758000 | PA      | $17288911.78   | 0.06%             | 2037-07-15      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor | Banc of America Funding 2006-D Trust                                             | CUSIP: 058933AT9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3604095 | PA      | $3102183.70    | 0.01%             | 2036-05-20      | Variable      | 3.83%                 | No            |                  2 | On Loan: No      |
| Banc of America Commercial Mor | Bank of America Merrill Lynch Commercial Mortgage Trust 2016-UBS10               | CUSIP: 06054MAK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2121000 | PA      | $2056629.98    | 0.01%             | 2049-07-15      | Variable      | 4.91%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                 | CUSIP: 3132AEA48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11914032 | PA      | $10745000.85   | 0.03%             | 2047-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                 | CUSIP: 3132DVLP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        | 159673866 | PA      | $137628005.09  | 0.44%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                                            | CUSIP: 3132WHQ32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  19402048 | PA      | $17518733.43   | 0.06%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137F8UA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5251838 | PA      | $3930744.29    | 0.01%             | 2051-01-25      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FPGF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  15867912 | PA      | $1514604.86    | 0.00%             | 2048-08-25      | Floating      | 2.22%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FVB92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9174028 | PA      | $1109852.86    | 0.00%             | 2050-07-25      | Floating      | 2.37%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137H0RN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6512794 | PA      | $3361.90       | 0.00%             | 2051-06-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137H0TY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  15245692 | PA      | $2413216.14    | 0.01%             | 2051-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381EQ92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  63499959 | PA      | $3086834.61    | 0.01%             | 2064-03-16      | Variable      | 0.76%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381ET24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  75749832 | PA      | $3651891.83    | 0.01%             | 2064-06-16      | Variable      | 0.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381HYH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  77677604 | PA      | $4401655.83    | 0.01%             | 2063-10-16      | Variable      | 0.73%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381JDQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  70570620 | PA      | $4240461.50    | 0.01%             | 2064-06-16      | Variable      | 0.87%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381KCL6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  49056277 | PA      | $2855438.35    | 0.01%             | 2065-10-16      | Variable      | 0.74%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381LAC6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  76161744 | PA      | $4484989.94    | 0.01%             | 2065-10-16      | Variable      | 0.74%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381LGQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  81427934 | PA      | $5025846.06    | 0.02%             | 2065-08-16      | Variable      | 0.85%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381MLT5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  20849133 | PA      | $19664333.26   | 0.06%             | 2067-05-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382HJR2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9705421 | PA      | $1628507.60    | 0.01%             | 2050-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| New York Mortgage Trust        | NYMT Loan Trust 2026-INV1                                                        | CUSIP: 62957GAK3<br>LEI: 254900Y31NJCJWYHMA05 | Long             | ABS-MBS          | CORP              | US        |   7723241 | PA      | $7640845.84    | 0.02%             | 2061-02-25      | Variable      | 5.20%                 | No            |                  2 | On Loan: No      |
| Navigator Aviation Ltd         | Navigator 2025-1 Aviation Ltd                                                    | CUSIP: 63943GAB8<br>LEI: 984500AWDV89795F0342 | Long             | ABS-O            | CORP              | AE        |  28793357 | PA      | $28183542.49   | 0.09%             | 2050-10-15      | Fixed         | 5.89%                 | No            |                  2 | On Loan: No      |
| New York Mortgage Trust        | New York Mortgage Trust 2005-2                                                   | CUSIP: 649603AD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    170439 | PA      | $156037.94     | 0.00%             | 2035-08-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| Nomura Resecuritization Trust  | Nomura Resecuritization Trust 2014-2R                                            | CUSIP: 65540FBS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3389336 | PA      | $2675536.16    | 0.01%             | 2036-07-26      | Variable      | 3.93%                 | No            |                  2 | On Loan: No      |
| N/A                            | US 5YR NOTE (CBT) Jun26                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |     35100 | NC      | $-43807740.78  | -0.14%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | US 2YR NOTE (CBT) Jun26                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |     75850 | NC      | $-111000502.37 | -0.36%            |  |  |  | No            |                  1 | On Loan: No      |
| BMO Mortgage Trust             | BMO 2024-5C8 Mortgage Trust                                                      | CUSIP: 09661XAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 113558283 | PA      | $3892107.93    | 0.01%             | 2057-12-15      | Variable      | 1.02%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trus | Bravo Residential Funding Trust 2025-NQM10                                       | CUSIP: 10570BAF1<br>LEI: 2549000KHGUZMZ31N203 | Long             | ABS-MBS          | CORP              | US        |  10308000 | PA      | $10206758.95   | 0.03%             | 2065-09-25      | Variable      | 5.76%                 | No            |                  2 | On Loan: No      |
| Bank5                          | BANK5 2025-5YR17                                                                 | CUSIP: 06211GAP1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3535000 | PA      | $3610982.70    | 0.01%             | 2058-11-15      | Variable      | 5.63%                 | No            |                  2 | On Loan: No      |
| Bank                           | BANK 2022-BNK40                                                                  | CUSIP: 06541LAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7663000 | PA      | $344871.02     | 0.00%             | 2064-03-15      | Variable      | 0.89%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-J2                                                   | CUSIP: 12667F6B6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1093430 | PA      | $55833.62      | 0.00%             | 2035-04-25      | Floating      | 1.21%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-J3                                                   | CUSIP: 12667GDU4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2383287 | PA      | $143192.87     | 0.00%             | 2035-05-25      | Floating      | 1.41%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-J10                                                  | CUSIP: 12668ABM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    105181 | PA      | $65853.58      | 0.00%             | 2035-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Deephaven Residential Mortgage | Deephaven Residential Mortgage Trust 2026-INV1                                   | CUSIP: 24381GAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11032153 | PA      | $10932360.91   | 0.04%             | 2070-12-25      | Variable      | 5.20%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities INC  | Deutsche Alt-A Securities Inc Mortgage Loan Trust Series 2005-2                  | CUSIP: 251510DP5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2501564 | PA      | $2413689.20    | 0.01%             | 2035-04-25      | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC 2021-NQM1                                                                   | CUSIP: 126407AE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7469850 | PA      | $5599053.71    | 0.02%             | 2065-05-25      | Variable      | 2.83%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC 2021-NQM5 Trust                                                             | CUSIP: 22946DAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6225825 | PA      | $4007889.79    | 0.01%             | 2066-05-25      | Variable      | 2.17%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank Commercial Mortg | DBJPM 16-C1 Mortgage Trust                                                       | CUSIP: 23312LAU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5161000 | PA      | $4873784.67    | 0.02%             | 2049-05-10      | Variable      | 4.20%                 | No            |                  2 | On Loan: No      |
| Bridge Street CLO              | Bridge Street CLO I Ltd                                                          | CUSIP: 10805YAL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        | 166500000 | PA      | $166648751.10  | 0.54%             | 2037-07-20      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities INC  | Deutsche Alt-A Securities Inc Mortgage Loan Trust Series 2005-4                  | CUSIP: 251510FW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6128466 | PA      | $5565383.47    | 0.02%             | 2035-09-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities INC  | Deutsche Alt-B Securities Mortgage Loan Trust Series 2006-AB4                    | CUSIP: 251513AV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    544296 | PA      | $474951.51     | 0.00%             | 2036-10-25      | Variable      | 5.90%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities INC  | Deutsche Alt-B Securities Mortgage Loan Trust Series 2006-AB4                    | CUSIP: 251513AW7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    791186 | PA      | $689670.88     | 0.00%             | 2036-10-25      | Variable      | 5.90%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities INC  | Deutsche Alt-A Securities Mortgage Loan Trust Series 2007-2                      | CUSIP: 25152BAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10508134 | PA      | $9255376.74    | 0.03%             | 2047-09-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| Deutsche Mortgage Securities,  | Deutsche Mortgage Securities Inc Mortgage Loan Trust Series 2006-PR1             | CUSIP: 25157GAR3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    404942 | PA      | $385278.93     | 0.00%             | 2036-04-15      | Floating      | 6.81%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust        | GSR Mortgage Loan Trust 2006-1F                                                  | CUSIP: 3623416J3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19552 | PA      | $197046.81     | 0.00%             | 2036-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GSMPS Mortgage Loan Trust      | GSMPS Mortgage Loan Trust 2005-RP3                                               | CUSIP: 362341LM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3300336 | PA      | $39617.89      | 0.00%             | 2035-09-25      | Variable      | 0.41%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust        | GSR Mortgage Loan Trust 2005-7F                                                  | CUSIP: 362341MT3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     79049 | PA      | $78937.41      | 0.00%             | 2035-09-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust        | GSR Mortgage Loan Trust 2005-8F                                                  | CUSIP: 362341WB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6815165 | PA      | $2081542.15    | 0.01%             | 2035-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust        | GSR Mortgage Loan Trust 2005-1F                                                  | CUSIP: 36242DUW1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    601380 | PA      | $577832.64     | 0.00%             | 2035-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GSAMP Trust                    | GSAMP Trust 2006-HE6                                                             | CUSIP: 36245AAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13200403 | PA      | $11449916.95   | 0.04%             | 2036-08-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| GSAMP Trust                    | GSAMP Trust 2007-H1                                                              | CUSIP: 36245YAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5753855 | PA      | $2909520.33    | 0.01%             | 2047-01-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| BNPP Mortgage Securities LLC   | BNPP Mortgage Securities LLC 2009-1 Trust                                        | CUSIP: 05570WAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  23502859 | PA      | $9975842.62    | 0.03%             | 2037-08-27      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BX Trust                       | BX Commercial Mortgage Trust 2021-21M                                            | CUSIP: 05609CAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3884093 | PA      | $3882164.09    | 0.01%             | 2036-10-15      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| BrightSpire Capital, Inc       | Brsp 2026-Fl3 Ltd                                                                | CUSIP: 116686AA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  22650000 | PA      | $22702910.40   | 0.07%             | 2043-08-19      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| BX Trust                       | BX Commercial Mortgage Trust 2025-BCAT                                           | CUSIP: 12433HAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1121193 | PA      | $1126013.05    | 0.00%             | 2042-08-15      | Floating      | 6.32%                 | No            |                  2 | On Loan: No      |
| BX Trust                       | BX Trust 2021-RISE                                                               | CUSIP: 12434EAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1014395 | PA      | $1014124.89    | 0.00%             | 2036-11-15      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2007-2                                           | CUSIP: 12544CAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1284802 | PA      | $509627.53     | 0.00%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trus | CSAIL 2020-C19 Commercial Mortgage Trust                                         | CUSIP: 12597NAU7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 192116781 | PA      | $6171156.03    | 0.02%             | 2053-03-15      | Variable      | 1.09%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trus | CSAIL 2020-C19 Commercial Mortgage Trust                                         | CUSIP: 12597NAV5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  81465000 | PA      | $266382.40     | 0.00%             | 2053-03-15      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Trust 2017-CALI                                                             | CUSIP: 12652FAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3799000 | PA      | $610628.47     | 0.00%             | 2032-11-10      | Variable      | 3.61%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-J11                                                  | CUSIP: 12668AJB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    341314 | PA      | $178915.03     | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | Reperforming Loan REMIC Trust 2005-R1                                            | CUSIP: 12669GWN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    128263 | PA      | $124037.51     | 0.00%             | 2035-03-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| CAL Funding IV Ltd             | CAL Funding IV Ltd                                                               | CUSIP: 12807CAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3658950 | PA      | $3514223.16    | 0.01%             | 2045-09-25      | Fixed         | 2.22%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2007-J3                                          | CUSIP: 17025QAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1968162 | PA      | $157305.12     | 0.00%             | 2037-07-25      | Floating      | 1.71%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust  | Citigroup Mortgage Loan Trust 2006-WF2                                           | CUSIP: 17309BAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8249346 | PA      | $2887527.72    | 0.01%             | 2036-05-25      | Variable      | 6.66%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust  | Citigroup Mortgage Loan Trust 2007-OPX1                                          | CUSIP: 17311FAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3176770 | PA      | $1338880.63    | 0.00%             | 2037-01-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust  | Citigroup Mortgage Loan Trust 2007-AMC2                                          | CUSIP: 17311XAS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  30479620 | PA      | $28817925.53   | 0.09%             | 2037-01-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust  | Citigroup Mortgage Loan Trust 2007-9                                             | CUSIP: 17313NAP0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    543745 | PA      | $479560.74     | 0.00%             | 2037-05-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust  | Citigroup Mortgage Loan Trust 2007-12                                            | CUSIP: 17314CAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    504256 | PA      | $237878.95     | 0.00%             | 2036-10-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust  | Citigroup Mortgage Loan Trust 2010-8                                             | CUSIP: 17317HEV2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10182968 | PA      | $9421394.73    | 0.03%             | 2037-06-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust  | Citigroup Mortgage Loan Trust 2019-D                                             | CUSIP: 17327WBX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 137450989 | PA      | $114879062.40  | 0.37%             | 2064-04-25      | Variable      | 3.56%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust  | Citigroup Mortgage Loan Trust 2020-RP1                                           | CUSIP: 17328MAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 157780181 | PA      | $141032319.57  | 0.45%             | 2064-08-25      | Variable      | 1.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust  | Citigroup Mortgage Loan Trust 2021-JL1                                           | CUSIP: 17329CAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6985593 | PA      | $6838045.44    | 0.02%             | 2062-02-27      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust  | Citigroup Mortgage Loan Trust 2021-RP2                                           | CUSIP: 17329JAK2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  34186100 | PA      | $29141958.04   | 0.09%             | 2065-03-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust  | Citigroup Mortgage Loan Trust 2021-RP2                                           | CUSIP: 17329JAM8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  26589300 | PA      | $20744966.54   | 0.07%             | 2065-03-25      | Variable      | 3.40%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Mortgage-Backed Trust Series 2006-2                                         | CUSIP: 225470YY3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12438440 | PA      | $897907.31     | 0.00%             | 2036-03-25      | Floating      | 1.51%                 | No            |                  2 | On Loan: No      |
| Crown City CLO I               | Crown City CLO I                                                                 | CUSIP: 22823RAW9<br>LEI: 549300K60T4GC7BSX929 | Long             | ABS-CBDO         | CORP              | US        |  10000000 | PA      | $10010708.00   | 0.03%             | 2038-07-20      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| CyrusOne Data Centers Issuer I | CyrusOne Data Centers Issuer I LLC                                               | CUSIP: 23284BAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  18200000 | PA      | $17877778.10   | 0.06%             | 2048-04-20      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Deephaven Residential Mortgage | Deephaven Residential Mortgage Trust 2026-INV1                                   | CUSIP: 24381GAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7451000 | PA      | $7379793.77    | 0.02%             | 2070-12-25      | Variable      | 5.77%                 | No            |                  2 | On Loan: No      |
| Empower CLO Ltd.               | Empower CLO 2024-2 Ltd                                                           | CUSIP: 29244PAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  19000000 | PA      | $19004913.40   | 0.06%             | 2037-07-15      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| Empower CLO Ltd.               | Empower CLO 2022-1 Ltd                                                           | CUSIP: 29246AAL4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  20500000 | PA      | $20516459.45   | 0.07%             | 2037-10-20      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage  | Citigroup Commercial Mortgage Trust 2022-GC48                                    | CUSIP: 29426VBD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  16920000 | PA      | $2234614.25    | 0.01%             | 2055-06-15      | Variable      | 2.37%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage  | Citigroup Commercial Mortgage Trust 2016-P4                                      | CUSIP: 29429EAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  37501603 | PA      | $375.02        | 0.00%             | 2049-07-10      | Variable      | 1.86%                 | No            |                  2 | On Loan: No      |
| Extended Stay America Trust    | Extended Stay America Trust 2026-ESH2                                            | CUSIP: 30227WAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  23300773 | PA      | $23330887.40   | 0.08%             | 2043-02-15      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                                            | CUSIP: 3128E53J6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1478813 | PA      | $1453045.59    | 0.00%             | 2032-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                                            | CUSIP: 31307BEF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2592795 | PA      | $2560400.00    | 0.01%             | 2028-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                 | CUSIP: 3132DSND0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  19926004 | PA      | $20669904.18   | 0.07%             | 2054-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                                            | CUSIP: 3132FCJJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        | 100726537 | PA      | $93979265.28   | 0.30%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                                            | CUSIP: 3132H7D76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1026100 | PA      | $942616.81     | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                                            | CUSIP: 3132QPG73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8553637 | PA      | $8046464.14    | 0.03%             | 2045-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                 | CUSIP: 3132XJS27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  27120000 | PA      | $26808041.35   | 0.09%             | 2035-10-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136B3QE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  17250928 | PA      | $13237951.89   | 0.04%             | 2048-12-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                 | Fannie Mae-Aces                                                                  | CUSIP: 3136B9DV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        | 322798228 | PA      | $17149495.16   | 0.06%             | 2030-12-25      | Variable      | 1.72%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BFJ20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10359715 | PA      | $9069977.74    | 0.03%             | 2043-07-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BFPE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13347700 | PA      | $11753645.46   | 0.04%             | 2049-01-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BGQ53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  24495537 | PA      | $2430809.71    | 0.01%             | 2051-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BGQG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  19940927 | PA      | $1829532.23    | 0.01%             | 2051-07-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38378JBE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4076148 | PA      | $441176.96     | 0.00%             | 2043-02-20      | Floating      | 2.46%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382LBD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  28354000 | PA      | $4262198.75    | 0.01%             | 2050-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382NRG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  60700647 | PA      | $6853242.64    | 0.02%             | 2051-02-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2007-QS10 Trust                                                      | CUSIP: 74924DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  17197864 | PA      | $14220781.64   | 0.05%             | 2037-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2006-QS10 Trust                                                      | CUSIP: 751155AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1457444 | PA      | $1270426.39    | 0.00%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2006-QS11 Trust                                                      | CUSIP: 75115EAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3078077 | PA      | $2570370.03    | 0.01%             | 2036-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2007-QS3 Trust                                                       | CUSIP: 75116BAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1644108 | PA      | $1364939.33    | 0.00%             | 2037-02-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2007-QS6 Trust                                                       | CUSIP: 75116CAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2784810 | PA      | $2375296.32    | 0.01%             | 2037-04-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Banc of America Mortgage Secur | Banc of America Mortgage 2007-3 Trust                                            | CUSIP: 05954CAM0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2802123 | PA      | $2348825.07    | 0.01%             | 2037-09-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Bank                           | Bank 2019-BNK19                                                                  | CUSIP: 06540WBE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  43097000 | PA      | $39878550.52   | 0.13%             | 2061-08-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Adjustable Rate M | Bear Stearns ARM Trust 2007-1                                                    | CUSIP: 073880AG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    484612 | PA      | $472165.41     | 0.00%             | 2047-02-25      | Variable      | 4.31%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust       | Benchmark 2020-B22 Mortgage Trust                                                | CUSIP: 08163BBF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  69607359 | PA      | $3936741.65    | 0.01%             | 2054-01-15      | Variable      | 1.49%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BHMM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5638956 | PA      | $4548898.28    | 0.01%             | 2051-05-25      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                | Fannie Mae Interest Strip                                                        | CUSIP: 3136FKSM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2059547 | PA      | $136025.19     | 0.00%             | 2039-11-25      | Floating      | 1.67%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140HY3U0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  36029740 | PA      | $29142935.66   | 0.09%             | 2035-07-01      | Fixed         | 1.76%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140HYNF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  15902896 | PA      | $14145472.89   | 0.05%             | 2032-05-01      | Fixed         | 2.19%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140J2UA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  52749979 | PA      | $36426205.78   | 0.12%             | 2050-12-01      | Fixed         | 2.24%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140LDNT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  34043000 | PA      | $28899673.60   | 0.09%             | 2033-09-01      | Fixed         | 1.91%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140LDRN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  19880000 | PA      | $15644651.48   | 0.05%             | 2036-09-01      | Fixed         | 2.03%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140LDZG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  32694000 | PA      | $25883258.83   | 0.08%             | 2036-10-01      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140LLLB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  18138287 | PA      | $19080715.07   | 0.06%             | 2040-08-01      | Fixed         | 5.27%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140LVJA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1488530 | PA      | $1175649.35    | 0.00%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2007-QS6 Trust                                                       | CUSIP: 75116CEF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1220316 | PA      | $1010089.20    | 0.00%             | 2037-04-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Residential Asset Mortgage Pro | RAMP Series 2006-RS3 Trust                                                       | CUSIP: 75156VAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10201828 | PA      | $8747526.09    | 0.03%             | 2036-05-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| TSY INFL IX N/B                | United States Treasury Inflation Indexed Bonds                                   | CUSIP: 9128283R9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  92406787 | PA      | $91715386.68   | 0.30%             | 2028-01-15      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust       | Benchmark 2021-B28 Mortgage Trust                                                | CUSIP: 08163GBA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  59609000 | PA      | $2743504.23    | 0.01%             | 2054-08-15      | Variable      | 0.95%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust       | Benchmark 2022-B33 Mortgage Trust                                                | CUSIP: 08163PAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10959500 | PA      | $853065.56     | 0.00%             | 2055-03-15      | Variable      | 1.61%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust       | Benchmark 2024-V10 Mortgage Trust                                                | CUSIP: 08163UAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  37520000 | PA      | $38217684.40   | 0.12%             | 2057-09-15      | Fixed         | 5.28%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust       | Benchmark 2024-V6 Mortgage Trust                                                 | CUSIP: 081927AB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11735000 | PA      | $12117713.56   | 0.04%             | 2057-03-15      | Fixed         | 5.93%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31374CSW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  53775841 | PA      | $50861708.19   | 0.16%             | 2044-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137H4DV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  25957031 | PA      | $22246672.88   | 0.07%             | 2051-01-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Bourzou Issuer LLC, Jamshid Is | Cloud Capital Holdco LP                                                          | CUSIP: 102104AC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  27250000 | PA      | $27319689.15   | 0.09%             | 2049-11-22      | Fixed         | 5.92%                 | No            |                  2 | On Loan: No      |
| Bridge Street CLO              | Bridge Street CLO V Ltd                                                          | CUSIP: 107921AA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  10000000 | PA      | $9995088.00    | 0.03%             | 2038-04-20      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137H6VC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  53117334 | PA      | $8862945.83    | 0.03%             | 2051-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137H9KX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  62181287 | PA      | $9826583.41    | 0.03%             | 2051-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Secur | Bridgecrest Lending Auto Securitization Trust 2025-2                             | CUSIP: 10807HAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5500000 | PA      | $5531847.20    | 0.02%             | 2031-03-17      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| BX Trust                       | BX Commercial Mortgage Trust 2026-CSMO                                           | CUSIP: 12433LAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  17365000 | PA      | $17396474.06   | 0.06%             | 2043-02-15      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| BX Trust                       | BX Commercial Mortgage Trust 2026-ALOHA                                          | CUSIP: 12434HAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  14000000 | PA      | $14035000.00   | 0.05%             | 2043-04-15      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Mortgage-Backed Trust 2006-9                                                | CUSIP: 126380CD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    219855 | PA      | $268404.96     | 0.00%             | 2036-11-25      | Floating      | 17.17%                | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | Credit Suisse Mortgage Capital Certificates                                      | CUSIP: 12646NBA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6300188 | PA      | $4191808.67    | 0.01%             | 2046-08-26      | Variable      | 4.52%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC 2014-USA OA LLC                                                             | CUSIP: 12649AAE9<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        | 147561481 | PA      | $1194908.61    | 0.00%             | 2037-09-15      | Variable      | 0.54%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137HAEZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12071660 | PA      | $8731965.43    | 0.03%             | 2050-09-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137HAWX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11268327 | PA      | $8602990.26    | 0.03%             | 2046-10-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC 2019-RPL6 Trust                                                             | CUSIP: 12656JCL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 147267194 | PA      | $125653671.71  | 0.40%             | 2058-11-25      | Variable      | 4.08%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-J2                                                   | CUSIP: 12667F6A8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    355365 | PA      | $280094.93     | 0.00%             | 2035-04-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3138A54X7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1493278 | PA      | $1430282.08    | 0.00%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3138ABLD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4065 | PA      | $4053.29       | 0.00%             | 2026-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-J10                                                  | CUSIP: 12668ABH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    986628 | PA      | $617723.64     | 0.00%             | 2035-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-12CB                                                 | CUSIP: 12668BWY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2430922 | PA      | $1117671.77    | 0.00%             | 2036-05-25      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | Reperforming Loan REMIC Trust 2004-R2                                            | CUSIP: 12669UCB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    419745 | PA      | $400743.99     | 0.00%             | 2034-11-25      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| Carrington Mortgage Loan Trust | Carrington Mortgage Loan Trust Series 2006-FRE2                                  | CUSIP: 14454AAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3428611 | PA      | $2796206.97    | 0.01%             | 2036-10-25      | Floating      | 3.91%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3138AUXW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1270349 | PA      | $1216764.35    | 0.00%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3138E4YK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4566595 | PA      | $4483992.12    | 0.01%             | 2032-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mor | Credit Suisse First Boston Mortgage Securities Corp                              | CUSIP: 225458Y77<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2099612 | PA      | $1636240.77    | 0.01%             | 2035-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mor | CSFB Mortgage-Backed Pass-Through Certificates Series 2005-10                    | CUSIP: 225470EF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1572066 | PA      | $1087127.90    | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3138E8PZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1076730 | PA      | $1028616.80    | 0.00%             | 2042-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3138E9JH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2162327 | PA      | $2071094.16    | 0.01%             | 2042-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3138EEPZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1517071 | PA      | $1453057.26    | 0.00%             | 2042-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3138MMEP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4560648 | PA      | $4178778.33    | 0.01%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3138W75S9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4736535 | PA      | $4341406.12    | 0.01%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3138YHMY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12411363 | PA      | $11277418.36   | 0.04%             | 2045-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3138YKCH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2523111 | PA      | $2246132.89    | 0.01%             | 2045-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan           | Fannie Mae REMIC Trust 2004-W10                                                  | CUSIP: 31394ALV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1002942 | PA      | $1028909.61    | 0.00%             | 2034-08-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                | Fannie Mae Interest Strip                                                        | CUSIP: 31395QDF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  21395319 | PA      | $19088724.27   | 0.06%             | 2042-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31396HZ77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1813146 | PA      | $1860136.11    | 0.01%             | 2036-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31397H3E6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    287224 | PA      | $300593.27     | 0.00%             | 2037-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31397LC56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     88583 | PA      | $6370.79       | 0.00%             | 2038-07-25      | Floating      | 2.37%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31398FC82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    348589 | PA      | $20674.53      | 0.00%             | 2037-04-25      | Floating      | 1.94%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31398FDS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5757539 | PA      | $653333.86     | 0.00%             | 2039-10-25      | Floating      | 2.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31398MSN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2357168 | PA      | $154399.21     | 0.00%             | 2040-03-25      | Floating      | 1.67%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31398MZ66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    459032 | PA      | $21848.49      | 0.00%             | 2040-04-25      | Floating      | 1.15%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                                            | CUSIP: 31323EAR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    502939 | PA      | $496394.10     | 0.00%             | 2041-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                 | CUSIP: 3132DSNC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  37029287 | PA      | $38390232.87   | 0.12%             | 2054-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31398N4N1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    505940 | PA      | $499383.00     | 0.00%             | 2040-11-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31398NRP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    611884 | PA      | $587749.11     | 0.00%             | 2040-10-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31398P6F1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2646108 | PA      | $2623071.54    | 0.01%             | 2040-05-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31398PTX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    470582 | PA      | $23073.46      | 0.00%             | 2040-05-25      | Floating      | 1.17%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31398RXA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    259060 | PA      | $235282.85     | 0.00%             | 2040-06-25      | Floating      | 2.76%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31398TQ79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2139433 | PA      | $2115554.66    | 0.01%             | 2040-09-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                 | CUSIP: 3132DSQ62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  59580055 | PA      | $59036110.42   | 0.19%             | 2053-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                                            | CUSIP: 3132FCJH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  17007030 | PA      | $16483305.11   | 0.05%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136A2JC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    772990 | PA      | $742306.18     | 0.00%             | 2041-11-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136A2JU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1037539 | PA      | $996300.29     | 0.00%             | 2041-11-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Mortgage-Backed Trust Series 2006-1                                         | CUSIP: 225470UQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11358075 | PA      | $2837745.72    | 0.01%             | 2036-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Series 2008-2R                                                              | CUSIP: 225492AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1619181 | PA      | $1393836.12    | 0.00%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Cross Mortgage Trust           | Cross 2025-H10 Mortgage Trust                                                    | CUSIP: 22758YAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1940563 | PA      | $1931850.22    | 0.01%             | 2071-01-25      | Variable      | 5.41%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-J7                                                   | CUSIP: 23244FAV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1035924 | PA      | $471674.92     | 0.00%             | 2036-11-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31402Q6T3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1533676 | PA      | $1546062.05    | 0.00%             | 2035-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                | Fannie Mae Interest Strip                                                        | CUSIP: 31423XPX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  47451558 | PA      | $7173164.78    | 0.02%             | 2047-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| First Franklin Mtg Loan Asset  | First Franklin Mortgage Loan Trust 2006-FF8                                      | CUSIP: 320278AE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7487708 | PA      | $6407672.17    | 0.02%             | 2036-07-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR            | Freddie Mac STACR REMIC Trust 2025-DNA1                                          | CUSIP: 35564NFY4<br>LEI: 529900WZAMS87JCAOC53 | Long             | ABS-MBS          | CORP              | US        |  13092630 | PA      | $13075007.32   | 0.04%             | 2045-01-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-B SECURITIES INC  | Deutsche Alt-B Securities Inc Mortgage Loan Trust Series 2006-AB2                | CUSIP: 251511AB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    307966 | PA      | $280857.65     | 0.00%             | 2036-06-25      | Variable      | 6.16%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities INC  | Deutsche Alt-B Securities Mortgage Loan Trust Series 2006-AB4                    | CUSIP: 251513AU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7640529 | PA      | $6668470.51    | 0.02%             | 2036-10-25      | Variable      | 5.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140MP6F3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  30523455 | PA      | $26861701.91   | 0.09%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140QKF78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13205394 | PA      | $11763371.49   | 0.04%             | 2051-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Apollo Aviation Securitization | AASET 2024-2 Ltd                                                                 | CUSIP: 00038QAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4777349 | PA      | $4779437.10    | 0.02%             | 2049-09-16      | Fixed         | 6.61%                 | No            |                  2 | On Loan: No      |
| ACREC LLC                      | Acrec 2025 Fl 3 LLC                                                              | CUSIP: 00112HAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  16090000 | PA      | $16110048.14   | 0.05%             | 2042-08-18      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136A4UV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2790172 | PA      | $2699670.66    | 0.01%             | 2042-03-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136AFJ96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1916256 | PA      | $1345799.01    | 0.00%             | 2043-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136AFXE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4139002 | PA      | $291873.33     | 0.00%             | 2042-12-25      | Floating      | 2.27%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136AHV23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  21553559 | PA      | $20356795.40   | 0.07%             | 2039-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136AMXK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1957426 | PA      | $1934299.27    | 0.01%             | 2034-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136APGX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9689438 | PA      | $8732005.36    | 0.03%             | 2045-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BBSK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10581730 | PA      | $9591388.38    | 0.03%             | 2040-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BD5W4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  26295819 | PA      | $21982857.76   | 0.07%             | 2051-03-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BGDR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  62257820 | PA      | $11114627.17   | 0.04%             | 2051-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BGXT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  24015283 | PA      | $59617.94      | 0.00%             | 2051-09-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31418ADQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4835410 | PA      | $4745685.13    | 0.02%             | 2032-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31418AE95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6603539 | PA      | $6477948.18    | 0.02%             | 2032-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31418AGR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9154489 | PA      | $8976135.28    | 0.03%             | 2032-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31418AKP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1261045 | PA      | $1235627.95    | 0.00%             | 2032-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust        | GSR Mortgage Loan Trust 2007-OA1                                                 | CUSIP: 3622NAAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  37297005 | PA      | $17325529.34   | 0.06%             | 2037-05-25      | Floating      | 4.02%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382VED7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  28370074 | PA      | $561330.28     | 0.00%             | 2051-06-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382X6X8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  53956036 | PA      | $7745804.38    | 0.02%             | 2051-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382XRU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  26708674 | PA      | $4673967.26    | 0.02%             | 2051-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38383A3Z5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  66513459 | PA      | $11544860.85   | 0.04%             | 2051-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38383AGS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  66421396 | PA      | $8344679.38    | 0.03%             | 2051-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR            | Freddie Mac STACR REMIC Trust 2025-DNA1                                          | CUSIP: 35564NGA5<br>LEI: 529900WZAMS87JCAOC53 | Long             | ABS-MBS          | CORP              | US        |  13833000 | PA      | $13760697.68   | 0.04%             | 2045-01-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| GCAT                           | GCAT 2021-NQM6 Trust                                                             | CUSIP: 36167KAH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8405000 | PA      | $6908036.72    | 0.02%             | 2066-08-25      | Variable      | 4.42%                 | No            |                  2 | On Loan: No      |
| GCAT                           | GCAT 2026-NQM2 Trust                                                             | CUSIP: 36173JAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5850000 | PA      | $5867046.90    | 0.02%             | 2071-02-25      | Variable      | 5.85%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae II Pool                                                               | CUSIP: 36179QYG0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    454070 | PA      | $413967.80     | 0.00%             | 2045-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae II Pool                                                               | CUSIP: 3617URCY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1766802 | PA      | $1495921.81    | 0.00%             | 2051-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae II Pool                                                               | CUSIP: 3622AA3V4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        | 100708267 | PA      | $86763355.68   | 0.28%             | 2051-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140QLE51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12672545 | PA      | $11586711.97   | 0.04%             | 2051-07-01      | Floating      | 1.86%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140QUUS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  47543374 | PA      | $48792615.18   | 0.16%             | 2054-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140QUZR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  58865839 | PA      | $61046003.34   | 0.20%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140X4DE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  37757976 | PA      | $34053099.58   | 0.11%             | 2047-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Deutsche Mortgage Securities,  | Deutsche Mortgage Securities Inc Mortgage Loan Trust Series 2006-PR1             | CUSIP: 25157GAS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    660316 | PA      | $635330.21     | 0.00%             | 2036-04-15      | Floating      | 7.37%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage T | EFMT 2026-NQM3                                                                   | CUSIP: 26846JAK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7357000 | PA      | $7365784.26    | 0.02%             | 2071-03-25      | Variable      | 5.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38383CKU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  96687123 | PA      | $14326508.10   | 0.05%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38383DCL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  58693478 | PA      | $8313309.05    | 0.03%             | 2051-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140XBMF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  51999660 | PA      | $48424591.31   | 0.16%             | 2050-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140XCXJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  30564818 | PA      | $26249786.52   | 0.08%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae II Pool                                                               | CUSIP: 3622ABEK4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10927506 | PA      | $9470139.95    | 0.03%             | 2051-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust        | GSR Mortgage Loan Trust 2005-6F                                                  | CUSIP: 362341DY2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    140468 | PA      | $136665.23     | 0.00%             | 2035-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GSMPS Mortgage Loan Trust      | GSMPS Mortgage Loan Trust 2005-RP2                                               | CUSIP: 36242DT60<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4970552 | PA      | $62705.51      | 0.00%             | 2035-03-25      | Variable      | 0.52%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp.   | GSMSC Resecuritization Trust 2014-3R                                             | CUSIP: 36249XAH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  14796630 | PA      | $8857944.61    | 0.03%             | 2036-09-26      | Floating      | 3.97%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities  | GS Mortgage-Backed Securities Trust 2020-RPL2                                    | CUSIP: 36263GAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12540000 | PA      | $10295416.49   | 0.03%             | 2060-05-25      | Variable      | 2.25%                 | No            |                  2 | On Loan: No      |
| Gilead Aviation (Warehouse) LL | Gilead Aviation LLC                                                              | CUSIP: 37556TAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  15305142 | PA      | $15213724.78   | 0.05%             | 2050-03-15      | Fixed         | 6.52%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38375YDW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    317933 | PA      | $1598.47       | 0.00%             | 2038-09-20      | Floating      | 2.26%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38376VQP5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  16140618 | PA      | $1663802.35    | 0.01%             | 2040-02-20      | Floating      | 2.46%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38378PFE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  13883263 | PA      | $12444376.41   | 0.04%             | 2043-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38379AL24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7609488 | PA      | $822356.59     | 0.00%             | 2044-03-20      | Floating      | 2.41%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38379BFH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7698876 | PA      | $645647.78     | 0.00%             | 2044-04-16      | Floating      | 2.46%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38380R3P3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        | 221065174 | PA      | $14083531.68   | 0.05%             | 2063-08-16      | Variable      | 0.87%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38380V4Y4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12884801 | PA      | $10872084.53   | 0.03%             | 2047-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381DD56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  82724306 | PA      | $6457930.86    | 0.02%             | 2063-11-16      | Variable      | 1.04%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381DHV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  31000217 | PA      | $1835271.72    | 0.01%             | 2063-02-16      | Variable      | 0.83%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381JLC9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11743472 | PA      | $758764.50     | 0.00%             | 2065-03-16      | Variable      | 0.93%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381JPN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  41593489 | PA      | $2625896.76    | 0.01%             | 2064-03-16      | Variable      | 0.87%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381LAY8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  48675214 | PA      | $3710876.59    | 0.01%             | 2065-08-16      | Variable      | 1.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382JXJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        | 119922592 | PA      | $16619028.70   | 0.05%             | 2050-09-20      | Floating      | 2.51%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382LBR1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12708773 | PA      | $1772234.55    | 0.01%             | 2050-11-20      | Floating      | 2.51%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140XL3A4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  29974680 | PA      | $30633732.29   | 0.10%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140XND43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  14303496 | PA      | $14975865.58   | 0.05%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140XTC25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  27821298 | PA      | $22602822.00   | 0.07%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31410GTZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    347335 | PA      | $348049.74     | 0.00%             | 2035-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31410LMN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4023209 | PA      | $3688857.42    | 0.01%             | 2043-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31416XLD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3001508 | PA      | $2983280.03    | 0.01%             | 2031-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31417ADT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    178560 | PA      | $176335.27     | 0.00%             | 2031-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| firstkey homes 2020-sfr1 trust | FirstKey Homes 2021-SFR2 Trust                                                   | CUSIP: 33767TAJ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8000000 | PA      | $7893945.60    | 0.03%             | 2038-09-17      | Fixed         | 2.26%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382MJ83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  29071003 | PA      | $4195123.12    | 0.01%             | 2051-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382ND95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  21630758 | PA      | $3069166.65    | 0.01%             | 2051-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Apollo Aviation Securitization | AASET 2024-1                                                                     | CUSIP: 00255JAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5975371 | PA      | $6020097.13    | 0.02%             | 2049-05-16      | Fixed         | 6.26%                 | No            |                  2 | On Loan: No      |
| Apollo Aviation Securitization | AASET 2025-1                                                                     | CUSIP: 00258PAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  19875454 | PA      | $19713886.64   | 0.06%             | 2050-02-16      | Fixed         | 5.94%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage T | EFMT 2026-NQM3                                                                   | CUSIP: 26846JAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1997172.00    | 0.01%             | 2071-03-25      | Variable      | 5.70%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage T | EFMT 2025-INV5                                                                   | CUSIP: 28224UAK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1550000 | PA      | $1539070.64    | 0.00%             | 2070-12-25      | Variable      | 5.84%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                                            | CUSIP: 3132HQBE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  17173532 | PA      | $15765595.06   | 0.05%             | 2042-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                                            | CUSIP: 3132L7K65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11556734 | PA      | $10494060.99   | 0.03%             | 2045-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382LKY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  32286023 | PA      | $4555725.80    | 0.01%             | 2050-11-20      | Floating      | 2.51%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382LVP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  23858390 | PA      | $3361341.77    | 0.01%             | 2050-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-24CB                                                 | CUSIP: 02146TAP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3425509 | PA      | $640862.36     | 0.00%             | 2036-08-25      | Floating      | 3.36%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-19CB                                                 | CUSIP: 02147QAM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3147141 | PA      | $1300219.84    | 0.00%             | 2036-08-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-39CB                                                 | CUSIP: 02148JAX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12637371 | PA      | $643928.39     | 0.00%             | 2037-01-25      | Floating      | 2.76%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-40T1                                                 | CUSIP: 02148KAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1756228 | PA      | $176231.02     | 0.00%             | 2037-01-25      | Floating      | 1.66%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-42                                                   | CUSIP: 02148YAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3378771 | PA      | $1363857.41    | 0.00%             | 2047-01-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-41CB                                                 | CUSIP: 02149CAQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6357810 | PA      | $624434.86     | 0.00%             | 2037-01-25      | Floating      | 1.61%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trus | CSAIL 2017-CX10 Commercial Mortgage Trust                                        | CUSIP: 12595JAN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  63624578 | PA      | $695104.88     | 0.00%             | 2050-11-15      | Variable      | 0.84%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC               | COLT 2021-5 Mortgage Loan Trust                                                  | CUSIP: 12598RAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  14812000 | PA      | $11697608.14   | 0.04%             | 2066-11-26      | Variable      | 3.26%                 | No            |                  2 | On Loan: No      |
| CSAB Mortgage Backed Trust     | CSAB Mortgage-Backed Trust 2006-3                                                | CUSIP: 12628KAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3729896 | PA      | $447250.34     | 0.00%             | 2036-11-25      | Variable      | 6.61%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Mortgage-Backed Trust Series 2006-4                                         | CUSIP: 12637HAH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2298680 | PA      | $1141746.86    | 0.00%             | 2036-05-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Mortgage-Backed Trust Series 2006-4                                         | CUSIP: 12637HAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  20337518 | PA      | $5055545.02    | 0.02%             | 2036-05-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trus | CSAIL 2016-C7 Commercial Mortgage Trust                                          | CUSIP: 12637UBB4<br>LEI: 5493006MX7HG5PC85C29 | Long             | ABS-MBS          | CORP              | US        |  11020000 | PA      | $10713305.69   | 0.03%             | 2049-11-15      | Variable      | 4.24%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Mortgage-Backed Trust 2007-2                                                | CUSIP: 126384AJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19241 | PA      | $14434.65      | 0.00%             | 2037-03-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Series 2010-4R                                                              | CUSIP: 12643NEG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4531940 | PA      | $4111554.27    | 0.01%             | 2037-06-26      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Trust 2017-CALI                                                             | CUSIP: 12652FAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6050000 | PA      | $589384.95     | 0.00%             | 2032-11-10      | Variable      | 3.61%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC 2020-RPL1 Trust                                                             | CUSIP: 12656EBY6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 148368430 | PA      | $120866916.76  | 0.39%             | 2069-10-25      | Variable      | 3.28%                 | No            |                  2 | On Loan: No      |
| CSMCM Trust Certificates       | CSMCM 2019-RPL6 Trust                                                            | CUSIP: 12658CAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6196246 | PA      | $4861418.80    | 0.02%             | 2058-11-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC 2021-B33                                                                    | CUSIP: 12658WAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 105035406 | PA      | $2162405.91    | 0.01%             | 2043-10-10      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | Csmc 2021-Nqm6 Trust                                                             | CUSIP: 12662KAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3180040 | PA      | $2313845.76    | 0.01%             | 2066-07-25      | Variable      | 3.29%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-13CB                                                 | CUSIP: 12667GAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1819269 | PA      | $1558164.71    | 0.01%             | 2035-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-26CB                                                 | CUSIP: 12667GTX1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1139564 | PA      | $771977.53     | 0.00%             | 2035-07-25      | Floating      | 6.18%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2005-20                                          | CUSIP: 126694FP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1268585 | PA      | $732009.50     | 0.00%             | 2035-10-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2005-26                                          | CUSIP: 126694MW5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1748153 | PA      | $993140.50     | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2005-17                                          | CUSIP: 12669G5Z0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11221010 | PA      | $4609507.95    | 0.01%             | 2035-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2006-16                                          | CUSIP: 170257AC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2985735 | PA      | $735801.67     | 0.00%             | 2036-11-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS               | Connecticut Avenue Securities Trust 2025-R04                                     | CUSIP: 20755TAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  16000000 | PA      | $16076814.40   | 0.05%             | 2045-05-25      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Mortgage-Backed Trust Series 2006-2                                         | CUSIP: 225470ZA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7012038 | PA      | $2531742.47    | 0.01%             | 2036-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Mortgage-Backed Trust 2006-6                                                | CUSIP: 22942JAT0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9936601 | PA      | $1891122.91    | 0.01%             | 2036-07-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Mortgage-Backed Trust 2006-7                                                | CUSIP: 22942KBJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1280832 | PA      | $936023.51     | 0.00%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Mortgage-Backed Trust 2007-5                                                | CUSIP: 22944BBN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  17692546 | PA      | $13470378.99   | 0.04%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| DB Master Finance LLC          | DB Master Finance LLC                                                            | CUSIP: 233046AS0<br>LEI: 549300F17UZJL70BPB08 | Long             | ABS-O            | CORP              | US        |  27528125 | PA      | $24404120.51   | 0.08%             | 2051-11-20      | Fixed         | 2.79%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank Commercial Mortg | DBJPM 16-C1 Mortgage Trust                                                       | CUSIP: 23312LAW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  20077105 | PA      | $200.77        | 0.00%             | 2049-05-10      | Variable      | 1.29%                 | No            |                  2 | On Loan: No      |
| DOLP Trust                     | DOLP Trust 2021-NYC                                                              | CUSIP: 23345LAN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11475000 | PA      | $8867418.71    | 0.03%             | 2041-05-10      | Variable      | 3.70%                 | No            |                  2 | On Loan: No      |
| DataBank Issuer II, LLC        | DataBank Issuer II LLC                                                           | CUSIP: 23802YAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  31250000 | PA      | $30374693.75   | 0.10%             | 2055-09-27      | Fixed         | 5.18%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage T | EFMT 2025-NQM6                                                                   | CUSIP: 281916AJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3403587 | PA      | $3388424.90    | 0.01%             | 2070-12-25      | Variable      | 5.40%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage T | EFMT 2025-NQM5                                                                   | CUSIP: 28225KAH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9540000 | PA      | $9488979.13    | 0.03%             | 2070-11-25      | Variable      | 5.77%                 | No            |                  2 | On Loan: No      |
| EquiFirst Loan Securitization  | Equifirst Loan Securitization Trust 2007-1                                       | CUSIP: 29445UAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7152967 | PA      | $6650533.94    | 0.02%             | 2037-04-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                                            | CUSIP: 3128M6VJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    985097 | PA      | $997347.35     | 0.00%             | 2038-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                                            | CUSIP: 3128S1XJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1194225 | PA      | $1149733.51    | 0.00%             | 2042-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                                            | CUSIP: 3132L7P94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5730313 | PA      | $5318765.26    | 0.02%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136A7EN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5970251 | PA      | $5913327.32    | 0.02%             | 2042-07-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136A95R5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11924128 | PA      | $10949147.90   | 0.04%             | 2042-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136A9FV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1410864 | PA      | $1349907.90    | 0.00%             | 2041-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                 | Fannie Mae-Aces                                                                  | CUSIP: 3136B7FZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        | 191968497 | PA      | $8710244.20    | 0.03%             | 2031-03-25      | Variable      | 1.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136B7P88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  35005855 | PA      | $30367144.96   | 0.10%             | 2050-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BBGB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  40120895 | PA      | $31144891.90   | 0.10%             | 2050-08-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BBJP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7264848 | PA      | $6106224.71    | 0.02%             | 2050-08-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Acres PLC                      | ACRES 2025-FL3 LLC                                                               | CUSIP: 00501DAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  19100000 | PA      | $19148533.10   | 0.06%             | 2040-08-18      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| Adjustable Rate Mortgage Trust | Adjustable Rate Mortgage Trust 2005-4                                            | CUSIP: 007036KC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1043807 | PA      | $1011877.23    | 0.00%             | 2035-08-25      | Variable      | 6.13%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382NTW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9778472 | PA      | $1451350.08    | 0.00%             | 2051-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382QGW4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  64916137 | PA      | $10915395.28   | 0.04%             | 2051-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                 | Fannie Mae-Aces                                                                  | CUSIP: 3136BDDH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        | 122502820 | PA      | $7532563.67    | 0.02%             | 2033-12-25      | Variable      | 1.43%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137F85Y5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  18712474 | PA      | $3028546.52    | 0.01%             | 2050-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Adjustable Rate Mortgage Trust | Adjustable Rate Mortgage Trust 2007-1                                            | CUSIP: 007037AC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4072865 | PA      | $3860241.64    | 0.01%             | 2037-03-25      | Variable      | 4.84%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-36T2                                                 | CUSIP: 02146XAV0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    586535 | PA      | $227295.55     | 0.00%             | 2036-12-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38383FBJ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7984786 | PA      | $1152433.85    | 0.00%             | 2051-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38383UVR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  71822086 | PA      | $9281446.06    | 0.03%             | 2052-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38383UVV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  56518473 | PA      | $8210201.18    | 0.03%             | 2051-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38383YDH2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  59466708 | PA      | $3466207.38    | 0.01%             | 2065-08-16      | Variable      | 0.83%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38383ALM4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  23642358 | PA      | $4135958.70    | 0.01%             | 2051-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38383AZS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  34286780 | PA      | $6062581.52    | 0.02%             | 2051-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-29T1                                                 | CUSIP: 02147PBX1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    217665 | PA      | $244882.63     | 0.00%             | 2036-10-25      | Floating      | 16.93%                | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-32CB                                                 | CUSIP: 02147XAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1881442 | PA      | $816758.81     | 0.00%             | 2036-11-25      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38383CL24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  13688605 | PA      | $1916415.71    | 0.01%             | 2051-07-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38383CMX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  24531224 | PA      | $4368988.91    | 0.01%             | 2051-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2007-11T1                                                 | CUSIP: 02150GBA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    581388 | PA      | $643376.80     | 0.00%             | 2037-05-25      | Floating      | 17.14%                | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2007-16CB                                                 | CUSIP: 02152ABS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2217416 | PA      | $1584802.75    | 0.01%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ace Securities Corp.           | ACE Securities Corp Home Equity Loan Trust Series 2007-WM1                       | CUSIP: 004424AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  66864320 | PA      | $18855932.29   | 0.06%             | 2036-11-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan           | Fannie Mae Trust 2003-W17                                                        | CUSIP: 31393UAK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3545850 | PA      | $3575408.49    | 0.01%             | 2033-08-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31395K3S0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1260615 | PA      | $1283581.71    | 0.00%             | 2034-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Commercial Mortgage Pass-throu | ILPT Commercial Mortgage Trust 2025-LPF2                                         | CUSIP: 451955AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1846000 | PA      | $1872262.67    | 0.01%             | 2042-07-13      | Variable      | 5.29%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati | Residential Asset Securitization Trust 2005-A12                                  | CUSIP: 45660LK81<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1041934 | PA      | $67591.28      | 0.00%             | 2035-11-25      | Floating      | 1.21%                 | No            |                  2 | On Loan: No      |
| American Credit Acceptance Rec | American Credit Acceptance Receivables Trust 2024-4                              | CUSIP: 024945AE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2800000 | PA      | $2807973.84    | 0.01%             | 2031-08-12      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| American Home Mortgage Investm | American Home Mortgage Investment Trust 2005-4                                   | CUSIP: 02660TGS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2352981 | PA      | $1662131.51    | 0.01%             | 2045-11-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| Cantor Commercial Real Estate  | Cantor Commercial Real Estate Lending 2019-CF2                                   | CUSIP: 12528YAM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10105250 | PA      | $436487.18     | 0.00%             | 2052-11-15      | Variable      | 1.40%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan  | CitiMortgage Alternative Loan Trust Series 2006-A6                               | CUSIP: 12566RAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3392350 | PA      | $3129266.04    | 0.01%             | 2036-11-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31395WNC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1009482 | PA      | $73388.04      | 0.00%             | 2035-07-15      | Floating      | 2.71%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31396HX53<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    265482 | PA      | $264484.93     | 0.00%             | 2036-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora | Chase Mortgage Finance Trust Series 2006-S2                                      | CUSIP: 16163BAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6456165 | PA      | $2308229.99    | 0.01%             | 2036-10-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| ChaseFlex Trust                | ChaseFlex Trust Series 2006-2                                                    | CUSIP: 16165MAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1751776 | PA      | $1483062.80    | 0.00%             | 2036-09-25      | Floating      | 3.99%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2007-QS1 Trust                                                       | CUSIP: 74922KAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    611862 | PA      | $488243.52     | 0.00%             | 2037-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2007-QS3 Trust                                                       | CUSIP: 75116BAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10310717 | PA      | $8690502.20    | 0.03%             | 2037-02-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust       | Angel Oak Mortgage Trust 2021-7                                                  | CUSIP: 03464JAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9121000 | PA      | $6579358.56    | 0.02%             | 2066-10-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust       | Angel Oak Mortgage Trust 2025-12                                                 | CUSIP: 03466KAF3<br>LEI: 254900ZULW8CAJ29C630 | Long             | ABS-MBS          | CORP              | US        |   4395000 | PA      | $4364821.73    | 0.01%             | 2070-12-25      | Variable      | 5.77%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31397AQY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    951321 | PA      | $89806.50      | 0.00%             | 2036-08-15      | Floating      | 2.71%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31397SWA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2850246 | PA      | $2740127.76    | 0.01%             | 2041-02-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust  | Citigroup Mortgage Loan Trust 2006-4                                             | CUSIP: 172981AD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    587651 | PA      | $585859.63     | 0.00%             | 2035-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust  | Citigroup Mortgage Loan Trust 2006-WF1                                           | CUSIP: 17307G4J4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7872312 | PA      | $3537335.86    | 0.01%             | 2036-03-25      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2007-QS6 Trust                                                       | CUSIP: 75116CDE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    192338 | PA      | $288750.21     | 0.00%             | 2037-04-25      | Floating      | 24.22%                | No            |                  2 | On Loan: No      |
| Residential Asset Securities C | RASC Series 2005-KS4 Trust                                                       | CUSIP: 76110WV29<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3860296 | PA      | $4109268.52    | 0.01%             | 2035-05-25      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust       | Angel Oak Mortgage Trust 2025-7                                                  | CUSIP: 03466TAC1<br>LEI: 254900QTRHHMG5RQ9X60 | Long             | ABS-MBS          | CORP              | US        |   3293742 | PA      | $3308796.22    | 0.01%             | 2070-06-25      | Variable      | 5.92%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust       | Angel Oak Mortgage Trust 2025-10                                                 | CUSIP: 034940AD8<br>LEI: 254900CFOEUA52TRVZ51 | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $993542.90     | 0.00%             | 2070-09-25      | Variable      | 5.72%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31398EPV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     43489 | PA      | $3265.31       | 0.00%             | 2039-07-15      | Floating      | 2.01%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31398RNM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1704445 | PA      | $143052.74     | 0.00%             | 2040-06-25      | Floating      | 1.99%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati | Residential Asset Securitization Trust 2007-A6                                   | CUSIP: 76114CAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7234277 | PA      | $3559700.37    | 0.01%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Santander Mortgage Asset Recei | Santander Mortgage Asset Receivable Trust 2025-NQM3                              | CUSIP: 80263AAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $3010966.80    | 0.01%             | 2065-05-25      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan  | CitiMortgage Alternative Loan Trust Series 2006-A3                               | CUSIP: 17309KAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1260800 | PA      | $1124393.44    | 0.00%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust  | Citigroup Mortgage Loan Trust Inc                                                | CUSIP: 17312EAE6<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |   1278141 | PA      | $1122609.74    | 0.00%             | 2037-03-25      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust       | Angel Oak Mortgage Trust 2026-1                                                  | CUSIP: 034947AG6<br>LEI: 2549004SH6MLXHN5ZV45 | Long             | ABS-MBS          | CORP              | US        |   5412886 | PA      | $5366125.88    | 0.02%             | 2071-02-25      | Variable      | 5.17%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust       | Angel Oak Mortgage Trust 2026-1                                                  | CUSIP: 034947AH4<br>LEI: 2549004SH6MLXHN5ZV45 | Long             | ABS-MBS          | CORP              | US        |   2250000 | PA      | $2213502.30    | 0.01%             | 2071-02-25      | Variable      | 5.53%                 | No            |                  2 | On Loan: No      |
| Santander Mortgage Asset Recei | Santander Mortgage Asset Receivable Trust 2025-NQM6                              | CUSIP: 80265DAF0<br>LEI: 2549003RXF6LNJ2GP990 | Long             | ABS-MBS          | CORP              | US        |   7095650 | PA      | $7059411.81    | 0.02%             | 2065-11-25      | Variable      | 5.92%                 | No            |                  2 | On Loan: No      |
| SHENTON AIRCRAFT INVESTMENT LT | Shenton Aircraft Investment I Ltd                                                | CUSIP: 82321UAA1<br>LEI: 254900877LAQRYY3YZ51 | Long             | ABS-O            | CORP              | CN        |  13193064 | PA      | $13226046.25   | 0.04%             | 2042-10-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31398RSA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    142437 | PA      | $142277.44     | 0.00%             | 2040-06-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140LDVG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  15997846 | PA      | $13519889.94   | 0.04%             | 2033-10-01      | Fixed         | 1.83%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust  | Citigroup Mortgage Loan Trust 2007-9                                             | CUSIP: 17313NAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13621487 | PA      | $7030730.33    | 0.02%             | 2047-04-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage  | CGMS Commercial Mortgage Trust 2017-B1                                           | CUSIP: 17326CBE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 211432247 | PA      | $1387862.41    | 0.00%             | 2050-08-15      | Variable      | 0.71%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust       | Angel Oak Mortgage Trust 2025-13                                                 | CUSIP: 034952AF8<br>LEI: 254900E0MZH4LYHYEK54 | Long             | ABS-MBS          | CORP              | US        |   4300000 | PA      | $4267417.61    | 0.01%             | 2070-10-25      | Variable      | 5.74%                 | No            |                  2 | On Loan: No      |
| Apidos CLO                     | APIDOS CLO XLVIII Ltd                                                            | CUSIP: 03770WAA9<br>LEI: 25490046M6DC4604K633 | Long             | ABS-CBDO         | CORP              | US        |  15000000 | PA      | $15020034.00   | 0.05%             | 2037-07-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| SOFI CONSUMER LOAN PROGRAM TRU | SoFi Consumer Loan Program 2025-2 Trust                                          | CUSIP: 83407HAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $5042948.50    | 0.02%             | 2034-06-25      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| SoFi Alternative Trust Consume | SOFI Alternative Trust                                                           | CUSIP: 83407Q107<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    950000 | PA      | $4972474.80    | 0.02%             | 2030-11-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140LDY86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6536000 | PA      | $5496690.51    | 0.02%             | 2033-11-01      | Fixed         | 1.83%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140LEVF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12500000 | PA      | $10362206.38   | 0.03%             | 2036-12-01      | Fixed         | 2.46%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                                            | CUSIP: 3132LVVC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        | 117209565 | PA      | $114210315.07  | 0.37%             | 2045-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                                            | CUSIP: 3132QMX22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7821401 | PA      | $7357703.74    | 0.02%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382LWE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  25212461 | PA      | $3426827.25    | 0.01%             | 2050-12-20      | Floating      | 2.51%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382LX22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4573369 | PA      | $667454.86     | 0.00%             | 2050-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382WAV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  94141837 | PA      | $383260.83     | 0.00%             | 2051-07-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382WFP7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  17375316 | PA      | $2719056.21    | 0.01%             | 2051-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382XAF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  51604910 | PA      | $9200861.29    | 0.03%             | 2051-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382XTB1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  99571403 | PA      | $17456460.04   | 0.06%             | 2051-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage  | Citigroup Commercial Mortgage Trust 2019-C7                                      | CUSIP: 17328CAM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  15766000 | PA      | $627193.55     | 0.00%             | 2072-12-15      | Variable      | 1.17%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage  | Citigroup Commercial Mortgage Trust 2019-GC43                                    | CUSIP: 17328HAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11280000 | PA      | $239985.38     | 0.00%             | 2052-11-10      | Variable      | 0.61%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140LEXB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  19556871 | PA      | $17327521.02   | 0.06%             | 2031-12-01      | Fixed         | 1.93%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140LEYR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  26570096 | PA      | $21066592.77   | 0.07%             | 2039-01-01      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                 | CUSIP: 3132XGUW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  21351524 | PA      | $21639932.67   | 0.07%             | 2030-03-01      | Fixed         | 4.79%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                                            | CUSIP: 31335ANJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  48233779 | PA      | $45374389.61   | 0.15%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140LGHN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10830427 | PA      | $10488941.62   | 0.03%             | 2032-06-01      | Fixed         | 3.72%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140LGX80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8665000 | PA      | $8548597.51    | 0.03%             | 2032-08-01      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                 | CUSIP: 3133KLQV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  13521484 | PA      | $11705490.96   | 0.04%             | 2046-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                 | CUSIP: 3133KLZ83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  49138222 | PA      | $43574547.04   | 0.14%             | 2051-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137A1Z30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1336893 | PA      | $1374923.12    | 0.00%             | 2037-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137A57F5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2192883 | PA      | $2186653.90    | 0.01%             | 2031-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FCYW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9158361 | PA      | $8448337.18    | 0.03%             | 2047-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FG3E3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5334938 | PA      | $4303777.58    | 0.01%             | 2048-06-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Hilton USA Trust               | Hilton USA Trust 2016-HHV                                                        | CUSIP: 43300LAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1650000 | PA      | $1644443.96    | 0.01%             | 2038-11-05      | Variable      | 4.19%                 | No            |                  2 | On Loan: No      |
| Home Partners of America Trust | Home Partners of America 2019-2 Trust                                            | CUSIP: 43732TAJ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7326807 | PA      | $7116332.46    | 0.02%             | 2039-10-19      | Fixed         | 3.32%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FPGY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6378360 | PA      | $5638405.01    | 0.02%             | 2049-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FVQQ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  14039224 | PA      | $2087645.24    | 0.01%             | 2050-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Home Owner Mortgage Enhanced S | HOMES 2026-NQM2 Trust                                                            | CUSIP: 43761GAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4500000 | PA      | $4512762.00    | 0.01%             | 2071-01-25      | Variable      | 5.49%                 | No            |                  2 | On Loan: No      |
| MASTR Seasoned Securitization  | MASTR Seasoned Securitization Trust 2005-2                                       | CUSIP: 55265WDE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    630926 | PA      | $638373.55     | 0.00%             | 2032-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Backed Securities  | Mastr Asset Backed Securities Trust 2007-WMC1                                    | CUSIP: 55275TAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12306100 | PA      | $3163858.80    | 0.01%             | 2037-01-25      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Securitization Tru | MASTR Asset Securitization Trust 2007-1                                          | CUSIP: 55292AAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2318010 | PA      | $797503.24     | 0.00%             | 2037-11-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| MRCD Mortgage Trust            | MRCD 2019-MARK Mortgage Trust                                                    | CUSIP: 55348UAW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  16270000 | PA      | $8012975.00    | 0.03%             | 2036-12-15      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Alternative Note | Merrill Lynch Alternative Note Asset Trust Series 2007-F1                        | CUSIP: 59023YAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12693633 | PA      | $2790464.14    | 0.01%             | 2037-03-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Alternative Note | Merrill Lynch Alternative Note Asset Trust Series 2007-A3                        | CUSIP: 59024HAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9462654 | PA      | $3483278.59    | 0.01%             | 2037-04-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Alternative Note | Merrill Lynch Alternative Note Asset Trust Series 2007-A3                        | CUSIP: 59024HAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13115350 | PA      | $4834218.30    | 0.02%             | 2037-04-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S | BBCMS Mortgage Trust 2021-C9                                                     | CUSIP: 05493EBA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  68467000 | PA      | $2856915.66    | 0.01%             | 2054-02-15      | Variable      | 0.98%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S | BBCMS Mortgage Trust 2021-C11                                                    | CUSIP: 05493MAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1619000 | PA      | $1529505.73    | 0.00%             | 2054-09-15      | Fixed         | 2.11%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S | Barclays Commercial Mortgage Trust 2019-C3                                       | CUSIP: 05550MAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6117000 | PA      | $292513.10     | 0.00%             | 2052-05-15      | Variable      | 1.77%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S | Barclays Commercial Mortgage Trust 2019-C4                                       | CUSIP: 07335CAM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13091000 | PA      | $447932.13     | 0.00%             | 2052-08-15      | Variable      | 1.12%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan  | CitiMortgage Alternative Loan Trust Series 2007-A4                               | CUSIP: 12566VAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2914980 | PA      | $2585298.76    | 0.01%             | 2037-04-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Arbor Multifamily Mortgage Sec | Arbor Multifamily Mortgage Securities Trust 2020-MF1                             | CUSIP: 03881BAW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 123087096 | PA      | $3717070.29    | 0.01%             | 2053-05-15      | Variable      | 0.92%                 | No            |                  2 | On Loan: No      |
| BX Trust 2019-OC11             | BX Trust 2019-OC11                                                               | CUSIP: 05606FAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  53165000 | PA      | $49234522.18   | 0.16%             | 2041-12-09      | Variable      | 3.94%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31417Y7J0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    829160 | PA      | $794169.91     | 0.00%             | 2041-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31417YQW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     62300 | PA      | $61237.37      | 0.00%             | 2040-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                | Fannie Mae Interest Strip                                                        | CUSIP: 31423Y4T3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  24390243 | PA      | $4081165.78    | 0.01%             | 2052-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fieldstone Mortgage Investment | Fieldstone Mortgage Investment Trust Series 2007-1                               | CUSIP: 31659YAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2535143 | PA      | $1885995.41    | 0.01%             | 2047-04-25      | Floating      | 4.06%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust | Morgan Stanley Capital I Trust 2019-L3                                           | CUSIP: 61691UBF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 144403047 | PA      | $2684784.77    | 0.01%             | 2052-11-15      | Variable      | 0.60%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust | Morgan Stanley Capital I Trust 2006-HQ10                                         | CUSIP: 61750HAL0<br>LEI: 549300T7A7LUR8384661 | Long             | ABS-MBS          | CORP              | US        |    458800 | PA      | $4.59          | 0.00%             | 2041-11-12      | Variable      | 0.73%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T | Morgan Stanley Mortgage Loan Trust 2007-14AR                                     | CUSIP: 61756VAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2872344 | PA      | $1596822.26    | 0.01%             | 2037-10-25      | Variable      | 3.33%                 | No            |                  2 | On Loan: No      |
| Nothing Bundt Cakes            | NBC Funding LLC                                                                  | CUSIP: 62878YAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  16483500 | PA      | $16788736.51   | 0.05%             | 2054-07-30      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor | Banc of America Funding 2007-1 Trust                                             | CUSIP: 05951FAM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    377763 | PA      | $351685.89     | 0.00%             | 2037-01-25      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu | Bear Stearns Asset Backed Securities I Trust 2005-AC2                            | CUSIP: 073879ST6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1402251 | PA      | $1353051.80    | 0.00%             | 2035-04-25      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Mortgage-Backed Trust 2006-9                                                | CUSIP: 126380AB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1431867 | PA      | $1351219.98    | 0.00%             | 2036-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan  | CitiMortgage Alternative Loan Trust Series 2006-A4                               | CUSIP: 17309VAH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1082987 | PA      | $1005702.90    | 0.00%             | 2036-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137H2A53<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  32374087 | PA      | $142109.29     | 0.00%             | 2051-09-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3138A2HS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    100766 | PA      | $98423.21      | 0.00%             | 2040-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382XZF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  53497617 | PA      | $6545823.95    | 0.02%             | 2051-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38383AA20<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  29034377 | PA      | $3892119.26    | 0.01%             | 2051-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust  | Citigroup Mortgage Loan Trust 2020-RP1                                           | CUSIP: 17328MAP5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  26293400 | PA      | $20245594.59   | 0.07%             | 2064-08-25      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage  | Citigroup Commercial Mortgage Trust 2020-420K                                    | CUSIP: 17328QAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3625000 | PA      | $3244938.69    | 0.01%             | 2042-11-10      | Variable      | 3.31%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage  | Citigroup Commercial Mortgage Trust 2020-GC46                                    | CUSIP: 17328RAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  21133200 | PA      | $787556.17     | 0.00%             | 2053-02-15      | Variable      | 1.05%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage  | Citigroup Commercial Mortgage Trust 2016-P3                                      | CUSIP: 29429CAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7901336 | PA      | $79.01         | 0.00%             | 2049-04-15      | Variable      | 1.65%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu | Bear Stearns Asset Backed Securities I Trust 2005-AC7                            | CUSIP: 073879T57<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4397979 | PA      | $2574782.25    | 0.01%             | 2035-10-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu | Bear Stearns Asset Backed Securities I Trust 2006-AC1                            | CUSIP: 07387UCE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5648665 | PA      | $2481173.66    | 0.01%             | 2036-02-25      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3138ASMP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    709220 | PA      | $686729.61     | 0.00%             | 2041-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3138EEP86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    408676 | PA      | $404466.86     | 0.00%             | 2042-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC               | COLT 2021-HX1 Mortgage Loan Trust                                                | CUSIP: 19688KAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4130000 | PA      | $3221289.73    | 0.01%             | 2066-10-25      | Variable      | 3.86%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Mortgage-Backed Trust Series 2006-2                                         | CUSIP: 225470YX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2225306 | PA      | $649981.51     | 0.00%             | 2036-03-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Mortgage-Backed Trust 2006-7                                                | CUSIP: 22942KAV2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    109972 | PA      | $37184.36      | 0.00%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                 | CUSIP: 3132DWCD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2559974 | PA      | $2260575.91    | 0.01%             | 2051-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| New Century Alternative Mortga | New Century Alternative Mortgage Loan Trust 2006-ALT1                            | CUSIP: 643528AC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9099106 | PA      | $1696121.54    | 0.01%             | 2036-07-25      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| New Century Alternative Mortga | New Century Alternative Mortgage Loan Trust 2006-ALT2                            | CUSIP: 643529AE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11658833 | PA      | $2048595.69    | 0.01%             | 2036-10-25      | Variable      | 4.49%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan  | New Residential Mortgage Loan Trust 2025-NQM5                                    | CUSIP: 64832GAF1<br>LEI: 213800USJ6KQFZEWGZ76 | Long             | ABS-MBS          | CORP              | US        |  11649000 | PA      | $11571085.66   | 0.04%             | 2065-08-25      | Variable      | 6.09%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan  | New Residential Mortgage Loan Trust 2026-NQM2                                    | CUSIP: 64832MAG6<br>LEI: 213800ZF5DPBUAR45104 | Long             | ABS-MBS          | CORP              | US        |   7173530 | PA      | $7100114.85    | 0.02%             | 2065-12-25      | Variable      | 5.15%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan  | New Residential Mortgage Loan Trust 2026-NQM3                                    | CUSIP: 64832PAH7<br>LEI: 213800BXPAJOYIE7S264 | Long             | ABS-MBS          | CORP              | US        |   3754000 | PA      | $3660959.74    | 0.01%             | 2066-02-25      | Variable      | 5.42%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corpor | Nomura Asset Acceptance Corp Alternative Loan Trust Series 2005-AP1              | CUSIP: 65535VHH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12357 | PA      | $12206.84      | 0.00%             | 2035-02-25      | Variable      | 5.36%                 | No            |                  2 | On Loan: No      |
| SoFi Alternative Trust Consume | SOFI Alternative Trust                                                           | CUSIP: 83407QAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    808446 | PA      | $806153.75     | 0.00%             | 2030-11-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Specialty Underwriting & Resid | Specialty Underwriting & Residential Finance Trust Series 2006-BC2               | CUSIP: 84751PLM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3500049 | PA      | $1112386.91    | 0.00%             | 2037-02-25      | Variable      | 4.05%                 | No            |                  2 | On Loan: No      |
| SREIT Trust                    | SREIT Trust 2021-MFP2                                                            | CUSIP: 85236WCJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3610000 | PA      | $3608617.01    | 0.01%             | 2036-11-15      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| Starwood Mortgage Residential  | Starwood Mortgage Residential Trust 2021-5                                       | CUSIP: 85573QAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9103000 | PA      | $6944553.08    | 0.02%             | 2066-09-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Mortgage Funding  | Bear Stearns Mortgage Funding Trust 2006-AR4                                     | CUSIP: 07401JAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2120212 | PA      | $2086685.74    | 0.01%             | 2037-12-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| Benchmark 2024-V8 Mortgage Tru | Benchmark 2024-V8 Mortgage Trust                                                 | CUSIP: 08190AAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2279000 | PA      | $2371488.66    | 0.01%             | 2057-07-15      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| BX Trust                       | BX Commercial Mortgage Trust 2024-AIRC                                           | CUSIP: 12433CAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  20961461 | PA      | $21007823.11   | 0.07%             | 2041-08-15      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| BX Trust                       | BX Commercial Mortgage Trust 2026-XL6                                            | CUSIP: 12433NAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  24050000 | PA      | $24022938.94   | 0.08%             | 2043-03-15      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Bank5                          | BANK5 2025-5YR16                                                                 | CUSIP: 065934BF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4104000 | PA      | $4208098.78    | 0.01%             | 2063-08-15      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| Bank5                          | BANK5 2025-5YR18                                                                 | CUSIP: 06604CAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  16121000 | PA      | $16400447.86   | 0.05%             | 2058-12-15      | Fixed         | 5.14%                 | No            |                  2 | On Loan: No      |
| Bank5                          | BANK5 2026-5YR20                                                                 | CUSIP: 06650JAZ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4688000 | PA      | $4764736.00    | 0.02%             | 2059-02-15      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| Deutsche Mortgage Securities,  | Deutsche Mortgage Securities Inc Mortgage Loan Trust Series 2006-PR1             | CUSIP: 25157GBH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  30066551 | PA      | $28366263.94   | 0.09%             | 2036-04-15      | Floating      | 6.82%                 | No            |                  2 | On Loan: No      |
| Deutsche Mortgage and Asset Re | Deutsche Mortgage & Asset Receiving Corp                                         | CUSIP: 25160HAK1<br>LEI: 529900JBPP7HAVCM8C23 | Long             | ABS-MBS          | CORP              | US        |   3072403 | PA      | $2373247.94    | 0.01%             | 2036-10-27      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| EDI ABS Issuer LLC             | EDI ABS Issuer 1 LLC                                                             | CUSIP: 268332AB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2610000 | PA      | $2418450.27    | 0.01%             | 2055-07-25      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BTLF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  43063661 | PA      | $43249024.58   | 0.14%             | 2054-07-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FFGL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12653730 | PA      | $2186144.42    | 0.01%             | 2051-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FWW89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10931823 | PA      | $1932822.81    | 0.01%             | 2050-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137H1NF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  57856773 | PA      | $12389322.05   | 0.04%             | 2051-08-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3138A9DP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    318043 | PA      | $315333.13     | 0.00%             | 2031-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3138ASTZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1332238 | PA      | $1276028.40    | 0.00%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3138AVSV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1177044 | PA      | $1127368.00    | 0.00%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31393EMJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2461975 | PA      | $2498844.68    | 0.01%             | 2033-09-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31396PBM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    475960 | PA      | $38871.30      | 0.00%             | 2037-01-25      | Floating      | 2.54%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31396W2J4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    979090 | PA      | $102743.55     | 0.00%             | 2037-08-25      | Floating      | 2.09%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31396WKM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    740116 | PA      | $64529.35      | 0.00%             | 2036-10-25      | Floating      | 2.84%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31396YGA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    256725 | PA      | $17577.27      | 0.00%             | 2038-02-25      | Floating      | 2.47%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31397L3Y3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    197171 | PA      | $8737.61       | 0.00%             | 2038-07-25      | Floating      | 2.22%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31397S3P7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2092088 | PA      | $2068290.00    | 0.01%             | 2041-05-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31398G6J3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    621269 | PA      | $73661.75      | 0.00%             | 2050-02-25      | Floating      | 2.47%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31398GW62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1446592 | PA      | $144112.23     | 0.00%             | 2040-02-25      | Floating      | 2.57%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140X8WL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  28602518 | PA      | $23417207.50   | 0.08%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38380RV49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        | 151285531 | PA      | $9775072.54    | 0.03%             | 2062-10-16      | Variable      | 0.86%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381ERY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        | 109213563 | PA      | $4518285.24    | 0.01%             | 2061-12-01      | Variable      | 0.65%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381HQB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  84551602 | PA      | $5202840.56    | 0.02%             | 2064-06-16      | Variable      | 0.78%                 | No            |                  2 | On Loan: No      |
| Nomura Home Equity Loan Inc    | Nomura Home Equity Loan Inc Home Equity Loan Trust Series 2007-1                 | CUSIP: 65537KAV2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2358633 | PA      | $589214.96     | 0.00%             | 2037-02-25      | Variable      | 6.56%                 | No            |                  2 | On Loan: No      |
| NXPT Commercial Mortgage Trust | NXPT Commercial Mortgage Trust 2024-STOR                                         | CUSIP: 67119YAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2890000 | PA      | $2845879.24    | 0.01%             | 2041-11-05      | Variable      | 4.65%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR            | Freddie Mac STACR REMIC Trust 2024-HQA2                                          | CUSIP: 35564NDZ3<br>LEI: 5299002OYNAPMJKK2A73 | Long             | ABS-MBS          | CORP              | US        |  12836086 | PA      | $12844672.88   | 0.04%             | 2044-08-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| GCAT                           | GCAT 2025-NQM3 Trust                                                             | CUSIP: 36171MAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4307695 | PA      | $4324974.70    | 0.01%             | 2070-05-25      | Variable      | 5.96%                 | No            |                  2 | On Loan: No      |
| NYC Commercial Mortgage Trust  | NYC Commercial Mortgage Trust 2026-7W34                                          | CUSIP: 67123XAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  17430000 | PA      | $17385994.48   | 0.06%             | 2041-02-05      | Variable      | 4.87%                 | No            |                  2 | On Loan: No      |
| RR Ltd                         | RR 8 Ltd                                                                         | CUSIP: 74980FBA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  46000000 | PA      | $46011302.20   | 0.15%             | 2039-01-15      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae II Pool                                                               | CUSIP: 36179TT96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  13601941 | PA      | $12290164.62   | 0.04%             | 2048-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae II Pool                                                               | CUSIP: 3617UPUF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7095746 | PA      | $6113243.47    | 0.02%             | 2051-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Rockford Tower CLO Ltd         | Rockford Tower CLO 2022-3 Ltd                                                    | CUSIP: 77341XAL7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  15000000 | PA      | $15018415.50   | 0.05%             | 2037-07-20      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| SFO Commerical Mortgage Trust  | SFO Commercial Mortgage Trust 2021-555                                           | CUSIP: 78432WAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2240000 | PA      | $2236704.29    | 0.01%             | 2038-05-15      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae II Pool                                                               | CUSIP: 3622AA2F0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  19783869 | PA      | $17113409.06   | 0.06%             | 2051-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae II Pool                                                               | CUSIP: 3622AAZK3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  35061250 | PA      | $28611283.59   | 0.09%             | 2051-03-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| SECURITIZED MORTGAGE ASSET LOA | Securitized Mortgage Asset Loan Trust 2015-1                                     | CUSIP: 81379DAA2<br>LEI: 5493008VRMUX8NL6RQ80 | Long             | ABS-MBS          | CORP              | US        | 160481017 | PA      | $138526171.08  | 0.45%             | 2054-02-25      | Variable      | 3.07%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust         | Sequoia Mortgage Trust 2003-4                                                    | CUSIP: 81743PBW5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     29180 | PA      | $29367.61      | 0.00%             | 2033-07-20      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust        | GSR Mortgage Loan Trust 2006-2F                                                  | CUSIP: 362334CP7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    259016 | PA      | $226929.09     | 0.00%             | 2036-02-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| GSMPS Mortgage Loan Trust      | GSMPS Mortgage Loan Trust 2006-RP1                                               | CUSIP: 3623413C1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12162358 | PA      | $9782795.06    | 0.03%             | 2036-01-25      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| Social Professional Loan Progr | Sofi Professional Loan Program 2018-B Trust                                      | CUSIP: 83404RAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  16598064 | PA      | $16103875.24   | 0.05%             | 2047-08-25      | Fixed         | 3.83%                 | No            |                  2 | On Loan: No      |
| SOFI CONSUMER LOAN PROGRAM TRU | SoFi Consumer Loan Program Trust 2026-1                                          | CUSIP: 83408AAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9900000 | PA      | $9840917.79    | 0.03%             | 2035-12-26      | Fixed         | 4.74%                 | No            |                  2 | On Loan: No      |
| CBAM CLO Management            | CBAM 2017-2 Ltd                                                                  | CUSIP: 12481KAU2<br>LEI: 254900JYLIAZT0YFW632 | Long             | ABS-CBDO         | CORP              | US        |  11000000 | PA      | $11005657.30   | 0.04%             | 2034-07-17      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| CLI Funding LLC                | CLI Funding VI LLC                                                               | CUSIP: 12563LAN7<br>LEI: 549300NQLBWJD5AREU05 | Long             | ABS-O            | CORP              | US        |   3342200 | PA      | $3146441.00    | 0.01%             | 2045-09-18      | Fixed         | 2.08%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan  | CitiMortgage Alternative Loan Trust Series 2007-A3                               | CUSIP: 12567AAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3857545 | PA      | $277759.84     | 0.00%             | 2037-03-25      | Floating      | 1.61%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC 2021-B33                                                                    | CUSIP: 12658WAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  18815500 | PA      | $16728655.96   | 0.05%             | 2043-10-10      | Fixed         | 3.17%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                 | CUSIP: 3132DWHE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  23753111 | PA      | $23550877.76   | 0.08%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                 | CUSIP: 3133KPMB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7082975 | PA      | $6718240.59    | 0.02%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137H3S78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  14824436 | PA      | $2355155.25    | 0.01%             | 2048-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140HVPY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8860000 | PA      | $7974054.67    | 0.03%             | 2034-09-01      | Fixed         | 2.98%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140JAPU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3494618 | PA      | $3091741.65    | 0.01%             | 2048-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140JBVT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  14256948 | PA      | $13101068.09   | 0.04%             | 2052-04-01      | Floating      | 2.29%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140LDY52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12048000 | PA      | $10132210.41   | 0.03%             | 2033-11-01      | Fixed         | 1.83%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140LEXE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  33568034 | PA      | $29887180.13   | 0.10%             | 2032-01-01      | Fixed         | 2.03%                 | No            |                  2 | On Loan: No      |
| GSMPS Mortgage Loan Trust      | GSMPS Mortgage Loan Trust 2005-RP3                                               | CUSIP: 362341LL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3300336 | PA      | $2841537.47    | 0.01%             | 2035-09-25      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust        | GSR Mortgage Loan Trust 2005-1F                                                  | CUSIP: 36242DVJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    604663 | PA      | $586302.17     | 0.00%             | 2035-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certi | CWABS Asset-Backed Certificates Trust 2006-25                                    | CUSIP: 12667TAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  15355850 | PA      | $14721579.27   | 0.05%             | 2047-06-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certi | CWABS Asset-Backed Certificates Trust 2007-4                                     | CUSIP: 12668WAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  20090232 | PA      | $15584601.67   | 0.05%             | 2047-04-25      | Variable      | 4.33%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382LL66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  38879929 | PA      | $5752880.31    | 0.02%             | 2050-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382LQ20<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  54332075 | PA      | $7768845.67    | 0.02%             | 2050-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382M4V8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  49070751 | PA      | $7230339.56    | 0.02%             | 2051-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382TZA5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  26827775 | PA      | $3727585.17    | 0.01%             | 2051-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382WHP5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  20316744 | PA      | $2845404.71    | 0.01%             | 2051-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38383AE67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  24216903 | PA      | $4000119.02    | 0.01%             | 2051-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3138ENXE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13914392 | PA      | $12273295.75   | 0.04%             | 2053-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3138WBD93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4621485 | PA      | $4561922.41    | 0.01%             | 2044-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137A7VG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3253542 | PA      | $2700444.42    | 0.01%             | 2041-02-15      | Floating      | 1.84%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137AFQJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2639730 | PA      | $2637140.80    | 0.01%             | 2041-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140LEY76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  30761000 | PA      | $27117037.79   | 0.09%             | 2032-01-01      | Fixed         | 1.89%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140QBKL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3270100 | PA      | $3167227.89    | 0.01%             | 2034-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Stellantis Financial Underwrit | Stellantis Financial Underwritten Enhanced Lease Trust 2025-C                    | CUSIP: 85855EAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8925000 | PA      | $8875941.95    | 0.03%             | 2029-12-20      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Co | Structured Asset Securities Corp Trust 2005-5                                    | CUSIP: 863576AK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8286652 | PA      | $3640633.79    | 0.01%             | 2035-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140XMG42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12404543 | PA      | $12738694.54   | 0.04%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140XNJ47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  55360317 | PA      | $56810181.73   | 0.18%             | 2053-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Co | Structured Asset Securities Corp                                                 | CUSIP: 86363TAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  35077639 | PA      | $1988523.28    | 0.01%             | 2045-03-28      | Floating      | 2.46%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mor | Structured Adjustable Rate Mortgage Loan Trust Series 2007-7                     | CUSIP: 86364DAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5210586 | PA      | $5293511.57    | 0.02%             | 2037-08-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38383AGZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  73787181 | PA      | $8858660.22    | 0.03%             | 2051-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38383AJT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  32431687 | PA      | $468634.64     | 0.00%             | 2051-09-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3138WCCB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1638274 | PA      | $1618674.49    | 0.01%             | 2044-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3138WDMK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  22846851 | PA      | $20837665.67   | 0.07%             | 2044-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CD Commercial Mortgage Trust   | CD 2017-CD6 Mortgage Trust                                                       | CUSIP: 125039AG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  34363376 | PA      | $331544.73     | 0.00%             | 2050-11-13      | Variable      | 0.87%                 | No            |                  2 | On Loan: No      |
| CFCRE Commercial Mortgage Trus | CFCRE Commercial Mortgage Trust 2016-C4                                          | CUSIP: 12531YAW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7155000 | PA      | $7081430.14    | 0.02%             | 2058-05-10      | Variable      | 4.72%                 | No            |                  2 | On Loan: No      |
| Carrington Mortgage Loan Trust | Carrington Mortgage Loan Trust Series 2007-RFC1                                  | CUSIP: 144526AC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6655488 | PA      | $6564924.52    | 0.02%             | 2036-12-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| Castlelake Aircraft Securitiza | Castlelake Aircraft Structured Trust 2025-1                                      | CUSIP: 14856VAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  13379536 | PA      | $13485755.80   | 0.04%             | 2050-02-15      | Fixed         | 5.78%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora | Chase Mortgage Finance Trust Series 2006-S4                                      | CUSIP: 16162YAH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13205709 | PA      | $5073147.29    | 0.02%             | 2036-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora | Chase Mortgage Finance Trust Series 2007-S3                                      | CUSIP: 16163HAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2237768 | PA      | $897744.93     | 0.00%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3138AVH81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    493339 | PA      | $477692.07     | 0.00%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3138E1HL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    892685 | PA      | $852797.85     | 0.00%             | 2041-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3138EEPY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    998554 | PA      | $956412.87     | 0.00%             | 2042-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3138ENXD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7779552 | PA      | $7082369.49    | 0.02%             | 2053-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140XNS96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  19616454 | PA      | $20375391.56   | 0.07%             | 2054-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31417ALD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    487327 | PA      | $465552.13     | 0.00%             | 2041-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Switch ABS Issuer, LLC         | Switch ABS Issuer LLC                                                            | CUSIP: 871044AN3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3775000 | PA      | $3706821.24    | 0.01%             | 2055-03-25      | Fixed         | 6.49%                 | No            |                  2 | On Loan: No      |
| Terwin Mortgage Trust          | Terwin Mortgage Trust 2006-7                                                     | CUSIP: 88156PAZ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10041297 | PA      | $4391399.47    | 0.01%             | 2037-08-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31417BZH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1904142 | PA      | $1819073.28    | 0.01%             | 2042-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31417EUA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7744944 | PA      | $7106001.65    | 0.02%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust   | GS Mortgage Securities Trust 2020-GC45                                           | CUSIP: 36258YAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  25009000 | PA      | $546591.70     | 0.00%             | 2053-02-13      | Variable      | 0.64%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust   | GS Mortgage Securities Trust 2020-GC45                                           | CUSIP: 36258YBJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 168232454 | PA      | $3166050.66    | 0.01%             | 2053-02-13      | Variable      | 0.61%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2007-6                                                    | CUSIP: 02150AAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4847634 | PA      | $2421710.38    | 0.01%             | 2047-04-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2007-8CB                                                  | CUSIP: 02150FAH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    234290 | PA      | $269680.88     | 0.00%             | 2037-05-25      | Floating      | 17.32%                | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust   | GS Mortgage Securities Trust 2019-GC39                                           | CUSIP: 36260JAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12714608 | PA      | $357434.33     | 0.00%             | 2052-05-10      | Variable      | 1.07%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities  | GS Mortgage-Backed Securities Trust 2020-RPL2                                    | CUSIP: 36263GAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  74450186 | PA      | $68587039.97   | 0.22%             | 2060-05-25      | Variable      | 1.75%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2007-9T1                                                  | CUSIP: 02150JAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    385652 | PA      | $131852.41     | 0.00%             | 2037-05-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2007-9T1                                                  | CUSIP: 02150JBA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     24011 | PA      | $12392.95      | 0.00%             | 2022-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities  | GS Mortgage-Backed Securities Trust 2020-RPL2                                    | CUSIP: 36263GAQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10237000 | PA      | $8390152.04    | 0.03%             | 2060-05-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities  | GS Mortgage-Backed Securities Trust 2020-RPL2                                    | CUSIP: 36263GBF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  31699257 | PA      | $27729337.55   | 0.09%             | 2060-05-25      | Floating      | 5.90%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2007-12T1                                                 | CUSIP: 02150LAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9090918 | PA      | $3985766.51    | 0.01%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2007-19                                                   | CUSIP: 02151AAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8485372 | PA      | $3827399.90    | 0.01%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities  | GS Mortgage-Backed Securities Trust 2025-NQM2                                    | CUSIP: 36272EAA2<br>LEI: 254900WJFO182DZH8M35 | Long             | ABS-MBS          | CORP              | US        |  12252013 | PA      | $12329069.41   | 0.04%             | 2065-06-25      | Variable      | 5.65%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities  | GS Mortgage-Backed Securities Trust 2026-NQM1                                    | CUSIP: 36276EAG5<br>LEI: 254900WEVNJASLS4UV47 | Long             | ABS-MBS          | CORP              | US        |   4364587 | PA      | $4343732.95    | 0.01%             | 2066-03-25      | Variable      | 5.22%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2007-19                                                   | CUSIP: 02151ABW9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  26890368 | PA      | $11201196.21   | 0.04%             | 2037-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2007-23CB                                                 | CUSIP: 02151EAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6441753 | PA      | $2150395.58    | 0.01%             | 2037-09-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities  | GS Mortgage-Backed Securities Corp Trust 2025-NQM6                               | CUSIP: 362933AF0<br>LEI: 254900X1ABPQ6D4G6D07 | Long             | ABS-MBS          | CORP              | US        |   7333000 | PA      | $7256459.61    | 0.02%             | 2066-02-25      | Variable      | 5.70%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust        | GSR Mortgage Loan Trust 2006-5F                                                  | CUSIP: 36297XAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  15942001 | PA      | $5438715.56    | 0.02%             | 2036-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2007-17CB                                                 | CUSIP: 02151HAK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4558317 | PA      | $3831428.03    | 0.01%             | 2037-08-25      | Floating      | 12.45%                | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2007-18CB                                                 | CUSIP: 02151NBH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    658816 | PA      | $375202.93     | 0.00%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381D7S3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        | 148390637 | PA      | $9136159.23    | 0.03%             | 2061-06-16      | Variable      | 0.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381DGR5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        | 298530349 | PA      | $14846033.68   | 0.05%             | 2063-03-16      | Variable      | 0.69%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2007-16CB                                                 | CUSIP: 02152AAL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7080189 | PA      | $2141665.11    | 0.01%             | 2037-08-25      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2007-16CB                                                 | CUSIP: 02152AAM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2050246 | PA      | $2724568.94    | 0.01%             | 2037-08-25      | Floating      | 22.97%                | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381DKS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        | 112703581 | PA      | $7542258.86    | 0.02%             | 2063-06-16      | Variable      | 0.97%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381DNK2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  39697267 | PA      | $1611097.69    | 0.01%             | 2061-05-16      | Variable      | 0.58%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2007-7                                           | CUSIP: 12544TAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1223299 | PA      | $540252.64     | 0.00%             | 2037-06-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certi | CWABS Asset-Backed Certificates Trust 2005-11                                    | CUSIP: 126670CM8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  17544000 | PA      | $15183016.20   | 0.05%             | 2036-02-25      | Variable      | 5.35%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381E8G6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  93452472 | PA      | $3385231.71    | 0.01%             | 2064-07-16      | Variable      | 0.43%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381ECX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        | 159095229 | PA      | $10760755.83   | 0.03%             | 2064-01-16      | Variable      | 0.88%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2005-20                                          | CUSIP: 126694FC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1732972 | PA      | $1005642.51    | 0.00%             | 2035-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2005-24                                          | CUSIP: 126694JY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1234637 | PA      | $602037.00     | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381EHE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        | 172478541 | PA      | $9069991.07    | 0.03%             | 2064-06-16      | Variable      | 0.76%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381EJK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  49986872 | PA      | $3385290.93    | 0.01%             | 2063-01-16      | Variable      | 0.97%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2005-J3                                          | CUSIP: 12669G4V0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    481982 | PA      | $422287.52     | 0.00%             | 2035-09-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2007-15                                          | CUSIP: 17025TBE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1515806 | PA      | $876445.52     | 0.00%             | 2037-09-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381EMK1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        | 133035258 | PA      | $7696808.06    | 0.02%             | 2063-09-16      | Variable      | 0.79%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382NQW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  28445509 | PA      | $22149925.82   | 0.07%             | 2051-02-20      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Mortgage-Backed Trust 2006-3                                                | CUSIP: 225470Q22<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    447109 | PA      | $272256.59     | 0.00%             | 2036-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mor | Credit Suisse First Boston Mortgage Securities Corp                              | CUSIP: 225470RW5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4460490 | PA      | $3872201.77    | 0.01%             | 2036-01-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382NXY8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  17620934 | PA      | $2579283.57    | 0.01%             | 2051-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382PV41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  37779630 | PA      | $4162960.07    | 0.01%             | 2049-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Deephaven Residential Mortgage | Deephaven Residential Mortgage Trust 2026-INV1                                   | CUSIP: 24381GAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3677384 | PA      | $3647924.92    | 0.01%             | 2070-12-25      | Variable      | 5.10%                 | No            |                  2 | On Loan: No      |
| Deutsche Mortgage Securities,  | Deutsche Mortgage Securities Inc Mortgage Loan Trust Series 2006-PR1             | CUSIP: 25157GAH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3339368 | PA      | $3064164.77    | 0.01%             | 2036-04-15      | Floating      | 6.82%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382QBS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  60167104 | PA      | $10109445.23   | 0.03%             | 2051-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382QU24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  83375558 | PA      | $1928101.46    | 0.01%             | 2051-05-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| ECAF LTD                       | ECAF I Ltd                                                                       | CUSIP: 26827EAC9<br>LEI: 635400SSRNQERTYCWK57 | Long             | ABS-O            | CORP              | US        |  10550443 | PA      | $9669269.85    | 0.03%             | 2040-06-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage T | EFMT 2025-NQM4                                                                   | CUSIP: 26846RAH6<br>LEI: 254900CD2QA4YMZIVN66 | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $2981300.40    | 0.01%             | 2070-09-25      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137H2DS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  22048252 | PA      | $3796828.05    | 0.01%             | 2051-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137H3RY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7804032 | PA      | $6945763.78    | 0.02%             | 2041-07-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137H4A83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  26190691 | PA      | $4798485.49    | 0.02%             | 2050-08-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137H5AN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12742341 | PA      | $11365573.25   | 0.04%             | 2049-10-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137HBDW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  17815700 | PA      | $2170326.40    | 0.01%             | 2051-12-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137HMQX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8846449 | PA      | $8863317.20    | 0.03%             | 2052-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137HNSG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  26374565 | PA      | $26491066.48   | 0.09%             | 2055-11-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137HQVA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  40444000 | PA      | $39181856.00   | 0.13%             | 2052-01-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31392FCA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    161188 | PA      | $164521.55     | 0.00%             | 2032-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31396AL36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    673192 | PA      | $49825.83      | 0.00%             | 2035-09-15      | Floating      | 2.31%                 | No            |                  2 | On Loan: No      |
| Sound Point CLO LTD            | Sounds Point CLO IV-R LTD                                                        | CUSIP: 83609YAC0<br>LEI: 549300HOEGQTNS4MTZ12 | Long             | ABS-CBDO         | CORP              | US        |   6106440 | PA      | $6112110.59    | 0.02%             | 2031-04-18      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| Sound Point CLO LTD            | Sound Point Clo XX Ltd                                                           | CUSIP: 83611JAE5<br>LEI: 549300RTEBF0FW35D815 | Long             | ABS-CBDO         | CORP              | US        |  18000000 | PA      | $18079824.60   | 0.06%             | 2031-07-26      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38383ALK8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  65174888 | PA      | $11874206.42   | 0.04%             | 2051-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38384H6P8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12579104 | PA      | $9413241.45    | 0.03%             | 2050-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38384JB94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  24151839 | PA      | $16348797.65   | 0.05%             | 2051-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38384JX25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  43477624 | PA      | $7326131.89    | 0.02%             | 2051-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HERO Funding Trust             | HERO Funding Trust 2016-4A                                                       | CUSIP: 40417QAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3790447 | PA      | $3634695.22    | 0.01%             | 2047-09-20      | Fixed         | 4.29%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust | HarborView Mortgage Loan Trust 2007-7                                            | CUSIP: 411640AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10758988 | PA      | $8842235.43    | 0.03%             | 2037-10-25      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| Impac Secured Assets Corp.     | Impac Secured Assets Trust 2007-3                                                | CUSIP: 45257VAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7809820 | PA      | $6930187.22    | 0.02%             | 2037-09-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| LMRK Issuer Co. LLC            | Lmrk Issuer Co 2 LLC                                                             | CUSIP: 50209AAH4<br>LEI: 549300TATF7H68SRLE80 | Long             | ABS-O            | CORP              | US        |   8650000 | PA      | $8648359.10    | 0.03%             | 2055-09-15      | Fixed         | 5.52%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2005-3                                                     | CUSIP: 52520MDZ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1188588 | PA      | $1065805.27    | 0.00%             | 2036-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2006-9                                                     | CUSIP: 52521HAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1712343 | PA      | $862764.88     | 0.00%             | 2037-01-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2007-4                                                     | CUSIP: 52521LAM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10912346 | PA      | $966344.96     | 0.00%             | 2037-05-25      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2007-6                                                     | CUSIP: 52521NAH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8833 | PA      | $7824.27       | 0.00%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3138LMAX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  20117424 | PA      | $18270973.87   | 0.06%             | 2035-01-01      | Fixed         | 3.16%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3138WBZR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1398770 | PA      | $1382037.25    | 0.00%             | 2044-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2007-5                                                     | CUSIP: 52521RBU4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    590374 | PA      | $163128.83     | 0.00%             | 2036-10-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                | Lehman XS Trust 2006-5                                                           | CUSIP: 525221JY4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12422 | PA      | $17635.54      | 0.00%             | 2036-04-25      | Variable      | 6.39%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3138WEJZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7812181 | PA      | $7428415.58    | 0.02%             | 2035-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati | Residential Asset Securitization Trust 2005-A15                                  | CUSIP: 45660L4J5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6926501 | PA      | $2466691.32    | 0.01%             | 2036-02-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati | Residential Asset Securitization Trust 2005-A11CB                                | CUSIP: 45660LA74<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4383925 | PA      | $1773999.36    | 0.01%             | 2035-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati | Residential Asset Securitization Trust 2005-A8CB                                 | CUSIP: 45660LSQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2591123 | PA      | $166168.48     | 0.00%             | 2035-07-25      | Floating      | 1.21%                 | No            |                  2 | On Loan: No      |
| IndyMac INDA Mortgage Loan Tru | IndyMac INDA Mortgage Loan Trust 2007-AR1                                        | CUSIP: 45669AAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2271321 | PA      | $1972027.87    | 0.01%             | 2037-03-25      | Variable      | 3.05%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2006-9                                                     | CUSIP: 52521HAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5124816 | PA      | $458365.08     | 0.00%             | 2037-01-25      | Floating      | 1.36%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2006-9                                                     | CUSIP: 52521HBF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6170339 | PA      | $566347.07     | 0.00%             | 2037-01-25      | Floating      | 2.83%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                | Lehman XS Trust 2006-3                                                           | CUSIP: 525221JJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3957655 | PA      | $4042000.72    | 0.01%             | 2036-03-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Securitization Tru | MASTR Asset Securitization Trust 2006-2                                          | CUSIP: 55274QAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    975930 | PA      | $526860.36     | 0.00%             | 2036-06-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| Merit                          | MHP 2021-STOR                                                                    | CUSIP: 55293BAK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    388888 | PA      | $388873.84     | 0.00%             | 2038-07-15      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| Marlette Funding Trust         | Marlette Funding Trust 2024-1                                                    | CUSIP: 57108VAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2940985 | PA      | $2950514.97    | 0.01%             | 2034-07-17      | Fixed         | 6.07%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Backed Securities  | Mastr Asset Backed Securities Trust 2003-OPT1                                    | CUSIP: 57643LAM8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1239841 | PA      | $1209724.12    | 0.00%             | 2032-12-25      | Floating      | 7.92%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investo | Merrill Lynch Mortgage Investors Trust Series 2007-HE3                           | CUSIP: 590238AC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6455881 | PA      | $2446060.49    | 0.01%             | 2047-04-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                     | MFA 2025-NQM5 Trust                                                              | CUSIP: 59319DAG8<br>LEI: 25490048OKUKCESK4V59 | Long             | ABS-MBS          | CORP              | US        |   7705902 | PA      | $7730267.60    | 0.02%             | 2070-11-25      | Variable      | 5.44%                 | No            |                  2 | On Loan: No      |
| Nothing Bundt Cakes            | NBC Funding LLC                                                                  | CUSIP: 62878YAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11100000 | PA      | $11068652.49   | 0.04%             | 2055-07-30      | Fixed         | 6.21%                 | No            |                  2 | On Loan: No      |
| New York Mortgage Trust        | NYMT Loan Trust 2026-INV1                                                        | CUSIP: 62957GAF4<br>LEI: 254900Y31NJCJWYHMA05 | Long             | ABS-MBS          | CORP              | US        |  38566379 | PA      | $38363920.79   | 0.12%             | 2061-02-25      | Variable      | 4.77%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan  | NRZT 2025-NQM6                                                                   | CUSIP: 64832KAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2927958 | PA      | $2909871.01    | 0.01%             | 2065-10-25      | Variable      | 5.34%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corpor | Nomura Asset Acceptance Corp Alternative Loan Trust Series 2006-AF1              | CUSIP: 65536PAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2505366 | PA      | $437306.63     | 0.00%             | 2036-05-25      | Variable      | 6.41%                 | No            |                  2 | On Loan: No      |
| Nomura Home Equity Loan Inc    | Nomura Home Equity Loan Inc Home Equity Loan Trust Series 2007-1                 | CUSIP: 65537KAX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11755969 | PA      | $2937428.68    | 0.01%             | 2037-02-25      | Variable      | 6.49%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                    | OCP CLO 2020-18 Ltd                                                              | CUSIP: 671078AW3<br>LEI: 254900MN6N176YEZLX15 | Long             | ABS-CBDO         | CORP              | US        |   5000000 | PA      | $5004697.50    | 0.02%             | 2037-07-20      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| Octagon 57 Ltd                 | Octagon 57 Ltd                                                                   | CUSIP: 67592XAN0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   8005000 | PA      | $7997075.05    | 0.03%             | 2034-10-15      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| PHH Alternative Mortgage Trust | PHH Alternative Mortgage Trust Series 2007-1                                     | CUSIP: 69337BAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2095202 | PA      | $1539364.41    | 0.00%             | 2037-02-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| PENN Commercial Mortgage Trust | PENN Commercial Mortgage Trust 2025-P11                                          | CUSIP: 69382VAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3250000 | PA      | $3333674.50    | 0.01%             | 2042-08-10      | Variable      | 5.93%                 | No            |                  2 | On Loan: No      |
| Pioneer Aircraft Finance Limit | Pioneer Aircraft Finance Ltd                                                     | CUSIP: 72353PAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | IE        |   8388604 | PA      | $8385390.76    | 0.03%             | 2044-06-15      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| Planet Fitness Master Issuer L | Planet Fitness Master Issuer LLC                                                 | CUSIP: 72703PAJ2<br>LEI: 549300NX9W3U2DO53T22 | Long             | ABS-O            | CORP              | US        |   4500000 | PA      | $4451140.35    | 0.01%             | 2055-12-06      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2006-QS6 Trust                                                       | CUSIP: 74922EAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1415339 | PA      | $1162689.76    | 0.00%             | 2036-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2006-QS16 Trust                                                      | CUSIP: 74922LAH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    462337 | PA      | $370227.89     | 0.00%             | 2036-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2007-QS5 Trust                                                       | CUSIP: 74923JAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1053983 | PA      | $872333.06     | 0.00%             | 2037-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2007-QS5 Trust                                                       | CUSIP: 74923JAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    434811 | PA      | $332368.14     | 0.00%             | 2037-03-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2007-QS7 Trust                                                       | CUSIP: 74923WAK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5202487 | PA      | $1884191.04    | 0.01%             | 2037-06-25      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securities C | RASC Series 2007-EMX1 Trust                                                      | CUSIP: 74924XAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2399357 | PA      | $2556214.68    | 0.01%             | 2037-01-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I  | RFMSI Series 2007-S2 Trust                                                       | CUSIP: 749583AE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2532223 | PA      | $1948480.37    | 0.01%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2007-QS6 Trust                                                       | CUSIP: 75116CBW5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1747396 | PA      | $1446367.85    | 0.00%             | 2037-04-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Residential Asset Mortgage Pro | RAMP Series 2006-RS6 Trust                                                       | CUSIP: 75156QAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11236863 | PA      | $9281150.77    | 0.03%             | 2036-11-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| Residential Asset Mortgage Pro | RAMP Series 2004-RS7 Trust                                                       | CUSIP: 7609857K1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1258281 | PA      | $1123410.79    | 0.00%             | 2034-07-25      | Variable      | 5.44%                 | No            |                  2 | On Loan: No      |
| Residential Asset Mortgage Pro | RAMP Series 2006-RS2 Trust                                                       | CUSIP: 76112B2D1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3394098 | PA      | $3374966.76    | 0.01%             | 2036-03-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| Residential Mortgage Loan Trus | Residential Mortgage Loan Trust 2020-2                                           | CUSIP: 76123MAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6300000 | PA      | $6093984.96    | 0.02%             | 2060-05-25      | Variable      | 3.56%                 | No            |                  2 | On Loan: No      |
| Sabey Data Center Issuer LLC   | Sabey Data Center Issuer LLC                                                     | CUSIP: 78520EAK2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  32195000 | PA      | $32002625.22   | 0.10%             | 2051-01-20      | Fixed         | 5.48%                 | No            |                  2 | On Loan: No      |
| Santander Mortgage Asset Recei | Santander Mortgage Asset Receivable Trust 2026-NQM1                              | CUSIP: 802931AH8<br>LEI: 254900O64LWPVM9P8N80 | Long             | ABS-MBS          | CORP              | US        |   5553500 | PA      | $5498192.69    | 0.02%             | 2065-11-25      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-1 Trust   | CUSIP: 93934FKU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    518481 | PA      | $492054.78     | 0.00%             | 2036-02-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-8 Trust   | CUSIP: 93935EAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7086346 | PA      | $2457763.60    | 0.01%             | 2036-10-25      | Variable      | 4.07%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Alternative Loan T | Wells Fargo Alternative Loan 2007-PA2 Trust                                      | CUSIP: 94985FAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1363429 | PA      | $995633.32     | 0.00%             | 2037-06-25      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se | Wells Fargo Mortgage Backed Securities 2007-7 Trust                              | CUSIP: 94985JAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     87575 | PA      | $98623.33      | 0.00%             | 2037-06-25      | Floating      | 16.24%                | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag | Wells Fargo Commercial Mortgage Trust 2015-LC22                                  | CUSIP: 94989TBF0<br>LEI: 549300XO83D3BDYP0P62 | Long             | ABS-MBS          | CORP              | US        |    584308 | PA      | $557278.45     | 0.00%             | 2058-09-15      | Variable      | 4.73%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag | Wells Fargo Commercial Mortgage Trust 2016-LC24                                  | CUSIP: 95000HBM3<br>LEI: 5493007OD9MH69ES1S63 | Long             | ABS-MBS          | CORP              | US        |   5890000 | PA      | $5540116.33    | 0.02%             | 2049-10-15      | Variable      | 4.39%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag | Wells Fargo Commercial Mortgage Trust 2018-C43                                   | CUSIP: 95001LAV4<br>LEI: 549300RVQJTKIK3XGD11 | Long             | ABS-MBS          | CORP              | US        | 130202432 | PA      | $1242066.10    | 0.00%             | 2051-03-15      | Variable      | 0.57%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag | Wells Fargo Commercial Mortgage Trust 2019-C51                                   | CUSIP: 95001VAV2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  41945570 | PA      | $1395260.67    | 0.00%             | 2052-06-15      | Variable      | 1.26%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag | Wells Fargo Commercial Mortgage Trust 2019-C54                                   | CUSIP: 95001YAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 128302375 | PA      | $3317860.92    | 0.01%             | 2052-12-15      | Variable      | 0.83%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag | Wells Fargo Commercial Mortgage Trust 2025-C64                                   | CUSIP: 95004BAX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  64293296 | PA      | $4509345.30    | 0.01%             | 2058-02-15      | Variable      | 1.02%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag | Wells Fargo Commercial Mortgage Trust 2026-5C8                                   | CUSIP: 95005BAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  20418000 | PA      | $20637758.93   | 0.07%             | 2059-03-15      | Fixed         | 5.03%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382RFK9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  83378117 | PA      | $14014627.42   | 0.05%             | 2050-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382TB45<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  22456641 | PA      | $2595531.79    | 0.01%             | 2051-06-20      | Floating      | 2.51%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382TQ72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  91468222 | PA      | $16018363.29   | 0.05%             | 2051-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382UL33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  36569829 | PA      | $527216.25     | 0.00%             | 2051-06-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382WPN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  37244236 | PA      | $5277147.00    | 0.02%             | 2051-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382XAX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  63681593 | PA      | $6658572.82    | 0.02%             | 2051-08-20      | Floating      | 2.51%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2005-28                                          | CUSIP: 126694PM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    706022 | PA      | $347964.87     | 0.00%             | 2019-01-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| CARBON LEVEL MITIGATION TRUST  | Carbon Level Mitigation Trust Series 2021-3                                      | CUSIP: 14116CAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  16754897 | PA      | $10118315.73   | 0.03%             | 2051-09-08      | Variable      | 1.69%                 | No            |                  2 | On Loan: No      |
| Cedar Funding Ltd              | Cedar Funding IX CLO Ltd                                                         | CUSIP: 15033EAN8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  39100000 | PA      | $39136327.81   | 0.13%             | 2037-07-20      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| ChaseFlex Trust                | ChaseFlex Trust Series 2006-1                                                    | CUSIP: 16165LAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     88127 | PA      | $79250.82      | 0.00%             | 2036-06-25      | Variable      | 6.16%                 | No            |                  2 | On Loan: No      |
| GCAT                           | GCAT 2021-NQM2 Trust                                                             | CUSIP: 36166XAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7096000 | PA      | $5499935.04    | 0.02%             | 2066-05-25      | Variable      | 2.54%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae II Pool                                                               | CUSIP: 3622ABEL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  25356640 | PA      | $21845572.63   | 0.07%             | 2051-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae II Pool                                                               | CUSIP: 3622ABFV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10251161 | PA      | $8831655.68    | 0.03%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae II Pool                                                               | CUSIP: 3622ACDP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  19929244 | PA      | $17531322.75   | 0.06%             | 2052-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust        | GSR Mortgage Loan Trust 2005-6F                                                  | CUSIP: 362341EC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1489868 | PA      | $173327.47     | 0.00%             | 2035-07-25      | Floating      | 3.11%                 | No            |                  2 | On Loan: No      |
| GSMPS Mortgage Loan Trust      | GSMPS Mortgage Loan Trust 2005-RP2                                               | CUSIP: 36242DT52<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4970552 | PA      | $4643866.91    | 0.01%             | 2035-03-25      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust   | GS Mortgage Securities Corp Trust 2018-TWR                                       | CUSIP: 36251SAQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11950000 | PA      | $627249.53     | 0.00%             | 2031-07-15      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust   | GS Mortgage Securities Trust 2019-GC38                                           | CUSIP: 36252SAX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  51430520 | PA      | $1255022.97    | 0.00%             | 2052-02-10      | Variable      | 1.01%                 | No            |                  2 | On Loan: No      |
| SPGN TFLM Mortgage Trust       | SPGN Trust 2026-TFLM                                                             | CUSIP: 847946AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  17830000 | PA      | $17756732.96   | 0.06%             | 2041-02-15      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| SREIT Trust                    | SREIT Trust 2021-MFP2                                                            | CUSIP: 85236WCE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  16175000 | PA      | $16167457.60   | 0.05%             | 2036-11-15      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| Start Ltd.                     | Start Ltd/Bermuda                                                                | CUSIP: 85572RAA7<br>LEI: 549300VIQYFIDJQCKZ43 | Long             | ABS-O            | CORP              | US        |   1868077 | PA      | $1928607.80    | 0.01%             | 2043-05-15      | Fixed         | 4.09%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137B0F33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10320447 | PA      | $8457552.68    | 0.03%             | 2043-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137B0U93<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3675999 | PA      | $3477347.01    | 0.01%             | 2033-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2008-2                                                     | CUSIP: 52522UAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3149072 | PA      | $725280.41     | 0.00%             | 2038-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Loanpal Solar Loan Ltd.        | Loanpal Solar Loan 2021-1 Ltd                                                    | CUSIP: 53948PAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1151556 | PA      | $878697.46     | 0.00%             | 2048-01-20      | Fixed         | 2.84%                 | No            |                  2 | On Loan: No      |
| WENDYS FUNDING LLC             | Wendy's Funding LLC                                                              | CUSIP: 95058XAH1<br>LEI: 5493009DRVSTWJOXUL48 | Long             | ABS-O            | CORP              | US        |  18425062 | PA      | $17744659.53   | 0.06%             | 2049-06-15      | Fixed         | 4.08%                 | No            |                  2 | On Loan: No      |
| Willis Engine Securitization T | Willis Engine Structured Trust IX                                                | CUSIP: 970910AA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5397884 | PA      | $5363229.64    | 0.02%             | 2050-12-15      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382XFW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12394304 | PA      | $2013283.56    | 0.01%             | 2051-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38383A6H2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  36019769 | PA      | $6891529.13    | 0.02%             | 2051-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137B2SU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  40143373 | PA      | $27264335.53   | 0.09%             | 2043-06-15      | Floating      | 0.86%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137BMPU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  22343996 | PA      | $21538756.85   | 0.07%             | 2044-04-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mort | First Horizon Alternative Mortgage Securities Trust 2006-FA2                     | CUSIP: 32051G2Z7<br>LEI: 549300C1T80OPZQ1IW57 | Long             | ABS-MBS          | CORP              | US        |   1164291 | PA      | $417993.60     | 0.00%             | 2036-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FirstKey Homes  2021-SFR3 Trus | FirstKey Homes 2021-SFR3 Trust                                                   | CUSIP: 33768JAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  34891000 | PA      | $34316041.68   | 0.11%             | 2038-12-17      | Fixed         | 2.44%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3138WEJ26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6258006 | PA      | $5953501.67    | 0.02%             | 2035-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3138WEM71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5252956 | PA      | $4995032.28    | 0.02%             | 2035-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31417EXF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8934797 | PA      | $8197695.54    | 0.03%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31417YJJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    292660 | PA      | $293840.25     | 0.00%             | 2029-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Long Beach Mortgage Loan Trust | Long Beach Mortgage Loan Trust 2006-6                                            | CUSIP: 54251RAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  22112105 | PA      | $15820813.04   | 0.05%             | 2036-07-25      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| MF1 Multifamily Housing Mortga | MF1 2025-FL17 LLC                                                                | CUSIP: 55287HAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  24647000 | PA      | $24712881.43   | 0.08%             | 2040-02-18      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31417YVJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2247492 | PA      | $2230461.58    | 0.01%             | 2031-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31418AFJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    941226 | PA      | $880991.53     | 0.00%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38383AAR5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  19602434 | PA      | $2860140.25    | 0.01%             | 2051-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38383CS27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  33235614 | PA      | $5294430.05    | 0.02%             | 2051-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2007-15                                          | CUSIP: 17025TAR2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    430867 | PA      | $249137.57     | 0.00%             | 2037-09-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust  | Citigroup Mortgage Loan Trust 2021-RP2                                           | CUSIP: 17329JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 206199610 | PA      | $185900041.73  | 0.60%             | 2065-03-25      | Variable      | 1.75%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust   | GS Mortgage Securities Trust 2018-GS9                                            | CUSIP: 36255NAV7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 187345444 | PA      | $1144043.69    | 0.00%             | 2051-03-10      | Variable      | 0.41%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust        | GSR Mortgage Loan Trust 2006-OA1                                                 | CUSIP: 362631AE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  28008092 | PA      | $4212467.38    | 0.01%             | 2046-08-25      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| MFT Trust                      | MFT Trust 2020-ABC                                                               | CUSIP: 55317BAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4317000 | PA      | $3325736.24    | 0.01%             | 2042-02-10      | Variable      | 3.48%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust | Morgan Stanley Capital I Trust 2019-L3                                           | CUSIP: 61691UBH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3845000 | PA      | $3627793.64    | 0.01%             | 2052-11-15      | Fixed         | 3.49%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T | Morgan Stanley Mortgage Loan Trust 2006-7                                        | CUSIP: 61749JAM8<br>LEI: 549300E4V6DCTUJSC749 | Long             | ABS-MBS          | CORP              | US        |   1345555 | PA      | $548275.36     | 0.00%             | 2036-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust     | Progress Residential 2021-SFR8 Trust                                             | CUSIP: 74333TAL3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  23900000 | PA      | $23563784.36   | 0.08%             | 2038-10-17      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2006-QS4 Trust                                                       | CUSIP: 749228AH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    783306 | PA      | $656860.98     | 0.00%             | 2036-04-25      | Floating      | 8.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2006-QS4 Trust                                                       | CUSIP: 749228AJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3098148 | PA      | $2529862.92    | 0.01%             | 2036-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2006-QS6 Trust                                                       | CUSIP: 74922EAR0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    975569 | PA      | $801422.42     | 0.00%             | 2036-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2007-QS1 Trust                                                       | CUSIP: 74922KAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6078461 | PA      | $463201.25     | 0.00%             | 2037-01-25      | Floating      | 1.66%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38383PYC9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  22562879 | PA      | $18570772.41   | 0.06%             | 2051-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust | HarborView Mortgage Loan Trust 2005-2                                            | CUSIP: 41161PLQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5126701 | PA      | $1333290.28    | 0.00%             | 2035-05-19      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust | HarborView Mortgage Loan Trust 2005-8                                            | CUSIP: 41161PQS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  20329400 | PA      | $9191218.52    | 0.03%             | 2035-09-19      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loans Trust  | MASTR Alternative Loan Trust 2007-1                                              | CUSIP: 55275SAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    558486 | PA      | $545228.19     | 0.00%             | 2036-10-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                     | MFA 2026-NQM1 Trust                                                              | CUSIP: 55287YAL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $2002262.00    | 0.01%             | 2071-02-25      | Variable      | 5.59%                 | No            |                  2 | On Loan: No      |
| MFT Trust                      | MFT Trust 2020-ABC                                                               | CUSIP: 55317BAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9417000 | PA      | $7932096.36    | 0.03%             | 2042-02-10      | Fixed         | 3.36%                 | No            |                  2 | On Loan: No      |
| Magnetite CLO Ltd              | Magnetite XXXIV Ltd                                                              | CUSIP: 55952MAJ2<br>LEI: 5493007RY5PFZOE8RF76 | Long             | ABS-CBDO         | CORP              | US        |  12430000 | PA      | $12402032.50   | 0.04%             | 2038-01-15      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Marble Point CLO LTD           | Marble Point CLO XVII Ltd                                                        | CUSIP: 56606CAL7<br>LEI: 2549003LUS5LG1CTZP23 | Long             | ABS-CBDO         | CORP              | US        |   5000000 | PA      | $5003405.00    | 0.02%             | 2037-07-20      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Alternative Note | Merrill Lynch Alternative Note Asset Trust Series 2007-A3                        | CUSIP: 59024HAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  18452228 | PA      | $6771616.94    | 0.02%             | 2037-04-25      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investo | Merrill Lynch Mortgage Investors Trust Series 2007-HE2                           | CUSIP: 59024LAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  67725651 | PA      | $31215504.45   | 0.10%             | 2037-02-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch First Franklin M | Merrill Lynch First Franklin Mortgage Loan Trust Series 2007-H1                  | CUSIP: 59025TAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1770380 | PA      | $1743004.34    | 0.01%             | 2037-10-25      | Floating      | 7.29%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust | Morgan Stanley Capital I Trust 2017-H1                                           | CUSIP: 61691JAW4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 123917353 | PA      | $1288120.88    | 0.00%             | 2050-06-15      | Variable      | 1.27%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust | Morgan Stanley Capital I Trust 2019-L3                                           | CUSIP: 61691UAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  15090000 | PA      | $556682.17     | 0.00%             | 2052-11-15      | Variable      | 1.15%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust | Morgan Stanley Capital I Trust 2019-NUGS                                         | CUSIP: 61692AAL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3355000 | PA      | $71899.33      | 0.00%             | 2036-12-15      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T | Morgan Stanley Mortgage Loan Trust 2006-16AX                                     | CUSIP: 617487AC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6301261 | PA      | $1730423.88    | 0.01%             | 2036-11-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T | Morgan Stanley Mortgage Loan Trust 2006-17XS                                     | CUSIP: 61751DAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4822183 | PA      | $1307200.36    | 0.00%             | 2046-10-25      | Variable      | 6.15%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T | Morgan Stanley Mortgage Loan Trust 2006-17XS                                     | CUSIP: 61751DAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1688964 | PA      | $376991.44     | 0.00%             | 2046-10-25      | Variable      | 6.08%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ReRemic Trust   | Morgan Stanley Re-REMIC Trust 2013-R2                                            | CUSIP: 61761YAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5005250 | PA      | $4459951.41    | 0.01%             | 2036-10-26      | Variable      | 3.84%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust      | Morgan Stanley Bank of America Merrill Lynch Trust 2013-C11                      | CUSIP: 61762TAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7242530 | PA      | $7020476.10    | 0.02%             | 2046-08-15      | Variable      | 3.89%                 | No            |                  2 | On Loan: No      |
| Mosaic Solar Loans LLC         | Mosaic Solar Loan Trust 2019-1                                                   | CUSIP: 61946CAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1060483 | PA      | $1001850.95    | 0.00%             | 2043-12-21      | Fixed         | 4.37%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust   | GS Mortgage Securities Trust 2019-GSA1                                           | CUSIP: 36261PAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  21600000 | PA      | $709862.40     | 0.00%             | 2052-11-10      | Variable      | 1.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities  | GS Mortgage-Backed Securities Trust 2025-NQM5                                    | CUSIP: 36273GAD0<br>LEI: 254900MQ3DUBXKU1DC81 | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $990119.00     | 0.00%             | 2065-07-25      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38380RQU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  63556348 | PA      | $4803245.61    | 0.02%             | 2063-05-16      | Variable      | 0.99%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38380RWA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  25149577 | PA      | $1778329.12    | 0.01%             | 2062-12-16      | Variable      | 1.03%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38380RWD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  73076543 | PA      | $6015661.04    | 0.02%             | 2062-12-16      | Variable      | 1.20%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38380RYD6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  28300966 | PA      | $2223357.88    | 0.01%             | 2062-08-16      | Variable      | 1.14%                 | No            |                  2 | On Loan: No      |
| Accredited Mortgage Loan Trust | Accredited Mortgage Loan Trust 2006-1                                            | CUSIP: 004375EY3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12875000 | PA      | $10566521.51   | 0.03%             | 2036-04-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| Ace Securities Corp.           | ACE Securities Corp Home Equity Loan Trust Series 2007-HE1                       | CUSIP: 00443LAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8974344 | PA      | $5466321.20    | 0.02%             | 2037-01-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan  | CitiMortgage Alternative Loan Trust Series 2006-A5                               | CUSIP: 18974BAU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1156195 | PA      | $972900.73     | 0.00%             | 2036-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FBR Securitization Trust       | FBR Securitization Trust 2005-2                                                  | CUSIP: 30246QAK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  22750000 | PA      | $20737491.78   | 0.07%             | 2035-09-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381D6B1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  55342513 | PA      | $3763484.55    | 0.01%             | 2063-11-16      | Variable      | 0.92%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381DW22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  14250756 | PA      | $1025713.80    | 0.00%             | 2063-05-16      | Variable      | 0.99%                 | No            |                  2 | On Loan: No      |
| Aspire Mortgage Trust          | Aspire Mortgage Trust 2026-1                                                     | CUSIP: 04539FAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1650000 | PA      | $1654885.65    | 0.01%             | 2066-01-25      | Variable      | 5.40%                 | No            |                  2 | On Loan: No      |
| BXP Trust                      | BXP Trust 2017-GM                                                                | CUSIP: 056083AG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9818000 | PA      | $9624719.91    | 0.03%             | 2039-06-13      | Variable      | 3.42%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38383CUX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  41653078 | PA      | $5983539.70    | 0.02%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38383CVF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  28735544 | PA      | $4199329.05    | 0.01%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                 | CUSIP: 3132A5H32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5363423 | PA      | $4815120.36    | 0.02%             | 2048-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                 | CUSIP: 3132DQKY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  26073660 | PA      | $23146204.36   | 0.07%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BX Trust                       | BX Trust 2025-ARIA                                                               | CUSIP: 05619TAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  15810892 | PA      | $15780463.94   | 0.05%             | 2042-12-13      | Variable      | 5.52%                 | No            |                  2 | On Loan: No      |
| BXMT Ltd                       | BXMT 2026-FL6 Ltd                                                                | CUSIP: 05620AAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  16890000 | PA      | $16905961.05   | 0.05%             | 2043-08-19      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor | Banc of America Funding 2007-3 Trust                                             | CUSIP: 059515AB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    518128 | PA      | $445955.54     | 0.00%             | 2037-04-25      | Variable      | 5.83%                 | No            |                  2 | On Loan: No      |
| Bank                           | BANK 2025-BNK50                                                                  | CUSIP: 064908AT3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 119819655 | PA      | $3279619.73    | 0.01%             | 2068-05-15      | Variable      | 0.34%                 | No            |                  2 | On Loan: No      |
| Thornburg Mortgage Securities  | Thornburg Mortgage Securities Trust 2003-6                                       | CUSIP: 885220EQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     67507 | PA      | $66172.39      | 0.00%             | 2033-12-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Trackside Rail, LLC            | Trackside Rail LLC                                                               | CUSIP: 89239YAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  30450000 | PA      | $30135530.67   | 0.10%             | 2056-03-20      | Fixed         | 4.89%                 | No            |                  2 | On Loan: No      |
| Tricon American Homes          | Tricon American Homes 2020-SFR1                                                  | CUSIP: 89613GAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8900000 | PA      | $8824939.18    | 0.03%             | 2038-07-17      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| Tricon Residential             | Tricon Residential 2025-SFR2 Trust                                               | CUSIP: 89617FAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  14512567 | PA      | $14434263.25   | 0.05%             | 2044-08-17      | Fixed         | 5.42%                 | No            |                  2 | On Loan: No      |
| Tricon Residential             | Tricon Residential 2025-SFR2 Trust                                               | CUSIP: 89617FAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  21478640 | PA      | $21207005.60   | 0.07%             | 2044-08-17      | Fixed         | 5.67%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                                                 | CUSIP: 912810SQ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 192386000 | PA      | $120000767.50  | 0.39%             | 2040-08-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| Upgrade Master Pass-Thru Trust | Upgrade Master Pass-Thru Trust                                                   | CUSIP: 91531XAD6<br>LEI: 54930089533DCF1JSH22 | Long             | ABS-O            | CORP              | US        |    119323 | PA      | $112675.21     | 0.00%             | 2027-07-15      | Variable      | 32.49%                | No            |                  2 | On Loan: No      |
| Upgrade Master Pass-Thru Trust | Upgrade Master Pass-Thru Trust Series 2025-ST1                                   | CUSIP: 91533KAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3587963 | PA      | $3596072.00    | 0.01%             | 2032-04-15      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust     | Verus Securitization Trust 2025-12                                               | CUSIP: 92490FAN0<br>LEI: 2138009XAW9T934GL239 | Long             | ABS-MBS          | CORP              | US        |   2898000 | PA      | $2871920.32    | 0.01%             | 2070-12-25      | Variable      | 5.76%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust     | Verus Securitization Trust 2026-R1                                               | CUSIP: 924932AG1<br>LEI: 213800IRNLDELLG4XV07 | Long             | ABS-MBS          | CORP              | US        |   5144507 | PA      | $5103489.67    | 0.02%             | 2067-10-25      | Variable      | 5.18%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3138WJFK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13022999 | PA      | $11744437.07   | 0.04%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3138WJGQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11775697 | PA      | $10797470.08   | 0.03%             | 2041-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3138YHXZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5282516 | PA      | $4741980.83    | 0.02%             | 2045-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31398MUE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    905797 | PA      | $915241.24     | 0.00%             | 2040-03-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31398RQ81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1870728 | PA      | $1889192.49    | 0.01%             | 2040-06-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31403C6L0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1490569 | PA      | $1505367.23    | 0.00%             | 2036-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31418AGB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2489637 | PA      | $2324136.81    | 0.01%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31418BQA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8679916 | PA      | $7727255.13    | 0.02%             | 2045-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust        | GSR Mortgage Loan Trust 2007-4F                                                  | CUSIP: 362669BM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10628770 | PA      | $6593053.91    | 0.02%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities  | GS Mortgage-Backed Securities Trust 2025-NQM2                                    | CUSIP: 36272EAC8<br>LEI: 254900WJFO182DZH8M35 | Long             | ABS-MBS          | CORP              | US        |   4710975 | PA      | $4733235.80    | 0.02%             | 2065-06-25      | Variable      | 5.90%                 | No            |                  2 | On Loan: No      |
| Mosaic Solar Loans LLC         | Mosaic Solar Loans 2017-2 LLC                                                    | CUSIP: 61946GAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8148882 | PA      | $7710426.19    | 0.02%             | 2043-06-22      | Fixed         | 3.82%                 | No            |                  2 | On Loan: No      |
| NYT Mortgage Trust             | BF 2019-NYT Mortgage Trust                                                       | CUSIP: 62954PAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  16882000 | PA      | $15854390.97   | 0.05%             | 2035-12-15      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| Nomura Resecuritization Trust  | Nomura Resecuritization Trust 2015-4R                                            | CUSIP: 65540WCD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8030744 | PA      | $6110537.33    | 0.02%             | 2036-03-26      | Floating      | 3.66%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                    | OCP CLO 2017-13 Ltd                                                              | CUSIP: 67097LAV8<br>LEI: 254900M77QLN2EBJHE11 | Long             | ABS-CBDO         | CORP              | US        |  23500000 | PA      | $23523156.90   | 0.08%             | 2037-11-26      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| Option One Mortgage Loan Trust | Option One Mortgage Loan Trust 2007-1                                            | CUSIP: 68400DAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4879655 | PA      | $2840011.13    | 0.01%             | 2037-01-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| Research-Driven Pagaya Motor A | Research-Driven Pagaya Motor Asset Trust IV                                      | CUSIP: 76088LAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7229424 | PA      | $7188236.62    | 0.02%             | 2030-03-25      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2005-QS12 Trust                                                      | CUSIP: 761118DY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    136065 | PA      | $132633.40     | 0.00%             | 2035-08-25      | Floating      | 9.43%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2005-QS15 Trust                                                      | CUSIP: 761118KH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1081148 | PA      | $954513.80     | 0.00%             | 2035-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2005-QS16 Trust                                                      | CUSIP: 761118MB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    994783 | PA      | $35680.89      | 0.00%             | 2035-11-25      | Floating      | 1.01%                 | No            |                  2 | On Loan: No      |
| Stack Infrastructure Issuer LL | Stack Infrastructure Issuer LLC                                                  | CUSIP: 85236KAP7<br>LEI: 254900AV7V87H3A2WM57 | Long             | ABS-O            | CORP              | US        |  17050000 | PA      | $16823199.20   | 0.05%             | 2050-05-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Structured Asset Investment Lo | Structured Asset Investment Loan Trust 2006-3                                    | CUSIP: 863587AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  60434017 | PA      | $38010059.35   | 0.12%             | 2036-06-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| Structured Asset Investment Lo | Structured Asset Investment Loan Trust 2006-4                                    | CUSIP: 86360WAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7174893 | PA      | $4183530.89    | 0.01%             | 2036-07-25      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mor | Structured Adjustable Rate Mortgage Loan Trust Series 2006-12                    | CUSIP: 86362RAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1744599 | PA      | $1265206.86    | 0.00%             | 2037-01-25      | Variable      | 4.41%                 | No            |                  2 | On Loan: No      |
| Sunnova Sol Issuer,LLC         | Sunnova Sol II Issuer LLC                                                        | CUSIP: 86745PAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  13525353 | PA      | $11754653.41   | 0.04%             | 2055-11-01      | Fixed         | 2.73%                 | No            |                  2 | On Loan: No      |
| Switch ABS Issuer, LLC         | Switch ABS Issuer LLC                                                            | CUSIP: 871044AG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8500000 | PA      | $8383656.25    | 0.03%             | 2054-06-25      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| TLWND 2019-1                   | GAIA Aviation Ltd                                                                | CUSIP: 87404LAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | IE        |   7110834 | PA      | $7018834.18    | 0.02%             | 2044-12-15      | Variable      | 3.97%                 | No            |                  2 | On Loan: No      |
| Thornburg Mortgage Securities  | Thornburg Mortgage Securities Trust 2007-1                                       | CUSIP: 88522EAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4049032 | PA      | $3417922.04    | 0.01%             | 2037-03-25      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| Tricon Residential             | Tricon Residential 2021-SFR1 Trust                                               | CUSIP: 89614YAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11300000 | PA      | $11222409.68   | 0.04%             | 2038-07-17      | Fixed         | 3.69%                 | No            |                  2 | On Loan: No      |
| Trimaran CAVU Ltd              | Trimaran Cavu 2021-3 Ltd                                                         | CUSIP: 89624GAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  20000000 | PA      | $20012712.00   | 0.06%             | 2035-01-18      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                                                 | CUSIP: 912810TC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  19400000 | PA      | $13423132.76   | 0.04%             | 2041-11-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| VCAT Asset Securitization, LLC | VCAT 2026-NPL1 LLC                                                               | CUSIP: 91825GAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6838083 | PA      | $6804961.37    | 0.02%             | 2056-01-25      | Variable      | 5.10%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo | Velocity Commercial Capital Loan Trust 2018-2                                    | CUSIP: 92259BAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4392499 | PA      | $4302382.13    | 0.01%             | 2048-10-26      | Variable      | 4.05%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo | Velocity Commercial Capital Loan Trust 2024-2                                    | CUSIP: 92259QAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3810316 | PA      | $3849617.96    | 0.01%             | 2054-06-25      | Variable      | 6.65%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust     | Verus Securitization Trust 2026-3                                                | CUSIP: 92490HAL0<br>LEI: 213800WC8BFD1C25XM36 | Long             | ABS-MBS          | CORP              | US        |  11500000 | PA      | $11492720.50   | 0.04%             | 2071-03-25      | Variable      | 5.55%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust     | Verus Securitization Trust 2025-8                                                | CUSIP: 924930AH3<br>LEI: 213800K8E68XJS6Z1D09 | Long             | ABS-MBS          | CORP              | US        |   4127000 | PA      | $4129628.07    | 0.01%             | 2070-09-25      | Fixed         | 5.73%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust     | Verus Securitization Trust 2026-R1                                               | CUSIP: 924932AJ5<br>LEI: 213800IRNLDELLG4XV07 | Long             | ABS-MBS          | CORP              | US        |   4617000 | PA      | $4522580.04    | 0.01%             | 2067-10-25      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| Vibrant CLO Ltd                | Vibrant Clo XR Ltd                                                               | CUSIP: 92563MAA5<br>LEI: 254900WDQ070GAG88491 | Long             | ABS-CBDO         | CORP              | US        |  60500000 | PA      | $60558279.65   | 0.19%             | 2036-04-20      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Voyager OPTONE Delaware Trust  | Voyager OPTONE Delaware Trust                                                    | CUSIP: 92911FAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5428370 | PA      | $4128384.65    | 0.01%             | 2038-02-25      | Variable      | 6.13%                 | No            |                  2 | On Loan: No      |
| WF-RBS COMMERCIAL MORTGAGE TRU | WFRBS Commercial Mortgage Trust 2014-C21                                         | CUSIP: 92939FAX7<br>LEI: 5493000F7E2NMQ4HIO61 | Long             | ABS-MBS          | CORP              | US        |   7163576 | PA      | $7066171.42    | 0.02%             | 2047-08-15      | Variable      | 4.21%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se | Wells Fargo Mortgage Backed Securities 2007-7 Trust                              | CUSIP: 94985JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    809189 | PA      | $749162.92     | 0.00%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38383JCQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        | 249142476 | PA      | $18864943.70   | 0.06%             | 2067-09-16      | Variable      | 0.85%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38383L7D6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  46580471 | PA      | $9307085.57    | 0.03%             | 2052-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                 | CUSIP: 3132DQM60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  31476603 | PA      | $31957235.13   | 0.10%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                 | CUSIP: 3132DTG20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9422591 | PA      | $9789820.18    | 0.03%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se | Wells Fargo Mortgage Backed Securities 2007-7 Trust                              | CUSIP: 94985JBH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     56278 | PA      | $51591.20      | 0.00%             | 2037-06-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se | Wells Fargo Mortgage Backed Securities 2007-7 Trust                              | CUSIP: 94985JBK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1822235 | PA      | $1687059.74    | 0.01%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip               | Freddie Mac Strips                                                               | CUSIP: 3132HT3B0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3885389 | PA      | $3544872.27    | 0.01%             | 2044-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                 | CUSIP: 3132XFLW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  19180000 | PA      | $19175681.43   | 0.06%             | 2029-12-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Bank5                          | BANK5 2024-5YR8                                                                  | CUSIP: 065923AY0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2221000 | PA      | $2304225.76    | 0.01%             | 2057-08-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Bank5                          | BANK5 2024-5YR10                                                                 | CUSIP: 06604AAP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8169000 | PA      | $8370362.58    | 0.03%             | 2057-10-15      | Variable      | 6.14%                 | No            |                  2 | On Loan: No      |
| BX Trust                       | BX Commercial Mortgage Trust 2025-BCAT                                           | CUSIP: 12433HAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11518584 | PA      | $11534055.49   | 0.04%             | 2042-08-15      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trus | CSAIL 2017-C8 Commercial Mortgage Trust                                          | CUSIP: 12595BAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 125383572 | PA      | $884731.56     | 0.00%             | 2050-06-15      | Variable      | 1.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140F5AD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12693768 | PA      | $11454111.58   | 0.04%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140FXNH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  26701742 | PA      | $24159036.22   | 0.08%             | 2053-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140J1CB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  39579626 | PA      | $33343127.48   | 0.11%             | 2032-09-01      | Fixed         | 1.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140J2J64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10307106 | PA      | $7439403.47    | 0.02%             | 2050-12-01      | Fixed         | 2.23%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140J93H2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  14709199 | PA      | $13269742.68   | 0.04%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140JAHK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  23016081 | PA      | $20751612.64   | 0.07%             | 2047-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2006-QS16 Trust                                                      | CUSIP: 74922LAK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    412186 | PA      | $330068.32     | 0.00%             | 2036-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2007-QS4 Trust                                                       | CUSIP: 74923HAM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2393447 | PA      | $2066241.56    | 0.01%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2007-QS5 Trust                                                       | CUSIP: 74923JAH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1444107 | PA      | $184872.69     | 0.00%             | 2037-03-25      | Floating      | 2.91%                 | No            |                  2 | On Loan: No      |
| RBSSP Resecuritization Trust   | RBSSP Resecuritization Trust 2009-12                                             | CUSIP: 74928UCD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10645342 | PA      | $9608235.80    | 0.03%             | 2035-12-25      | Variable      | 4.60%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities  | GS Mortgage-Backed Securities Corp Trust 2025-NQM6                               | CUSIP: 362933AE3<br>LEI: 254900X1ABPQ6D4G6D07 | Long             | ABS-MBS          | CORP              | US        |  12327628 | PA      | $12288168.07   | 0.04%             | 2066-02-25      | Variable      | 5.28%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust        | GSR Mortgage Loan Trust 2006-6F                                                  | CUSIP: 36298BAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3988008 | PA      | $2169813.31    | 0.01%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38374DPK9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1454894 | PA      | $95525.44      | 0.00%             | 2038-01-16      | Floating      | 2.71%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38374GU91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    741893 | PA      | $745929.45     | 0.00%             | 2034-06-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38383RWC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5944000 | PA      | $4737331.15    | 0.02%             | 2052-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38383YKB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  93349311 | PA      | $6472346.46    | 0.02%             | 2064-08-16      | Variable      | 0.89%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38384KAC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  28197923 | PA      | $27294642.27   | 0.09%             | 2063-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38384W6C4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  26382716 | PA      | $3639785.82    | 0.01%             | 2048-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                 | CUSIP: 3132XGR99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  23179951 | PA      | $23494889.78   | 0.08%             | 2030-01-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                 | Fannie Mae-Aces                                                                  | CUSIP: 3136BQDH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     68756 | PA      | $68580.01      | 0.00%             | 2033-07-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BTBD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8416238 | PA      | $8460468.59    | 0.03%             | 2054-10-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BVXA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  62360483 | PA      | $62574685.16   | 0.20%             | 2055-05-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BYCS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  52472673 | PA      | $52605124.23   | 0.17%             | 2055-12-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137AFT28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8402345 | PA      | $8182950.01    | 0.03%             | 2041-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137ALRB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1994943 | PA      | $1923054.74    | 0.01%             | 2042-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137BAP48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6725345 | PA      | $6146397.86    | 0.02%             | 2044-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137BGBA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4623820 | PA      | $213987.15     | 0.00%             | 2044-07-15      | Floating      | 1.81%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137BGJ91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11987294 | PA      | $10595485.44   | 0.03%             | 2045-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137BSSB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11656348 | PA      | $10869818.87   | 0.03%             | 2056-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137F4TC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6358034 | PA      | $5921141.32    | 0.02%             | 2048-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137F5A74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4734416 | PA      | $779188.78     | 0.00%             | 2048-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137F5A82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  15272310 | PA      | $12090797.65   | 0.04%             | 2048-05-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31418CDL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  32667314 | PA      | $29468570.07   | 0.09%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31418DUR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  67167177 | PA      | $52883705.68   | 0.17%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137F5NR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6059813 | PA      | $4616469.17    | 0.01%             | 2048-05-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137F6U47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  28018779 | PA      | $4355507.96    | 0.01%             | 2050-11-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust            | COMM 2015-DC1 Mortgage Trust                                                     | CUSIP: 12629NAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  17822000 | PA      | $15830756.85   | 0.05%             | 2048-02-10      | Variable      | 4.28%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-13CB                                                 | CUSIP: 12667GAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3982987 | PA      | $3197417.30    | 0.01%             | 2035-05-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae II Pool                                                               | CUSIP: 3622AAZP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10623516 | PA      | $8573139.65    | 0.03%             | 2051-01-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae II Pool                                                               | CUSIP: 3622ABDN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  43340945 | PA      | $37398504.69   | 0.12%             | 2051-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137F86C2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  20936197 | PA      | $3137628.31    | 0.01%             | 2051-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137F8YK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10295880 | PA      | $8521410.18    | 0.03%             | 2050-05-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae II Pool                                                               | CUSIP: 3622ABG22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  44133819 | PA      | $39180568.81   | 0.13%             | 2051-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust   | GS Mortgage Securities Corp Trust 2018-TWR                                       | CUSIP: 36251SAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3897000 | PA      | $409144.08     | 0.00%             | 2031-07-15      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust   | GS Mortgage Securities Corp Trust 2018-TWR                                       | CUSIP: 36251SAU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4648000 | PA      | $46433.52      | 0.00%             | 2031-07-15      | Floating      | 7.89%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities  | GS Mortgage-Backed Securities Trust 2026-NQM1                                    | CUSIP: 36276EAF7<br>LEI: 254900WEVNJASLS4UV47 | Long             | ABS-MBS          | CORP              | US        |   3152202 | PA      | $3137098.85    | 0.01%             | 2066-03-25      | Variable      | 5.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382KVX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  22110230 | PA      | $3235290.46    | 0.01%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382KYS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  47090005 | PA      | $6807335.85    | 0.02%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382LBH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  59000796 | PA      | $8587890.36    | 0.03%             | 2050-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382LZ87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  21999992 | PA      | $2433581.90    | 0.01%             | 2050-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382MJ42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  68980423 | PA      | $8341030.01    | 0.03%             | 2051-01-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382RCM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6665682 | PA      | $5921507.53    | 0.02%             | 2050-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38384MMA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  16894974 | PA      | $2578715.41    | 0.01%             | 2051-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38384TRZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  20000000 | PA      | $20084365.00   | 0.06%             | 2068-11-16      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| GreenPoint Mortgage Funding Tr | GreenPoint Mortgage Funding Trust Series 2007-AR2                                | CUSIP: 39539LAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13105553 | PA      | $11701672.67   | 0.04%             | 2047-04-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust | HarborView Mortgage Loan Trust 2006-8                                            | CUSIP: 41161GAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  48642358 | PA      | $23469597.40   | 0.08%             | 2036-07-21      | Floating      | 3.99%                 | No            |                  2 | On Loan: No      |
| IndyMac IMJA Mortgage Loan Tru | IndyMac IMJA Mortgage Loan Trust 2007-A1                                         | CUSIP: 456652AG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2269731 | PA      | $789212.33     | 0.00%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Acquisition | JP Morgan Mortgage Acquisition Trust 2006-RM1                                    | CUSIP: 46629NAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  19513836 | PA      | $8612261.54    | 0.03%             | 2036-08-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| Jamestown CLO Ltd              | Jamestown CLO XI Ltd                                                             | CUSIP: 47049QAC0<br>LEI: 549300ICXRO4NIJIWJ29 | Long             | ABS-CBDO         | CORP              | US        |   6000000 | PA      | $6003285.00    | 0.02%             | 2031-07-14      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| SFS Auto Receivables Securitiz | SFS Auto Receivables Securitization Trust 2024-3                                 | CUSIP: 78436XAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11300000 | PA      | $11365512.88   | 0.04%             | 2031-11-20      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust         | SLM Private Credit Student Loan Trust 2006-A                                     | CUSIP: 78443CCL6<br>LEI: 549300I2YWZ9E1B0EY33 | Long             | ABS-O            | CORP              | US        |   2962746 | PA      | $2890986.35    | 0.01%             | 2039-06-15      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| SG Mortgage Securities Trust   | SG Mortgage Securities Trust 2006-FRE1                                           | CUSIP: 81879MAS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1288475 | PA      | $1270658.75    | 0.00%             | 2036-02-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| SOFI CONSUMER LOAN PROGRAM TRU | SoFi Consumer Loan Program 2025-2 Trust                                          | CUSIP: 83407HAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  14350000 | PA      | $14464547.44   | 0.05%             | 2034-06-25      | Fixed         | 5.22%                 | No            |                  2 | On Loan: No      |
| Soundview Home Equity Loan Tru | Soundview Home Loan Trust 2007-NS1                                               | CUSIP: 83612QAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11323982 | PA      | $11860285.68   | 0.04%             | 2037-01-25      | Floating      | 4.32%                 | No            |                  2 | On Loan: No      |
| Soundview Home Equity Loan Tru | Soundview Home Loan Trust 2007-OPT4                                              | CUSIP: 83613AAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  16336057 | PA      | $12223807.39   | 0.04%             | 2037-09-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                                            | CUSIP: 3128MADJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9939549 | PA      | $9617153.12    | 0.03%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136A0DW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2555449 | PA      | $2409422.27    | 0.01%             | 2041-08-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136A7QB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13913582 | PA      | $13096501.38   | 0.04%             | 2042-08-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136A8UD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9979234 | PA      | $9167796.96    | 0.03%             | 2042-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136A9GU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12752410 | PA      | $12150657.77   | 0.04%             | 2042-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136AHF39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  16962973 | PA      | $15254301.29   | 0.05%             | 2044-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136AQJ43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2034878 | PA      | $1816512.73    | 0.01%             | 2046-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136B1RS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12885823 | PA      | $9402316.23    | 0.03%             | 2048-04-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BG5E7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  76136725 | PA      | $2202536.49    | 0.01%             | 2049-10-25      | Floating      | 0.09%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BJNN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  27127655 | PA      | $2908917.46    | 0.01%             | 2051-10-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BKTP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  19353732 | PA      | $17179605.62   | 0.06%             | 2049-03-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BS6J9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  41900324 | PA      | $42043664.51   | 0.14%             | 2054-10-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-48T1                                                 | CUSIP: 12668AFH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3352359 | PA      | $1793755.45    | 0.01%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fort Greene Park CLO           | Fort Greene Park CLO LLC                                                         | CUSIP: 18914KAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  28910000 | PA      | $28872492.17   | 0.09%             | 2034-04-22      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| Crown City CLO                 | Crown City CLO III                                                               | CUSIP: 22824DAJ8<br>LEI: 5493000O0QFX9SMPY639 | Long             | ABS-CBDO         | CORP              | US        |   2750000 | PA      | $2756078.33    | 0.01%             | 2034-07-20      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| DataBank Issuer LLC            | DataBank Issuer                                                                  | CUSIP: 23802WAJ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3350000 | PA      | $3299468.94    | 0.01%             | 2051-10-25      | Fixed         | 2.79%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                                            | CUSIP: 3128E54G1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3221677 | PA      | $3165546.99    | 0.01%             | 2032-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                                            | CUSIP: 3128MJS35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6310763 | PA      | $5785453.97    | 0.02%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust     | Verus Securitization Trust 2025-R2                                               | CUSIP: 92541EAE2<br>LEI: 2138003KWTZZS4PBW772 | Long             | ABS-MBS          | CORP              | US        |  14940187 | PA      | $14883877.23   | 0.05%             | 2067-07-25      | Variable      | 5.34%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer | WaMu Mortgage Pass-Through Certificates Series 2006-AR6 Trust                    | CUSIP: 93363BAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    396128 | PA      | $361033.00     | 0.00%             | 2036-08-25      | Variable      | 4.42%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BUFU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11651574 | PA      | $11682064.01   | 0.04%             | 2051-05-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137ABXU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2605483 | PA      | $2597864.11    | 0.01%             | 2041-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140JBQ90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  41641661 | PA      | $32889210.75   | 0.11%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140JBSV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        | 155593142 | PA      | $131247850.25  | 0.42%             | 2033-10-01      | Variable      | 1.92%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2006-QS5 Trust                                                       | CUSIP: 75114TAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1794165 | PA      | $1593817.81    | 0.01%             | 2036-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2006-QS12 Trust                                                      | CUSIP: 751151AX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1337520 | PA      | $1072214.52    | 0.00%             | 2036-09-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137ACJ34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3525883 | PA      | $3464992.08    | 0.01%             | 2041-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137AGNT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1454946 | PA      | $1159424.95    | 0.00%             | 2041-10-15      | Floating      | 3.34%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137AKAE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1364572 | PA      | $1274437.33    | 0.00%             | 2042-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31394DKZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    117977 | PA      | $115640.45     | 0.00%             | 2035-05-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31396PF48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1788150 | PA      | $219102.73     | 0.00%             | 2037-03-25      | Floating      | 3.03%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31396VEK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    820165 | PA      | $66857.44      | 0.00%             | 2037-04-25      | Floating      | 2.32%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31417YUM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     85048 | PA      | $84436.44      | 0.00%             | 2030-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31418AHQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6393779 | PA      | $6289621.88    | 0.02%             | 2032-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31418ALT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8514695 | PA      | $8217372.09    | 0.03%             | 2032-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31418BL95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2942207 | PA      | $2739128.07    | 0.01%             | 2045-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31418FDH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  41361122 | PA      | $41763431.98   | 0.13%             | 2044-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31418PM36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     64205 | PA      | $64063.81      | 0.00%             | 2030-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38385MFN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  98155386 | PA      | $97229574.88   | 0.31%             | 2054-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                 | CUSIP: 31427NHA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  32652920 | PA      | $33526770.73   | 0.11%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                 | CUSIP: 31427R3S7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  72835168 | PA      | $72836933.52   | 0.23%             | 2056-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38380RTF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        | 228115464 | PA      | $15427175.08   | 0.05%             | 2063-03-16      | Variable      | 0.96%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381D3P3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  22271653 | PA      | $1352178.86    | 0.00%             | 2063-09-16      | Variable      | 0.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                                            | CUSIP: 3128MJWU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8412424 | PA      | $7641531.20    | 0.02%             | 2045-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                                            | CUSIP: 3128MJYB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  13909557 | PA      | $12595458.44   | 0.04%             | 2046-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                                            | CUSIP: 3128S15N9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5598422 | PA      | $5232748.94    | 0.02%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                                            | CUSIP: 3128S15P4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5009296 | PA      | $4682118.85    | 0.02%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381DDS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  56812220 | PA      | $3810049.03    | 0.01%             | 2062-12-16      | Variable      | 0.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381E5T1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  42639814 | PA      | $3079519.87    | 0.01%             | 2063-08-16      | Variable      | 0.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381E6D5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        | 241118572 | PA      | $12967887.26   | 0.04%             | 2064-08-16      | Variable      | 0.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381E7T9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        | 160792020 | PA      | $5934592.26    | 0.02%             | 2064-06-16      | Variable      | 0.52%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381EB31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        | 135032909 | PA      | $6334906.89    | 0.02%             | 2064-04-16      | Variable      | 0.72%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381EZJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        | 238652176 | PA      | $12614843.76   | 0.04%             | 2063-12-16      | Variable      | 0.67%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381JFG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  53844945 | PA      | $2792215.76    | 0.01%             | 2065-04-16      | Variable      | 0.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381JNP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  49871368 | PA      | $2322205.37    | 0.01%             | 2065-05-16      | Variable      | 0.65%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382HHG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  15121839 | PA      | $2519446.52    | 0.01%             | 2050-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382KVZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  38714840 | PA      | $5510906.51    | 0.02%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382LNE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  33184507 | PA      | $4755409.51    | 0.02%             | 2050-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382LV57<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  34621245 | PA      | $5072524.76    | 0.02%             | 2050-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust | Morgan Stanley Capital I Trust 2019-PLND                                         | CUSIP: 61691XAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6002000 | PA      | $125978.98     | 0.00%             | 2036-05-15      | Floating      | 5.94%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust | Morgan Stanley Capital I Trust 2020-HR8                                          | CUSIP: 61692BCB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2200000 | PA      | $1897513.64    | 0.01%             | 2053-07-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Retained Vantage Data Centers  | Retained Vantage Data Centers Issuer LLC                                         | CUSIP: 76134KAC8<br>LEI: 254900N4NW6XZ9B4HM15 | Long             | ABS-O            | CORP              | US        |   6300000 | PA      | $6224379.84    | 0.02%             | 2048-09-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Rockford Tower CLO Ltd         | Rockford Tower CLO 2024-1 Ltd                                                    | CUSIP: 77342BAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  10000000 | PA      | $10008249.00   | 0.03%             | 2037-04-20      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| Santander Mortgage Asset Recei | Santander Mortgage Asset Receivable Trust 2025-NQM3                              | CUSIP: 80263AAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2582116 | PA      | $2595707.83    | 0.01%             | 2065-05-25      | Variable      | 6.05%                 | No            |                  2 | On Loan: No      |
| Securitized Asset Backed Recei | Securitized Asset Backed Receivables LLC Trust 2007-BR3                          | CUSIP: 81377NAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4641017 | PA      | $3162753.49    | 0.01%             | 2037-04-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                                                 | CUSIP: 91282CAE1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 100000000 | PA      | $86857422.00   | 0.28%             | 2030-08-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| Upgrade Master Pass-Thru Trust | Upgrade Master Pass-Thru Trust Series 2021-PT4                                   | CUSIP: 91533CAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     80482 | PA      | $69539.65      | 0.00%             | 2027-08-15      | Variable      | 16.38%                | No            |                  2 | On Loan: No      |
| Upgrade Master Pass-Thru Trust | Upgrade Master Pass-Thru Trust Series 2021-PT5                                   | CUSIP: 91533GAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    253917 | PA      | $238272.83     | 0.00%             | 2027-10-15      | Variable      | 18.05%                | No            |                  2 | On Loan: No      |
| Verus Securitization Trust     | Verus Securitization Trust 2026-R1                                               | CUSIP: 924932AH9<br>LEI: 213800IRNLDELLG4XV07 | Long             | ABS-MBS          | CORP              | US        |   8200000 | PA      | $8170726.00    | 0.03%             | 2067-10-25      | Variable      | 5.69%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust     | Verus Securitization Trust 2025-6                                                | CUSIP: 92540YAD1<br>LEI: 213800KZO2G8SSFFDH61 | Long             | ABS-MBS          | CORP              | US        |   5050000 | PA      | $5047943.14    | 0.02%             | 2070-07-25      | Variable      | 5.97%                 | No            |                  2 | On Loan: No      |
| Vital Care Issuer LLC          | Vital Care Issuer LLC                                                            | CUSIP: 92861WAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  14000000 | PA      | $14093657.20   | 0.05%             | 2056-01-30      | Fixed         | 6.74%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer | WaMu Mortgage Pass-Through Certificates Series 2006-AR15 Trust                   | CUSIP: 93363QAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4492538 | PA      | $3933375.46    | 0.01%             | 2046-11-25      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| Halcyon Loan Advisors Funding  | Halcyon Loan Advisors Funding 2014-2 Ltd                                         | CUSIP: 40538DAA6<br>LEI: 549300U92YP85EMXX728 | Long             | ABS-CBDO         | CORP              | US        |   1844112 | PA      | $177042.16     | 0.00%             | 2025-04-28      | Floating      | 8.93%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust | HarborView Mortgage Loan Trust 2006-BU1                                          | CUSIP: 41161PG56<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4970738 | PA      | $4621496.49    | 0.01%             | 2046-02-19      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust | HarborView Mortgage Loan Trust 2005-8                                            | CUSIP: 41161PRN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  38364729 | PA      | $15044609.52   | 0.05%             | 2035-09-19      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust | HarborView Mortgage Loan Trust 2006-10                                           | CUSIP: 41162CAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2802933 | PA      | $2517028.72    | 0.01%             | 2036-11-19      | Floating      | 3.97%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust  | UBS Commercial Mortgage Trust 2019-C18                                           | CUSIP: 90278PAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11574000 | PA      | $532725.76     | 0.00%             | 2052-12-15      | Variable      | 1.42%                 | 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        |  37234723 | PA      | $533901.25     | 0.00%             | 2051-03-15      | Variable      | 0.87%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Asset-Backed | Washington Mutural Asset-Backed Certificates WMABS Series 2007-HE2 Trust         | CUSIP: 93934TAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  18541681 | PA      | $5823294.80    | 0.02%             | 2037-02-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140L0RL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  25349517 | PA      | $23236584.11   | 0.07%             | 2051-08-01      | Floating      | 2.02%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                 | CUSIP: 31427QWW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  42452806 | PA      | $42805715.78   | 0.14%             | 2055-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se | Wells Fargo Mortgage Backed Securities 2007-7 Trust                              | CUSIP: 94985JBM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    493550 | PA      | $456920.23     | 0.00%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se | Wells Fargo Mortgage Backed Securities 2007-7 Trust                              | CUSIP: 94985JCA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    458559 | PA      | $424542.33     | 0.00%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag | Wells Fargo Commercial Mortgage Trust 2017-C39                                   | CUSIP: 95000XAH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 170768257 | PA      | $1493470.87    | 0.00%             | 2050-09-15      | Variable      | 1.06%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag | Wells Fargo Commercial Mortgage Trust 2017-RC1                                   | CUSIP: 95001FBD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1758000 | PA      | $1706414.48    | 0.01%             | 2060-01-15      | Fixed         | 4.59%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag | Wells Fargo Commercial Mortgage Trust 2020-C56                                   | CUSIP: 95002RBB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 130908294 | PA      | $5251752.74    | 0.02%             | 2053-06-15      | Variable      | 1.26%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag | Wells Fargo Commercial Mortgage Trust 2021-C61                                   | CUSIP: 95003QCN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9132000 | PA      | $607246.04     | 0.00%             | 2054-11-15      | Variable      | 1.40%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38374VQ51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6220 | PA      | $6206.30       | 0.00%             | 2039-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38375KCG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1078572 | PA      | $2303.40       | 0.00%             | 2037-04-20      | Floating      | 0.90%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FCNA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4503801 | PA      | $4130309.97    | 0.01%             | 2047-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FFAG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  13933666 | PA      | $11708911.00   | 0.04%             | 2051-02-25      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FFGH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9987550 | PA      | $1750876.44    | 0.01%             | 2051-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FKRR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  18043837 | PA      | $17005338.81   | 0.05%             | 2049-01-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38375YFD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    431154 | PA      | $4137.05       | 0.00%             | 2036-11-16      | Floating      | 2.77%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38376JBZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2370104 | PA      | $2350963.26    | 0.01%             | 2039-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38377WJJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1604503 | PA      | $145906.64     | 0.00%             | 2041-05-20      | Floating      | 2.36%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38378UCV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7817763 | PA      | $762048.17     | 0.00%             | 2043-09-16      | Floating      | 2.41%                 | No            |                  2 | On Loan: No      |
| Renaissance Home Equity Loan T | Renaissance Home Equity Loan Trust 2006-4                                        | CUSIP: 75970HAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10257172 | PA      | $3133134.30    | 0.01%             | 2037-01-25      | Variable      | 5.47%                 | No            |                  2 | On Loan: No      |
| Renaissance Home Equity Loan T | Renaissance Home Equity Loan Trust 2007-1                                        | CUSIP: 75970JAH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8232817 | PA      | $2109785.29    | 0.01%             | 2037-04-25      | Variable      | 5.91%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381EF45<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        | 396939910 | PA      | $18289284.20   | 0.06%             | 2064-01-16      | Variable      | 0.63%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381EWB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        | 183800601 | PA      | $10192809.38   | 0.03%             | 2063-09-16      | Variable      | 0.86%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38383CBX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  36413585 | PA      | $6712312.68    | 0.02%             | 2051-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38383CQ94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  43836752 | PA      | $6153351.74    | 0.02%             | 2051-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38383CUQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  19410640 | PA      | $3283527.18    | 0.01%             | 2051-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38383DTN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3617880 | PA      | $16079.67      | 0.00%             | 2051-11-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38383HGF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  68016430 | PA      | $13716873.35   | 0.04%             | 2052-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38384QT32<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12198027 | PA      | $12262197.99   | 0.04%             | 2054-07-20      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor | JPMCC Commercial Mortgage Securities Trust 2019-COR5                             | CUSIP: 46591EAY3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  78943552 | PA      | $2635869.95    | 0.01%             | 2052-06-13      | Variable      | 1.42%                 | No            |                  2 | On Loan: No      |
| Brant Point CLO Ltd            | Brant Point Clo 2024-4 Ltd                                                       | CUSIP: 835932AA2<br>LEI: 254900UXN7ENP4VJ9L26 | Long             | ABS-CBDO         | CORP              | US        |  20000000 | PA      | $20005114.00   | 0.06%             | 2037-07-20      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                                            | CUSIP: 31323AC59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5575352 | PA      | $4938542.41    | 0.02%             | 2048-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                 | CUSIP: 3132DMX42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  26194710 | PA      | $21821406.47   | 0.07%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                 | CUSIP: 3132DMYL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  37294638 | PA      | $30905272.47   | 0.10%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                 | CUSIP: 3132DP7D4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  49945229 | PA      | $48570009.48   | 0.16%             | 2053-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                 | CUSIP: 3132DPK98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  54337801 | PA      | $48431327.45   | 0.16%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                                            | CUSIP: 3132HQBF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  17288781 | PA      | $15871306.14   | 0.05%             | 2042-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                                            | CUSIP: 3132M4EZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1892806 | PA      | $1829269.09    | 0.01%             | 2044-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                                            | CUSIP: 3132QPFB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3483401 | PA      | $3276875.01    | 0.01%             | 2045-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Whole Loan Securit | Freddie Mac Whole Loan Securities Trust 2015-SC02                                | CUSIP: 3137G1AK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6123667 | PA      | $5373186.32    | 0.02%             | 2045-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137GABL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4315533 | PA      | $392715.69     | 0.00%             | 2040-09-15      | Floating      | 2.26%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136B1TS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7801721 | PA      | $1309092.92    | 0.00%             | 2048-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BBGH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8901222 | PA      | $1060221.85    | 0.00%             | 2050-08-25      | Floating      | 2.37%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BDFY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  22311231 | PA      | $3860251.27    | 0.01%             | 2051-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BHGV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  19578193 | PA      | $16335965.72   | 0.05%             | 2051-04-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31392FNA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    231101 | PA      | $235610.20     | 0.00%             | 2032-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31393ACB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    627272 | PA      | $635067.99     | 0.00%             | 2033-04-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31397JR97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    243384 | PA      | $249852.20     | 0.00%             | 2037-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31397WSE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     57625 | PA      | $4196.36       | 0.00%             | 2038-07-15      | Floating      | 2.28%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31398CKP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    479146 | PA      | $458839.28     | 0.00%             | 2038-06-15      | Variable      | 3.24%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31398CYE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     49337 | PA      | $48119.95      | 0.00%             | 2039-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BKTQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  19353732 | PA      | $17179605.62   | 0.06%             | 2049-03-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137A5VL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2984617 | PA      | $2257916.63    | 0.01%             | 2041-01-15      | Floating      | 1.93%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31398K2Q2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    517730 | PA      | $516165.40     | 0.00%             | 2039-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31398SQX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     72153 | PA      | $71851.66      | 0.00%             | 2040-12-25      | Floating      | 3.65%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137A7PG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1173191 | PA      | $1154593.74    | 0.00%             | 2041-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137A9MV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5372139 | PA      | $5436146.71    | 0.02%             | 2041-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140JB5Q5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  18908372 | PA      | $18903853.72   | 0.06%             | 2053-03-01      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140JB6A9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  23530724 | PA      | $23421773.22   | 0.08%             | 2053-03-01      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140LESP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  45798798 | PA      | $41473562.09   | 0.13%             | 2031-12-01      | Fixed         | 2.32%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140NUCR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10550000 | PA      | $11036435.50   | 0.04%             | 2034-01-01      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137ACEK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    763069 | PA      | $756174.33     | 0.00%             | 2041-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137B84Y0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  21498777 | PA      | $19656785.30   | 0.06%             | 2054-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Renaissance Home Equity Loan T | Renaissance Home Equity Loan Trust 2007-1                                        | CUSIP: 75970JAY2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5779950 | PA      | $1359007.22    | 0.00%             | 2037-04-25      | Variable      | 5.34%                 | No            |                  2 | On Loan: No      |
| Renaissance Home Equity Loan T | Renaissance Home Equity Loan Trust 2006-1                                        | CUSIP: 759950GY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5355470 | PA      | $2333458.25    | 0.01%             | 2036-05-25      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137BL6T0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6562226 | PA      | $6384552.15    | 0.02%             | 2044-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140LDYY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  25042000 | PA      | $21853198.05   | 0.07%             | 2031-11-01      | Fixed         | 1.76%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140X7ZM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  19562855 | PA      | $16739758.75   | 0.05%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140XQS99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  23360971 | PA      | $24269375.45   | 0.08%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140LEYC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  51025000 | PA      | $44743090.80   | 0.14%             | 2032-01-01      | Fixed         | 1.92%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140LFA20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  51688000 | PA      | $45631896.40   | 0.15%             | 2032-01-01      | Fixed         | 2.02%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140XTBM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  32221287 | PA      | $26247846.88   | 0.08%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31410LL67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3079056 | PA      | $2973525.68    | 0.01%             | 2043-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31412PNV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    193579 | PA      | $196389.62     | 0.00%             | 2039-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31414SYM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45588 | PA      | $46097.46      | 0.00%             | 2038-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140LFHP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  24500000 | PA      | $21533284.22   | 0.07%             | 2032-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140LGY55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4200000 | PA      | $4072116.43    | 0.01%             | 2032-07-01      | Fixed         | 3.89%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140LJ3Y0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10467000 | PA      | $10681174.08   | 0.03%             | 2033-03-01      | Fixed         | 4.84%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140LJDK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4131000 | PA      | $4296286.31    | 0.01%             | 2032-01-01      | Fixed         | 5.22%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140LJKR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3235892 | PA      | $3310186.95    | 0.01%             | 2031-04-01      | Fixed         | 4.87%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140MM4F2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9227167 | PA      | $8957376.67    | 0.03%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140NWL94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  21450000 | PA      | $21447478.55   | 0.07%             | 2029-10-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140Q1WA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  46695000 | PA      | $46664078.57   | 0.15%             | 2031-02-01      | Fixed         | 4.33%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31415RJH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    653566 | PA      | $693390.79     | 0.00%             | 2038-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31417AH44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    624402 | PA      | $598056.09     | 0.00%             | 2041-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31417BUJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1004759 | PA      | $985885.10     | 0.00%             | 2032-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31417CR98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4709820 | PA      | $4571364.92    | 0.01%             | 2032-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31417DQD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3874991 | PA      | $3751787.10    | 0.01%             | 2032-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31417DTL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  24553892 | PA      | $22505661.58   | 0.07%             | 2042-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31417FZY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2417164 | PA      | $2338092.57    | 0.01%             | 2033-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31417YNY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    223047 | PA      | $223969.23     | 0.00%             | 2030-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31418ABT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8041973 | PA      | $7894595.54    | 0.03%             | 2032-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31418AEM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1383154 | PA      | $1294653.14    | 0.00%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140QNQU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  53000845 | PA      | $47129195.46   | 0.15%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140QUZK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  65714316 | PA      | $67440991.11   | 0.22%             | 2054-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31418AJZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6795378 | PA      | $6343635.40    | 0.02%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31418APY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4862377 | PA      | $4687871.70    | 0.02%             | 2033-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2005-QS17 Trust                                                      | CUSIP: 761118PV4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    924279 | PA      | $804313.95     | 0.00%             | 2035-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2005-QS17 Trust                                                      | CUSIP: 761118PZ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    577004 | PA      | $502112.45     | 0.00%             | 2035-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31418B4F0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11194263 | PA      | $10421404.91   | 0.03%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31418BMN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8643770 | PA      | $8401613.75    | 0.03%             | 2035-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati | Residential Asset Securitization Trust 2006-A14CB                                | CUSIP: 76114BAK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  14801958 | PA      | $2874078.35    | 0.01%             | 2036-12-25      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| Project Silver                 | Project Silver                                                                   | CUSIP: 827304AA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | CN        |  10075965 | PA      | $9842736.94    | 0.03%             | 2044-07-15      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31418CAM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  14697222 | PA      | $13002081.20   | 0.04%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                | Fannie Mae Interest Strip                                                        | CUSIP: 31423X2A8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  97780822 | PA      | $14839022.05   | 0.05%             | 2052-12-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140QVEM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  24453823 | PA      | $24924141.56   | 0.08%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140QVLB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  44247594 | PA      | $45243193.11   | 0.15%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140X8KE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  39145155 | PA      | $33596845.24   | 0.11%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust         | GSAA Home Equity Trust 2006-19                                                   | CUSIP: 362244AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6832854 | PA      | $1743316.57    | 0.01%             | 2036-12-25      | Floating      | 3.97%                 | No            |                  2 | On Loan: No      |
| GCAT                           | GCAT 2019-NQM3 Trust                                                             | CUSIP: 36167VAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2751000 | PA      | $2582071.27    | 0.01%             | 2059-11-25      | Variable      | 3.45%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae II Pool                                                               | CUSIP: 36179WBY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8654096 | PA      | $7455269.68    | 0.02%             | 2051-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust        | GSR Mortgage Loan Trust 2006-2F                                                  | CUSIP: 362334BP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1784855 | PA      | $712911.08     | 0.00%             | 2036-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities  | GS Mortgage-Backed Securities Trust 2020-RPL2                                    | CUSIP: 36263GAS9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9341000 | PA      | $7533489.41    | 0.02%             | 2060-05-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38373AJ23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    332791 | PA      | $8483.01       | 0.00%             | 2039-04-16      | Floating      | 2.41%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381JZQ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        | 408549930 | PA      | $17638857.23   | 0.06%             | 2063-09-16      | Variable      | 0.61%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381LUY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  98486649 | PA      | $7256831.13    | 0.02%             | 2066-09-16      | Variable      | 0.97%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381N7B8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  56840424 | PA      | $10900816.78   | 0.04%             | 2052-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities  | GS Mortgage-Backed Securities Trust 2026-NQM1                                    | CUSIP: 36276EAA8<br>LEI: 254900WEVNJASLS4UV47 | Long             | ABS-MBS          | CORP              | US        |  40251195 | PA      | $40041268.64   | 0.13%             | 2066-03-25      | Variable      | 4.87%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381SJK4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  14633671 | PA      | $12591873.14   | 0.04%             | 2068-05-16      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381SRN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        | 368728892 | PA      | $26572189.53   | 0.09%             | 2067-11-16      | Variable      | 0.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382KL76<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9219203 | PA      | $1347574.63    | 0.00%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382JWN2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  30988767 | PA      | $4578996.23    | 0.01%             | 2050-09-20      | Floating      | 2.56%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382L3L3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  30584125 | PA      | $4143063.17    | 0.01%             | 2050-12-20      | Floating      | 2.51%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382LAK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  44603541 | PA      | $6490386.13    | 0.02%             | 2050-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Mosaic Solar Loans LLC         | Mosaic Solar Loan Trust 2018-1                                                   | CUSIP: 61946FAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5059889 | PA      | $4773921.14    | 0.02%             | 2043-06-22      | Fixed         | 4.01%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382LWK3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  24570474 | PA      | $18690715.47   | 0.06%             | 2050-12-20      | Fixed         | 1.17%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382LX97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  81660396 | PA      | $12623121.18   | 0.04%             | 2050-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| New Century Home Equity Loan T | New Century Home Equity Loan Trust 2005-4                                        | CUSIP: 64352VMY4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  17829000 | PA      | $17580724.04   | 0.06%             | 2035-09-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan  | New Residential Mortgage Loan Trust 2025-NQM5                                    | CUSIP: 64832GAE4<br>LEI: 213800USJ6KQFZEWGZ76 | Long             | ABS-MBS          | CORP              | US        |   7758508 | PA      | $7726122.74    | 0.02%             | 2065-08-25      | Variable      | 5.46%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan  | New Residential Mortgage Loan Trust 2026-NQM1                                    | CUSIP: 64832LAE3<br>LEI: 213800ECBEJHYYK9P940 | Long             | ABS-MBS          | CORP              | US        |  58842641 | PA      | $58342714.19   | 0.19%             | 2065-11-25      | Variable      | 4.82%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan  | New Residential Mortgage Loan Trust 2026-NQM2                                    | CUSIP: 64832MAH4<br>LEI: 213800ZF5DPBUAR45104 | Long             | ABS-MBS          | CORP              | US        |   2750000 | PA      | $2688763.28    | 0.01%             | 2065-12-25      | Variable      | 5.48%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382M6T1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  32342238 | PA      | $6070288.78    | 0.02%             | 2050-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382MF61<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  93866074 | PA      | $13692525.87   | 0.04%             | 2051-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Nomura Home Equity Loan Inc    | Nomura Home Equity Loan Inc Home Equity Loan Trust Series 2006-AF1               | CUSIP: 65535AAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  14298252 | PA      | $2433571.12    | 0.01%             | 2036-10-25      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                     | AMSR 2021-SFR4 Trust                                                             | CUSIP: 66982FAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10500000 | PA      | $10322714.85   | 0.03%             | 2038-12-17      | Fixed         | 2.97%                 | No            |                  2 | On Loan: No      |
| Suntrust Adjustable Rate Mortg | STARM Mortgage Loan Trust 2007-3                                                 | CUSIP: 85554NAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    993610 | PA      | $449505.63     | 0.00%             | 2037-06-25      | Variable      | 6.56%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mor | Structured Adjustable Rate Mortgage Loan Trust Series 2006-1                     | CUSIP: 863579R42<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7054217 | PA      | $3686159.31    | 0.01%             | 2036-02-25      | Variable      | 4.60%                 | No            |                  2 | On Loan: No      |
| 1345 Trust                     | 1345T 2025-AOA                                                                   | CUSIP: 68271CAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10540000 | PA      | $10523580.79   | 0.03%             | 2042-06-15      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BY7K2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  25000000 | PA      | $24379975.00   | 0.08%             | 2053-08-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38384GNH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11743408 | PA      | $6703754.00    | 0.02%             | 2051-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru | IndyMac INDX Mortgage Loan Trust 2005-AR15                                       | CUSIP: 45660LVL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4461958 | PA      | $3635646.56    | 0.01%             | 2035-09-25      | Variable      | 3.84%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru | IndyMac INDX Mortgage Loan Trust 2007-AR21IP                                     | CUSIP: 45670BAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3652124 | PA      | $3562765.80    | 0.01%             | 2037-09-25      | Variable      | 4.28%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2006-S2                                                 | CUSIP: 46628YBE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    889590 | PA      | $249655.31     | 0.00%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Acquisition | JP Morgan Mortgage Acquisition Trust 2006-WMC4                                   | CUSIP: 46630BAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3748996 | PA      | $2383200.33    | 0.01%             | 2036-12-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2007-A3                                                 | CUSIP: 46630UAN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1773309 | PA      | $1569464.75    | 0.01%             | 2037-05-25      | Variable      | 4.80%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2007-S3                                                 | CUSIP: 46631NAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    631003 | PA      | $254699.15     | 0.00%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Secu | JPMBB Commercial Mortgage Securities Trust 2015-C27                              | CUSIP: 46644ABM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8236400 | PA      | $5271296.00    | 0.02%             | 2048-02-15      | Variable      | 4.18%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust Series 2025-NQM5                                        | CUSIP: 46664DAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $2969399.40    | 0.01%             | 2066-05-25      | Variable      | 6.02%                 | No            |                  2 | On Loan: No      |
| Jersey Mikes Funding LLC       | Jersey Mike's Funding LLC                                                        | CUSIP: 476681AD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  13860000 | PA      | $14037615.90   | 0.05%             | 2055-02-15      | Fixed         | 5.64%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgag | PRPM 2025-NQM5 Trust                                                             | CUSIP: 69383FAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6035944 | PA      | $6022495.63    | 0.02%             | 2070-10-25      | Variable      | 5.33%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust     | Progress Residential 2025-SFR5 Trust                                             | CUSIP: 74334RAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  14285236 | PA      | $13621127.04   | 0.04%             | 2042-10-17      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| QTS ISSUER ABS II LLC          | QTS Issuer ABS II LLC                                                            | CUSIP: 74690FAS5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  31700000 | PA      | $31469239.85   | 0.10%             | 2056-01-05      | Fixed         | 6.73%                 | No            |                  2 | On Loan: No      |
| RBSSP Resecuritization Trust   | RBSSP Resecuritization Trust 2010-4                                              | CUSIP: 74927DAQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2876003 | PA      | $1266904.99    | 0.00%             | 2037-07-26      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SFO Commerical Mortgage Trust  | SFO Commercial Mortgage Trust 2021-555                                           | CUSIP: 78432WAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  18041000 | PA      | $18022477.31   | 0.06%             | 2038-05-15      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| Stonepeak                      | Stonepeak 2021-1 ABS                                                             | CUSIP: 78433XAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1520499 | PA      | $1464603.66    | 0.00%             | 2033-02-28      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| Stonepeak                      | Stonepeak 2021-1 ABS                                                             | CUSIP: 78433XAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3034389 | PA      | $2977430.56    | 0.01%             | 2033-02-28      | Fixed         | 3.82%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust         | SLM Private Credit Student Loan Trust 2006-B                                     | CUSIP: 78443CCU6<br>LEI: 549300MJYMBTZU2FTV38 | Long             | ABS-O            | CORP              | US        |   2213397 | PA      | $2170406.84    | 0.01%             | 2039-12-15      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| SMR 2022-IND Mortgage Trust    | SMR 2022-IND Mortgage Trust                                                      | CUSIP: 78458MAN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4107657 | PA      | $3859266.89    | 0.01%             | 2039-02-15      | Floating      | 11.17%                | No            |                  2 | On Loan: No      |
| SoFi Alternative Trust Consume | Sofi Alternative Consumer Loan Program 2021-2                                    | CUSIP: 78472Q107<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $2239865.50    | 0.01%             | 2030-08-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| Suntrust Adjustable Rate Mortg | STARM Mortgage Loan Trust 2007-2                                                 | CUSIP: 78473TAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3251467 | PA      | $1104597.95    | 0.00%             | 2037-04-25      | Variable      | 5.67%                 | No            |                  2 | On Loan: No      |
| SG Capital Partners            | SG Residential Mortgage Trust 2026-1                                             | CUSIP: 818916AJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5777000 | PA      | $5705805.99    | 0.02%             | 2066-01-25      | Variable      | 5.54%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mor | Structured Adjustable Rate Mortgage Loan Trust Series 2006-8                     | CUSIP: 86361JBA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    526766 | PA      | $485611.07     | 0.00%             | 2036-09-25      | Variable      | 4.62%                 | No            |                  2 | On Loan: No      |
| SUBWAY FUNDING LLC             | Subway Funding LLC                                                               | CUSIP: 864300AE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  19601875 | PA      | $19667190.41   | 0.06%             | 2054-07-30      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Ace Securities Corp.           | ACE Securities Corp Home Equity Loan Trust Series 2007-WM1                       | CUSIP: 004424AB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3638366 | PA      | $1487875.16    | 0.00%             | 2036-11-25      | Floating      | 3.93%                 | No            |                  2 | On Loan: No      |
| SOFI CONSUMER LOAN PROGRAM TRU | SoFi Consumer Loan Program 2025-1 Trust                                          | CUSIP: 83406YAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3452000 | PA      | $3496325.41    | 0.01%             | 2034-02-27      | Fixed         | 5.42%                 | No            |                  2 | On Loan: No      |
| Soundview Home Equity Loan Tru | Soundview Home Loan Trust 2007-OPT3                                              | CUSIP: 83612KAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5024971 | PA      | $4451173.23    | 0.01%             | 2037-08-25      | Floating      | 3.96%                 | No            |                  2 | On Loan: No      |
| 1211 Avenue of the Americas Tr | 1211 Avenue of the Americas Trust 2015-1211                                      | CUSIP: 90117PAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3110000 | PA      | $2981323.75    | 0.01%             | 2035-08-10      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Soundview Home Equity Loan Tru | Soundview Home Loan Trust 2007-OPT1                                              | CUSIP: 83612TAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2851717 | PA      | $1924804.55    | 0.01%             | 2037-06-25      | Floating      | 3.94%                 | No            |                  2 | On Loan: No      |
| Sprite Limited                 | Sprite 2021-1 Ltd                                                                | CUSIP: 85208UAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4567458 | PA      | $4459693.50    | 0.01%             | 2046-11-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| SPRUCE HILL MORTGAGE LOAN TRUS | Spruce Hill Mortgage Loan Trust 2020-SH1                                         | CUSIP: 85209FAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4389680 | PA      | $4356769.62    | 0.01%             | 2050-01-28      | Variable      | 3.22%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Co | Structured Asset Securities Corp Mortgage Loan Trust 2006-BC4                    | CUSIP: 86359RAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5243000 | PA      | $5150870.89    | 0.02%             | 2036-12-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| Thornburg Mortgage Securities  | Thornburg Mortgage Securities Trust 2007-1                                       | CUSIP: 88522EAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1040340 | PA      | $759261.38     | 0.00%             | 2037-03-25      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| Tricon American Homes          | Tricon American Homes 2020-SFR1                                                  | CUSIP: 89613GAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1600000 | PA      | $1589996.00    | 0.01%             | 2038-07-17      | Fixed         | 3.54%                 | No            |                  2 | On Loan: No      |
| Tricon Residential             | Tricon Residential 2021-SFR1 Trust                                               | CUSIP: 89614YAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  13250000 | PA      | $13147168.08   | 0.04%             | 2038-07-17      | Fixed         | 2.34%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust  | UBS Commercial Mortgage Trust 2017-C4                                            | CUSIP: 90276RBJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3561000 | PA      | $3423965.60    | 0.01%             | 2050-10-15      | Variable      | 4.24%                 | No            |                  2 | On Loan: No      |
| Suntrust Alternative Loan Trus | Suntrust Alternative Loan Trust Series 2005-1F                                   | CUSIP: 86789MAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    144441 | PA      | $133469.23     | 0.00%             | 2035-12-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Suntrust Alternative Loan Trus | SunTrust Alternative Loan Trust 2006-1F                                          | CUSIP: 86800RAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    454056 | PA      | $141628.04     | 0.00%             | 2036-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Switch ABS Issuer, LLC         | Switch ABS Issuer LLC                                                            | CUSIP: 871044AE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  24230000 | PA      | $23791085.67   | 0.08%             | 2054-06-25      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| Textainer Marine Containers Li | Textainer Marine Containers VII Ltd                                              | CUSIP: 88315LAE8<br>LEI: 549300X48KLHDDGPK024 | Long             | ABS-O            | CORP              | US        |   4675748 | PA      | $4511507.96    | 0.01%             | 2045-08-21      | Fixed         | 2.73%                 | No            |                  2 | On Loan: No      |
| Tricon Residential             | Tricon Residential 2021-SFR1 Trust                                               | CUSIP: 89614YAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5250000 | PA      | $5207053.95    | 0.02%             | 2038-07-17      | Fixed         | 2.59%                 | No            |                  2 | On Loan: No      |
| Tricon Residential             | Tricon Residential 2021-SFR1 Trust                                               | CUSIP: 89614YAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10000000 | PA      | $9918617.00    | 0.03%             | 2038-07-17      | Fixed         | 2.89%                 | No            |                  2 | On Loan: No      |
| WAMU Asset-Backed Certificates | WaMu Asset-Backed Certificates WaMu Series 2007-HE1 Trust                        | CUSIP: 933631AC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6983403 | PA      | $3155635.62    | 0.01%             | 2037-01-25      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-7 Trust   | CUSIP: 93934FBS0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    244258 | PA      | $235283.95     | 0.00%             | 2035-08-25      | Floating      | 8.33%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-8 Trust   | CUSIP: 93934FCF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3911959 | PA      | $3402825.46    | 0.01%             | 2035-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-1 Trust   | CUSIP: 93934FKP6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    609581 | PA      | $577358.27     | 0.00%             | 2036-02-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2007-5 Trust   | CUSIP: 93936PAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    133365 | PA      | $161762.40     | 0.00%             | 2037-06-25      | Floating      | 16.72%                | No            |                  2 | On Loan: No      |
| Wells Fargo Alternative Loan T | Wells Fargo Alternative Loan 2007-PA3 Trust                                      | CUSIP: 94985GAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3240930 | PA      | $2948326.31    | 0.01%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-18CB                                                 | CUSIP: 02147FAW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    653644 | PA      | $246280.16     | 0.00%             | 2036-07-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-J13                                                  | CUSIP: 12668AC94<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    625481 | PA      | $37998.28      | 0.00%             | 2035-11-25      | Floating      | 1.23%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-79CB                                                 | CUSIP: 12668BAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    391199 | PA      | $206444.17     | 0.00%             | 2036-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage T | EFMT 2025-INV5                                                                   | CUSIP: 28224UAH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3895079 | PA      | $3884036.19    | 0.01%             | 2070-12-25      | Variable      | 5.28%                 | No            |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust          | FMC GMSR Issuer Trust                                                            | CUSIP: 30259RAH8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  72500000 | PA      | $69653360.00   | 0.22%             | 2026-07-25      | Variable      | 3.62%                 | No            |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust          | FMC GMSR Issuer Trust                                                            | CUSIP: 30259RAK1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  64820000 | PA      | $62422515.62   | 0.20%             | 2026-10-25      | Variable      | 3.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136B2N40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7456694 | PA      | $6684212.59    | 0.02%             | 2048-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                 | Fannie Mae-Aces                                                                  | CUSIP: 3136BHB32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        | 879458857 | PA      | $15408822.74   | 0.05%             | 2031-10-25      | Variable      | 0.98%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3138A1U90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1921032 | PA      | $1856831.11    | 0.01%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3138ASRV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49086 | PA      | $46892.68      | 0.00%             | 2041-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3138AVSG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3734270 | PA      | $3576752.19    | 0.01%             | 2041-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3138ELXW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       419 | PA      | $417.53        | 0.00%             | 2026-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3138L9N40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  22951793 | PA      | $21101663.32   | 0.07%             | 2035-05-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3138WBHQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5564310 | PA      | $5492602.73    | 0.02%             | 2044-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31394RHM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    513353 | PA      | $519889.39     | 0.00%             | 2034-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31395K4S9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    942012 | PA      | $954027.72     | 0.00%             | 2034-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31395KDY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2622114 | PA      | $2668291.72    | 0.01%             | 2034-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mort | First Horizon Alternative Mortgage Securities Trust 2005-AA4                     | CUSIP: 32051GNH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2316033 | PA      | $895537.13     | 0.00%             | 2035-05-25      | Variable      | 4.65%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mort | First Horizon Alternative Mortgage Securities Trust 2005-FA8                     | CUSIP: 32051GZD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    227694 | PA      | $220073.45     | 0.00%             | 2020-11-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mort | First Horizon Alternative Mortgage Securities Trust 2007-FA4                     | CUSIP: 32052WAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1788451 | PA      | $576498.00     | 0.00%             | 2037-08-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FirstKey Homes  2021-SFR3 Trus | FirstKey Homes 2021-SFR3 Trust                                                   | CUSIP: 33768JAG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  22626000 | PA      | $22240697.32   | 0.07%             | 2038-12-17      | Fixed         | 2.79%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer | WaMu Mortgage Pass-Through Certificates Series 2006-AR5 Trust                    | CUSIP: 93362YAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2819224 | PA      | $2641280.36    | 0.01%             | 2046-06-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer | WaMu Mortgage Pass-Through Certificates Series 2007-HY3 Trust                    | CUSIP: 933634AJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3573740 | PA      | $3326382.06    | 0.01%             | 2037-03-25      | Variable      | 4.86%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-1 Trust   | CUSIP: 9393362K8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3125996 | PA      | $2743217.59    | 0.01%             | 2035-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-4 Trust   | CUSIP: 9393366R9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    723186 | PA      | $633016.36     | 0.00%             | 2035-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-5 Trust   | CUSIP: 93934FAM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    295261 | PA      | $278756.98     | 0.00%             | 2035-07-25      | Floating      | 8.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                 | CUSIP: 3133SKBL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  36133411 | PA      | $28538196.22   | 0.09%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137A1B77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    880066 | PA      | $984302.23     | 0.00%             | 2040-08-15      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137A2UP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4674509 | PA      | $3825383.26    | 0.01%             | 2040-11-15      | Floating      | 2.43%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137HF3R4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  17615012 | PA      | $17719148.88   | 0.06%             | 2054-08-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137HFWZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12105237 | PA      | $12146639.18   | 0.04%             | 2054-10-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137HH4Y4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  63409664 | PA      | $63624660.81   | 0.20%             | 2054-10-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31394L5S7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     91127 | PA      | $88739.28      | 0.00%             | 2033-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31397KN98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    168988 | PA      | $176838.28     | 0.00%             | 2037-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31397RVH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    564122 | PA      | $37721.98      | 0.00%             | 2038-03-15      | Floating      | 1.86%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                 | CUSIP: 31427PWS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12488156 | PA      | $12637500.67   | 0.04%             | 2055-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                 | CUSIP: 31427RLQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  27874556 | PA      | $27642969.57   | 0.09%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust   | GS Mortgage Securities Trust 2013-GC13                                           | CUSIP: 36198EAS4<br>LEI: 549300WF5YRKNHB1FX69 | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $2943705.90    | 0.01%             | 2046-07-10      | Variable      | 3.86%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust         | GSAA Home Equity Trust 2006-18                                                   | CUSIP: 3622ELAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1554486 | PA      | $415514.34     | 0.00%             | 2036-11-25      | Variable      | 5.77%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust         | GSAA Home Equity Trust 2006-10                                                   | CUSIP: 362375AC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7363062 | PA      | $1590472.83    | 0.01%             | 2036-06-25      | Variable      | 5.98%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust         | GSAA Home Equity Trust 2006-10                                                   | CUSIP: 362375AD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5269869 | PA      | $1134767.30    | 0.00%             | 2036-06-25      | Variable      | 6.80%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust   | GS Mortgage Securities Trust 2015-GC34                                           | CUSIP: 36250VAF9<br>LEI: 54930070360RBP384M53 | Long             | ABS-MBS          | CORP              | US        |  11208521 | PA      | $112.09        | 0.00%             | 2048-10-10      | Variable      | 0.34%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust   | GS Mortgage Securities Trust 2016-GS3                                            | CUSIP: 36251PAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 220501671 | PA      | $123723.49     | 0.00%             | 2049-10-10      | Variable      | 1.14%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust   | GS Mortgage Securities Trust 2017-GS7                                            | CUSIP: 36254CAX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 169476017 | PA      | $1531419.19    | 0.00%             | 2050-08-10      | Variable      | 1.02%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust   | GS Mortgage Securities Trust 2017-GS7                                            | CUSIP: 36254CAY6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  98700000 | PA      | $394069.62     | 0.00%             | 2050-08-10      | Variable      | 0.29%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust   | GS Mortgage Securities Trust 2020-GSA2                                           | CUSIP: 36264KAX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  52373409 | PA      | $3028246.22    | 0.01%             | 2053-12-12      | Variable      | 1.65%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities  | GS Mortgage-Backed Securities Trust 2026-DSC1                                    | CUSIP: 36276BAD8<br>LEI: 254900D34P4JFEYPLX58 | Long             | ABS-MBS          | CORP              | US        |   8000000 | PA      | $7895288.00    | 0.03%             | 2066-05-25      | Variable      | 5.42%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities  | GS Mortgage-Backed Securities Trust 2026-NQM2                                    | CUSIP: 362972AH4<br>LEI: 254900E217SI2DTJ2F03 | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1967300.60    | 0.01%             | 2061-11-25      | Variable      | 5.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382M3D9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        | 191659182 | PA      | $27684498.08   | 0.09%             | 2051-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382M7D5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  77535248 | PA      | $11200315.47   | 0.04%             | 2051-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382RJW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  86026736 | PA      | $14454048.65   | 0.05%             | 2050-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382TJ39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  20949856 | PA      | $3037435.86    | 0.01%             | 2051-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382TL51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  56031707 | PA      | $178774.77     | 0.00%             | 2051-03-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382VCK3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  52348990 | PA      | $43655801.88   | 0.14%             | 2051-06-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38383XPA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  29770966 | PA      | $28012070.78   | 0.09%             | 2049-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38383XTD6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  28201971 | PA      | $4034954.66    | 0.01%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38385MUK0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  31460247 | PA      | $30992914.69   | 0.10%             | 2054-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JPMDB Commercial Mortgage Secu | JPMDB Commercial Mortgage Securities Trust 2017-C5                               | CUSIP: 46590TAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 127212721 | PA      | $425373.90     | 0.00%             | 2050-03-15      | Variable      | 0.89%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Secu | JPMBB Commercial Mortgage Securities Trust 2015-C28                              | CUSIP: 46644FAK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1586054 | PA      | $1569915.60    | 0.01%             | 2048-10-15      | Variable      | 4.28%                 | No            |                  2 | On Loan: No      |
| JPMDB Commercial Mortgage Secu | JPMDB Commercial Mortgage Securities Trust 2017-C7                               | CUSIP: 46648KAW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 154647273 | PA      | $1402341.47    | 0.00%             | 2050-10-15      | Variable      | 0.82%                 | No            |                  2 | On Loan: No      |
| JPMDB Commercial Mortgage Secu | JPMDB Commercial Mortgage Securities Trust 2020-COR7                             | CUSIP: 46652JAY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 234689929 | PA      | $10061227.67   | 0.03%             | 2053-05-13      | Variable      | 1.64%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2006-1                                                     | CUSIP: 52520MFK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1211058 | PA      | $852443.04     | 0.00%             | 2036-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2006-6                                                     | CUSIP: 52520NAV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5344145 | PA      | $3367724.41    | 0.01%             | 2036-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgag | PRPM 2024-NQM4 Trust                                                             | CUSIP: 69381UAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  17334878 | PA      | $17408962.14   | 0.06%             | 2069-12-26      | Variable      | 5.67%                 | No            |                  2 | On Loan: No      |
| PK ALIFT LOAN FUNDING          | PK Alift Loan Funding 8 LP                                                       | CUSIP: 72585CAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  21380000 | PA      | $21099259.22   | 0.07%             | 2043-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Aegis Asset Backed Securities  | Aegis Asset Backed Securities Trust Mortgage Pass-Through Ctfs Ser 2004-1        | CUSIP: 00764MBE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    800034 | PA      | $855954.49     | 0.00%             | 2034-04-25      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| Affirm Inc                     | Affirm Asset Securitization Trust 2025-X2                                        | CUSIP: 00835DAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  17375000 | PA      | $17332033.36   | 0.06%             | 2030-10-15      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| Allegro CLO Ltd                | Allegro CLO V-S Ltd                                                              | CUSIP: 01750RAC4<br>LEI: 2138003E5WTFBR7NV267 | Long             | ABS-CBDO         | CORP              | US        |  30000000 | PA      | $30027834.00   | 0.10%             | 2037-07-24      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2007-3                                           | CUSIP: 12543RAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3516565 | PA      | $1558000.93    | 0.01%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2007-9                                           | CUSIP: 12544XAV7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    656855 | PA      | $289890.95     | 0.00%             | 2037-07-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FRTKL                          | FRTKL 2021-SFR1                                                                  | CUSIP: 30322DAU3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6650000 | PA      | $6546017.94    | 0.02%             | 2038-09-17      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| Fremont Home Loan Trust        | Fremont Home Loan Trust 2006-D                                                   | CUSIP: 35729VAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  99279697 | PA      | $59079937.98   | 0.19%             | 2036-11-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137F5AA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9696323 | PA      | $8675911.86    | 0.03%             | 2048-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137F7C60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  26382700 | PA      | $4594003.73    | 0.01%             | 2050-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FFVP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11036371 | PA      | $1765005.95    | 0.01%             | 2051-03-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137H1P59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  90543179 | PA      | $15710128.96   | 0.05%             | 2050-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137H2WR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  34850286 | PA      | $4706234.83    | 0.02%             | 2051-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137HAHW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  22248228 | PA      | $16496667.63   | 0.05%             | 2050-12-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31397LY29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    171872 | PA      | $9931.47       | 0.00%             | 2038-07-25      | Floating      | 2.22%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31397MLV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    555987 | PA      | $49887.60      | 0.00%             | 2038-08-25      | Floating      | 2.22%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31397MUN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    136863 | PA      | $141275.44     | 0.00%             | 2038-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31397N6A8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1327933 | PA      | $130026.93     | 0.00%             | 2039-07-25      | Floating      | 2.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31397NCG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40551 | PA      | $40421.07      | 0.00%             | 2029-03-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31397UG52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4226550 | PA      | $4137885.53    | 0.01%             | 2041-07-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| IndyMac Residential Asset Back | Home Equity Mortgage Loan Asset-Backed Trust Series INABS 2007-B                 | CUSIP: 43710EAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7255542 | PA      | $2845490.80    | 0.01%             | 2037-07-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| IndyMac Residential Asset Back | Home Equity Mortgage Loan Asset-Backed Trust Series INABS 2007-B                 | CUSIP: 43710EAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7255542 | PA      | $2845490.80    | 0.01%             | 2037-07-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2006-S3                                                 | CUSIP: 46629AAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    832183 | PA      | $248161.67     | 0.00%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2006-S3                                                 | CUSIP: 46629AAX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7073748 | PA      | $947676.43     | 0.00%             | 2036-08-25      | Floating      | 3.33%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2007-S3                                                 | CUSIP: 46631NAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1705388 | PA      | $630989.24     | 0.00%             | 2037-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor | JP Morgan Chase Commercial Mortgage Securities Trust 2007-CIBC20                 | CUSIP: 46631QAK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    199383 | PA      | $0.30          | 0.00%             | 2051-02-12      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust Series 2025-NQM5                                        | CUSIP: 46664DAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  15064846 | PA      | $14950003.83   | 0.05%             | 2066-05-25      | Variable      | 5.23%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-05-28

**Name of Applicant:** DoubleLine Funds Trust

**Signature:** /s/ Ana Alcantara

**Name of Signer:** DoubleLine Funds Trust

**Title:** Vice President