# EDGAR Filing Document

**Accession Number:** 0001480207
**File Stem:** 0001193125-25-296899
**Filing Date:** 2025-11
**Character Count:** 1235618
**Document Hash:** 9933078d482940be25fad4ea1280d357
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001193125-25-296899.hdr.sgml**: 20251125

**ACCESSION NUMBER**: 0001193125-25-296899

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250930

**FILED AS OF DATE**: 20251125

**DATE AS OF CHANGE**: 20251125

**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:** 251520249

**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           |

## 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:** 2025-09-30

**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:** $30601079570.15

**Total Liabilities:** $225342479.29

**Net Assets:** $30375737090.86

**Delayed Delivery Securities:** $86989882.62

**Cash Not Reported:** $293963161.54

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 15189.000000000000 | **1-Year:** 773042.000000000000 | **5-Year:** 5580265.000000000000 | **10-Year:** 3552031.000000000000 | **30-Year:** 114160.000000000000

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

- **3-Month:** 14821.000000000000 | **1-Year:** 321685.000000000000 | **5-Year:** 1170843.000000000000 | **10-Year:** 668201.000000000000 | **30-Year:** 53011.000000000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000086126 | -0.37%               | 1.57%                | 0.86%                |
| Class ID C000086127 | -0.40%               | 1.44%                | 0.84%                |
| Class ID C000213584 | -0.37%               | 1.57%                | 0.86%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-19126353.08            | $-106810723.40                             |
| Month 2  | $-1438097.68             | $272506671.24                              |
| Month 3  | $-1771739.81             | $130194965.15                              |

**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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Adjustable Rate Mortgage Trust | Adjustable Rate Mortgage Trust 2005-7                                            | CUSIP: 007036MV5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     90853 | PA      | $87572.32     | 0.00%             | 2035-10-25      | Variable      | 4.89%                 | 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      | $9183947.51   | 0.03%             | 2053-02-15      | Variable      | 3.81%                 | 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        | 132558853 | PA      | $8577061.48   | 0.03%             | 2054-02-15      | Variable      | 1.69%                 | 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        |  42830445 | PA      | $12999584.04  | 0.04%             | 2036-10-20      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| Bank                           | BANK 2019-BNK16                                                                  | CUSIP: 065405AG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2290000 | PA      | $2197327.59   | 0.01%             | 2052-02-15      | Variable      | 4.44%                 | No            |                  2 | On Loan: No      |
| Bank                           | BANK 2019-BNK16                                                                  | CUSIP: 065405AJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  85288817 | PA      | $2189108.07   | 0.01%             | 2052-02-15      | Variable      | 1.09%                 | No            |                  2 | On Loan: No      |
| Bank                           | BANK 2019-BNK20                                                                  | CUSIP: 06540AAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1099000 | PA      | $1011614.66   | 0.00%             | 2062-09-15      | Variable      | 3.24%                 | No            |                  2 | On Loan: No      |
| Bank                           | BANK 2019-BNK24                                                                  | CUSIP: 06540VAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  26932000 | PA      | $1033076.51   | 0.00%             | 2062-11-15      | Variable      | 1.13%                 | No            |                  2 | On Loan: No      |
| Bank                           | BANK 2017-BNK5                                                                   | CUSIP: 06541WAY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  64705553 | PA      | $867830.88    | 0.00%             | 2060-06-15      | Variable      | 1.08%                 | 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        |   2773120 | PA      | $2598697.79   | 0.01%             | 2037-04-25      | Variable      | 4.68%                 | 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        |   5215966 | PA      | $2142478.54   | 0.01%             | 2038-01-25      | Floating      | 6.00%                 | 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        |   1610992 | PA      | $1294651.25   | 0.00%             | 2035-08-25      | Floating      | 5.02%                 | 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        |    891102 | PA      | $609474.29    | 0.00%             | 2035-10-25      | Fixed         | 5.50%                 | 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        |    395970 | PA      | $215487.30    | 0.00%             | 2036-01-25      | Fixed         | 5.50%                 | 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        |    492051 | PA      | $433137.59    | 0.00%             | 2035-09-25      | Fixed         | 4.50%                 | 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        |    459742 | PA      | $24042.97     | 0.00%             | 2034-11-25      | Variable      | 1.62%                 | 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        |  19885930 | PA      | $17992580.78  | 0.06%             | 2037-01-25      | Floating      | 4.42%                 | 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        |  13020952 | PA      | $12522980.34  | 0.04%             | 2044-11-25      | Variable      | 4.00%                 | 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        |  14074724 | PA      | $14353065.76  | 0.05%             | 2050-02-15      | Fixed         | 5.78%                 | 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        |   3087636 | PA      | $1831426.26   | 0.01%             | 2037-09-25      | Fixed         | 6.25%                 | 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        |   1242421 | PA      | $736638.76    | 0.00%             | 2037-09-25      | Fixed         | 6.25%                 | 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        |   1605627 | PA      | $1144207.41   | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | 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        |    338034 | PA      | $240929.38    | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                 | CUSIP: 3132A5JX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10001556 | PA      | $9615956.38   | 0.03%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                 | CUSIP: 3132DVMR3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  53362326 | PA      | $54630961.11  | 0.18%             | 2054-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                                            | CUSIP: 3132QMX22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8003336 | PA      | $7537581.30   | 0.02%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                 | CUSIP: 3132XGUW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  21490189 | PA      | $21875442.04  | 0.07%             | 2030-03-01      | Fixed         | 4.79%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                                            | CUSIP: 31335AH43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  20282165 | PA      | $19101782.33  | 0.06%             | 2045-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                 | CUSIP: 3133KLQV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  13993781 | PA      | $12135911.67  | 0.04%             | 2046-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136APGX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9979770 | PA      | $9067587.69   | 0.03%             | 2045-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136B0YQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  24187847 | PA      | $22140372.72  | 0.07%             | 2048-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BG5E7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  78436563 | PA      | $2688695.56   | 0.01%             | 2049-10-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BHGV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  20376228 | PA      | $16997321.86  | 0.06%             | 2051-04-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BKKV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  23297828 | PA      | $4037418.08   | 0.01%             | 2051-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BKYY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  43334715 | PA      | $39430669.08  | 0.13%             | 2047-11-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137A57F5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2593874 | PA      | $2597050.41   | 0.01%             | 2031-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137ACJ34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3793564 | PA      | $3748447.94   | 0.01%             | 2041-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137AJZS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6672782 | PA      | $6629791.39   | 0.02%             | 2033-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137ALRB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2068150 | PA      | $2006938.99   | 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        |   7129852 | PA      | $6562474.10   | 0.02%             | 2044-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137BGLV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    636150 | PA      | $621510.05    | 0.00%             | 2043-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137HFGH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  40804523 | PA      | $40955695.40  | 0.13%             | 2054-09-25      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137HHH53<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  34539109 | PA      | $34530571.13  | 0.11%             | 2054-09-25      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137HKJ96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  42351894 | PA      | $42631814.59  | 0.14%             | 2055-03-25      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137HLLC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  27066011 | PA      | $27365399.24  | 0.09%             | 2055-06-25      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31394DKZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    154958 | PA      | $152673.80    | 0.00%             | 2035-05-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31395K4S9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1071965 | PA      | $1091392.74   | 0.00%             | 2034-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31396HZ77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1984826 | PA      | $2050111.86   | 0.01%             | 2036-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31396PBM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    522110 | PA      | $62722.70     | 0.00%             | 2037-01-25      | Floating      | 1.85%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31397ARJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1428314 | PA      | $1458017.75   | 0.00%             | 2036-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31398C5A2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1662359 | PA      | $129509.08    | 0.00%             | 2038-02-15      | Floating      | 1.06%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31417DBT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2883331 | PA      | $2797789.99   | 0.01%             | 2032-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31417GGF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4527987 | PA      | $4372931.06   | 0.01%             | 2033-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31417YVJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2639066 | PA      | $2626931.23   | 0.01%             | 2031-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31418ALT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9561709 | PA      | $9241146.18   | 0.03%             | 2032-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31418APY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5467413 | PA      | $5277723.01   | 0.02%             | 2033-02-01      | Fixed         | 3.00%                 | 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        |  12780536 | PA      | $10344383.97  | 0.03%             | 2036-01-25      | Floating      | 4.62%                 | 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        |   5319572 | PA      | $1184662.78   | 0.00%             | 2036-06-25      | Variable      | 6.80%                 | 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        |   5232902 | PA      | $92616.60     | 0.00%             | 2035-03-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| GSAMP Trust                    | GSAMP Trust 2007-H1                                                              | CUSIP: 36245YAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5819954 | PA      | $2960631.51   | 0.01%             | 2047-01-25      | Floating      | 4.67%                 | 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      | $621933.82    | 0.00%             | 2053-02-13      | Variable      | 0.76%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381EMK1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        | 134522357 | PA      | $8021958.26   | 0.03%             | 2063-09-16      | Variable      | 0.79%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381ENL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        | 286124833 | PA      | $16865370.79  | 0.06%             | 2064-02-16      | Variable      | 0.76%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381EXD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        | 141198876 | PA      | $7205406.90   | 0.02%             | 2064-03-16      | Variable      | 0.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382XUA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  41490365 | PA      | $7087496.26   | 0.02%             | 2051-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38383A6H2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  37913511 | PA      | $7329678.72   | 0.02%             | 2051-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38383AWT7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  68483234 | PA      | $434847.99    | 0.00%             | 2051-09-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38383FS79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  52956169 | PA      | $7948239.08   | 0.03%             | 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        | 114625995 | PA      | $16293959.09  | 0.05%             | 2051-11-20      | 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        |  10429398 | PA      | $10748132.65  | 0.04%             | 2053-09-20      | Floating      | 4.22%                 | No            |                  2 | On Loan: No      |
| Greystone Commercial Real Esta | Greystone CRE Notes 2021-FL3 Ltd                                                 | CUSIP: 39809PAE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6250000 | PA      | $6225000.00   | 0.02%             | 2039-07-15      | Floating      | 5.91%                 | 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        |  30688008 | PA      | $368.26       | 0.00%             | 2047-11-15      | Variable      | 0.61%                 | 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        | 248585674 | PA      | $11997117.50  | 0.04%             | 2053-05-13      | Variable      | 1.77%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2005-2                                                     | CUSIP: 52520MCM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    933600 | PA      | $571263.38    | 0.00%             | 2035-12-25      | Fixed         | 5.75%                 | 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        |  14790172 | PA      | $114353.17    | 0.00%             | 2050-03-10      | Variable      | 1.00%                 | 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        |    997433 | PA      | $1012415.74   | 0.00%             | 2032-10-25      | Fixed         | 6.00%                 | 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        |   1378492 | PA      | $1337518.40   | 0.00%             | 2032-12-25      | Floating      | 8.40%                 | 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      | $10729172.74  | 0.04%             | 2041-08-18      | Floating      | 5.82%                 | 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        |  18723504 | PA      | $6618315.03   | 0.02%             | 2037-04-25      | Floating      | 4.49%                 | 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        |   1834562 | PA      | $1772687.47   | 0.01%             | 2037-10-25      | Floating      | 7.77%                 | 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        |   2964006 | PA      | $2548897.50   | 0.01%             | 2037-09-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Bank                           | BANK 2019-BNK17                                                                  | CUSIP: 065403AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11541000 | PA      | $553192.44    | 0.00%             | 2052-04-15      | Variable      | 1.74%                 | No            |                  2 | On Loan: No      |
| Bank                           | Bank 2019-BNK19                                                                  | CUSIP: 06540WBE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  43097000 | PA      | $39607944.45  | 0.13%             | 2061-08-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Bank                           | BANK 2019-BNK22                                                                  | CUSIP: 06540XAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  18082333 | PA      | $638837.98    | 0.00%             | 2062-11-15      | Variable      | 1.07%                 | 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        |    824904 | PA      | $803297.82    | 0.00%             | 2036-04-15      | Floating      | 6.46%                 | 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        |  32205347 | PA      | $30821377.37  | 0.10%             | 2036-04-15      | Floating      | 6.15%                 | No            |                  2 | On Loan: No      |
| ELP 2021-ELP                   | ELP Commercial Mortgage Trust 2021-ELP                                           | CUSIP: 26863LAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4958683 | PA      | $4958608.46   | 0.02%             | 2038-11-15      | Floating      | 6.38%                 | 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      | $20516725.78  | 0.07%             | 2035-09-25      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                                            | CUSIP: 3132QPFB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3631948 | PA      | $3420573.46   | 0.01%             | 2045-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                 | Fannie Mae-Aces                                                                  | CUSIP: 3136BDDH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        | 155858380 | PA      | $8399130.18   | 0.03%             | 2033-12-25      | Variable      | 1.58%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137BSSB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12175999 | PA      | $11451710.90  | 0.04%             | 2056-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31417DQC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7790492 | PA      | $7557430.22   | 0.02%             | 2032-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31417EXF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9312620 | PA      | $8566283.53   | 0.03%             | 2043-02-01      | 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        |   7487702 | PA      | $6492666.92   | 0.02%             | 2036-07-25      | Floating      | 4.65%                 | 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        |   1786937 | PA      | $607014.66    | 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: 32053GAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    518944 | PA      | $158622.36    | 0.00%             | 2037-06-25      | Fixed         | 6.00%                 | 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      | $44112517.42  | 0.15%             | 2038-12-17      | Fixed         | 2.98%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381DAX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        | 318395142 | PA      | $16850617.11  | 0.06%             | 2063-04-16      | Variable      | 0.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381DD56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  83610115 | PA      | $6351107.95   | 0.02%             | 2063-11-16      | Variable      | 1.04%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381DP87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  81313572 | PA      | $4994824.38   | 0.02%             | 2063-04-16      | Variable      | 0.82%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381EB31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        | 136415257 | PA      | $6757684.45   | 0.02%             | 2064-04-16      | Variable      | 0.72%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381ECX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        | 160444368 | PA      | $11168548.51  | 0.04%             | 2064-01-16      | Variable      | 0.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381ERF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  72279869 | PA      | $3994012.11   | 0.01%             | 2063-10-16      | Variable      | 0.78%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381EWB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        | 185661213 | PA      | $10805204.12  | 0.04%             | 2063-09-16      | Variable      | 0.86%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381HQB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  85520308 | PA      | $5487923.67   | 0.02%             | 2064-06-16      | Variable      | 0.78%                 | 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        |    457698 | PA      | $349194.29    | 0.00%             | 2037-03-25      | Floating      | 4.57%                 | 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        |   1995935 | PA      | $1600622.79   | 0.01%             | 2037-10-25      | Fixed         | 7.00%                 | 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        |   1707700 | PA      | $1422990.20   | 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        |   2897455 | PA      | $2469420.52   | 0.01%             | 2037-04-25      | Fixed         | 6.25%                 | 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        |  11460727 | PA      | $9434101.20   | 0.03%             | 2036-11-25      | Floating      | 4.81%                 | 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        |   4014372 | PA      | $3978210.19   | 0.01%             | 2036-03-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| SoFi Alternative Trust Consume | SOFI Alternative Trust                                                           | CUSIP: 83407QAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4004906 | PA      | $3969739.18   | 0.01%             | 2030-11-15      | Fixed         | 1.50%                 | 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        |  10927268 | PA      | $10962993.41  | 0.04%             | 2031-04-18      | Floating      | 5.74%                 | 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      | $18045030.60  | 0.06%             | 2031-07-26      | Floating      | 6.53%                 | 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        |   5171252 | PA      | $4489879.77   | 0.01%             | 2037-08-25      | Floating      | 4.44%                 | 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        |  26891830 | PA      | $12363328.06  | 0.04%             | 2036-06-25      | Fixed         | 6.50%                 | 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        |   2238018 | PA      | $1639147.39   | 0.01%             | 2036-11-25      | Fixed         | 6.25%                 | 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        |    660490 | PA      | $260695.60    | 0.00%             | 2036-07-25      | Floating      | 4.87%                 | 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        |  10695011 | PA      | $9720989.83   | 0.03%             | 2037-08-25      | Floating      | 5.32%                 | 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      | $14529162.40  | 0.05%             | 2038-04-20      | Floating      | 5.51%                 | 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      | $7256813.09   | 0.02%             | 2057-07-15      | Fixed         | 5.71%                 | 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        | 136059805 | PA      | $3522506.71   | 0.01%             | 2057-07-15      | Variable      | 0.99%                 | No            |                  2 | On Loan: No      |
| Bojangles Issuer, LLC          | Bojangles Issuer LLC                                                             | CUSIP: 09748RAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  18000000 | PA      | $18273016.80  | 0.06%             | 2054-11-20      | Fixed         | 6.58%                 | 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        |   1299301 | PA      | $545101.91    | 0.00%             | 2037-03-25      | Fixed         | 6.00%                 | 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        |   3641137 | PA      | $1507454.28   | 0.00%             | 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        |    868197 | PA      | $785835.49    | 0.00%             | 2037-01-25      | Fixed         | 6.00%                 | 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        |   2354241 | PA      | $1956422.13   | 0.01%             | 2037-01-25      | Floating      | 4.87%                 | 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      | $620680.62    | 0.00%             | 2032-11-10      | Variable      | 3.90%                 | 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        |    375852 | PA      | $290752.59    | 0.00%             | 2035-04-25      | Floating      | 4.77%                 | 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        |   2416524 | PA      | $1823244.78   | 0.01%             | 2035-05-25      | Floating      | 4.57%                 | 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        |   2455109 | PA      | $1169502.14   | 0.00%             | 2036-05-25      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| Citicorp Mortgage Securities,  | Citicorp Mortgage Securities Inc                                                 | CUSIP: 172973M97<br>LEI: 549300ISEJNGWSXAKR30 | Long             | ABS-MBS          | CORP              | US        |   1463805 | PA      | $1436994.99   | 0.00%             | 2035-02-25      | 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        |   1157775 | PA      | $1077266.58   | 0.00%             | 2036-09-25      | Fixed         | 6.00%                 | 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        | 168139319 | PA      | $151167975.21 | 0.50%             | 2064-08-25      | Variable      | 1.50%                 | 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      | $14004361.64  | 0.05%             | 2064-08-25      | Variable      | 2.75%                 | 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      | $3033802.80   | 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        |    211254 | PA      | $208221.13    | 0.00%             | 2033-08-25      | Floating      | 5.56%                 | 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      | $90509481.00  | 0.30%             | 2037-07-15      | Floating      | 5.82%                 | 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      | $20581856.50  | 0.07%             | 2037-10-20      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                                            | CUSIP: 3128MJSY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  20734334 | PA      | $19093329.14  | 0.06%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                 | CUSIP: 3132DVLP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        | 167241786 | PA      | $144435547.33 | 0.48%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                 | CUSIP: 3133KJE24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  13910335 | PA      | $11852523.16  | 0.04%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3138ELXW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33523 | PA      | $33486.19     | 0.00%             | 2026-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3138ENXD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8169710 | PA      | $7411176.77   | 0.02%             | 2053-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3138WCZW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3145780 | PA      | $3007604.88   | 0.01%             | 2034-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3138WDZK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7104325 | PA      | $6690180.45   | 0.02%             | 2045-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3138WJGQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12187092 | PA      | $11223337.61  | 0.04%             | 2041-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3138WJJA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13986030 | PA      | $12362594.90  | 0.04%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31396YGA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    281933 | PA      | $20765.71     | 0.00%             | 2038-02-25      | Floating      | 1.78%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31397FEN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1214361 | PA      | $104504.40    | 0.00%             | 2037-02-15      | Floating      | 1.59%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31397KN98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    174079 | PA      | $183728.39    | 0.00%             | 2037-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                     | AMSR 2021-SFR3 Trust                                                             | CUSIP: 00180UAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6500000 | PA      | $6298444.75   | 0.02%             | 2038-10-17      | Fixed         | 2.33%                 | 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        |   8223843 | PA      | $6233369.41   | 0.02%             | 2037-01-25      | Floating      | 4.61%                 | 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      | $30176907.00  | 0.10%             | 2037-07-24      | Floating      | 5.82%                 | 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        |   1791629 | PA      | $185941.54    | 0.00%             | 2037-01-25      | Floating      | 1.18%                 | 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        |  11344931 | PA      | $4238096.41   | 0.01%             | 2045-11-25      | Floating      | 6.19%                 | 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      | $6649735.28   | 0.02%             | 2066-10-25      | Variable      | 3.25%                 | 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      | $13240180.80  | 0.04%             | 2043-01-20      | Floating      | 5.49%                 | 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        |    242120 | PA      | $208281.78    | 0.00%             | 2036-03-25      | 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        |   1908142 | PA      | $1718718.40   | 0.01%             | 2037-01-25      | Fixed         | 6.00%                 | 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        |   1926214 | PA      | $1750069.05   | 0.01%             | 2036-10-25      | Variable      | 6.41%                 | 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        |  16765315 | PA      | $14185104.54  | 0.05%             | 2036-09-29      | Floating      | 2.96%                 | 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        |    426162 | PA      | $335082.16    | 0.00%             | 2036-11-25      | Floating      | 4.72%                 | 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        |   2221488 | PA      | $173071.43    | 0.00%             | 2037-01-25      | Floating      | 1.13%                 | No            |                  2 | On Loan: No      |
| CLI Funding LLC                | CLI Funding IX LLC                                                               | CUSIP: 12571WAJ2<br>LEI: 2549008S2Z91ASJFZL83 | Long             | ABS-O            | CORP              | US        |   5652583 | PA      | $5762518.16   | 0.02%             | 2050-06-20      | Fixed         | 5.59%                 | 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        |  19515875 | PA      | $19086447.24  | 0.06%             | 2036-10-25      | Floating      | 4.43%                 | 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        |   2750000 | PA      | $2759280.70   | 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        |   4616929 | PA      | $1933896.85   | 0.01%             | 2036-11-25      | Fixed         | 6.00%                 | 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        |   2191584 | PA      | $951444.62    | 0.00%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ChaseFlex Trust                | ChaseFlex Trust Series 2005-1                                                    | CUSIP: 16165TAM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    787090 | PA      | $666778.84    | 0.00%             | 2035-02-25      | 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        |   4225164 | PA      | $3600555.21   | 0.01%             | 2037-08-25      | Variable      | 4.26%                 | 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        |    647342 | PA      | $645319.35    | 0.00%             | 2035-12-25      | Fixed         | 6.00%                 | 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        |    331470 | PA      | $310761.01    | 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        |   1465410 | PA      | $1395493.25   | 0.00%             | 2036-05-25      | Fixed         | 6.00%                 | 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        |   7043182 | PA      | $2977968.72   | 0.01%             | 2037-01-25      | Variable      | 7.26%                 | 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        |  13730450 | PA      | $7455183.93   | 0.02%             | 2047-04-25      | Fixed         | 5.75%                 | 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        |    563072 | PA      | $506140.99    | 0.00%             | 2037-05-25      | Variable      | 6.50%                 | 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        |   1368449 | PA      | $1306489.16   | 0.00%             | 2037-04-25      | Variable      | 5.16%                 | 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        |   2161883 | PA      | $1933991.69   | 0.01%             | 2037-03-25      | Variable      | 6.00%                 | 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        |  91469042 | PA      | $76360459.94  | 0.25%             | 2058-10-25      | Fixed         | 3.92%                 | 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      | $20504800.19  | 0.07%             | 2064-08-25      | Variable      | 2.00%                 | 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      | $17145681.13  | 0.06%             | 2064-08-25      | Variable      | 2.50%                 | 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        |  48661791 | PA      | $40086464.53  | 0.13%             | 2064-08-25      | Variable      | 6.53%                 | 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      | $890362.85    | 0.00%             | 2053-02-15      | Variable      | 1.17%                 | 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      | $23985158.16  | 0.08%             | 2065-03-25      | Variable      | 3.40%                 | 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      | $21262827.73  | 0.07%             | 2065-03-25      | Variable      | 3.40%                 | 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        |   1181969 | PA      | $1067967.17   | 0.00%             | 2036-10-25      | Fixed         | 6.00%                 | 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      | $17125679.24  | 0.06%             | 2033-09-15      | Floating      | 5.45%                 | 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      | $10763120.30  | 0.04%             | 2049-02-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140XBMF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  54397319 | PA      | $50516087.90  | 0.17%             | 2050-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140XCB49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  24199015 | PA      | $20930278.35  | 0.07%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140XCW79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  60084971 | PA      | $51684480.65  | 0.17%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140XCXJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  31886581 | PA      | $27312584.06  | 0.09%             | 2051-09-01      | 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        |   6903767 | PA      | $1784429.73   | 0.01%             | 2036-12-25      | Floating      | 4.45%                 | 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        |  10060120 | PA      | $2526619.18   | 0.01%             | 2036-09-25      | Variable      | 6.46%                 | 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        |  37754062 | PA      | $17732999.83  | 0.06%             | 2037-05-25      | Floating      | 4.50%                 | 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        |     82066 | PA      | $82217.62     | 0.00%             | 2035-09-25      | Floating      | 4.77%                 | 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        |   7432506 | PA      | $1660065.75   | 0.01%             | 2036-06-25      | Variable      | 5.98%                 | 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        |  52685956 | PA      | $3399961.74   | 0.01%             | 2053-12-12      | Variable      | 1.77%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38379BFH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8455413 | PA      | $798978.21    | 0.00%             | 2044-04-16      | Floating      | 1.99%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38380R4L1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        | 199093765 | PA      | $12224635.89  | 0.04%             | 2063-05-16      | Variable      | 0.83%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382VED7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  29582473 | PA      | $698362.32    | 0.00%             | 2051-06-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382WEN3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  14112283 | PA      | $1650516.16   | 0.01%             | 2051-07-20      | Floating      | 2.05%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382XRU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  27732744 | PA      | $4898232.17   | 0.02%             | 2051-08-20      | 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        |  36787490 | PA      | $4636025.75   | 0.02%             | 2051-09-20      | Fixed         | 3.00%                 | 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        |  52697771 | PA      | $34745447.64  | 0.11%             | 2037-04-25      | Floating      | 4.63%                 | 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        |   3235180 | PA      | $2904648.68   | 0.01%             | 2036-12-19      | Floating      | 4.59%                 | 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        |  11185446 | PA      | $10319793.23  | 0.03%             | 2036-06-25      | Floating      | 4.83%                 | 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        |  25380021 | PA      | $7675159.52   | 0.03%             | 2037-07-25      | Fixed         | 6.50%                 | 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        |   2485560 | PA      | $2076647.18   | 0.01%             | 2036-05-25      | Floating      | 4.63%                 | 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      | $528459.31    | 0.00%             | 2036-08-25      | Fixed         | 6.00%                 | 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        |   8196343 | PA      | $7739689.50   | 0.03%             | 2036-11-25      | Floating      | 4.55%                 | 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        |  19952000 | PA      | $19886395.83  | 0.07%             | 2047-07-30      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2005-2                                                     | CUSIP: 52520MCC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1375090 | PA      | $702508.15    | 0.00%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2005-3                                                     | CUSIP: 52520MDZ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1468490 | PA      | $1248007.40   | 0.00%             | 2036-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2007-2                                                     | CUSIP: 52521DAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1355075 | PA      | $889275.94    | 0.00%             | 2037-02-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2007-6                                                     | CUSIP: 52521NAH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17835 | PA      | $15804.62     | 0.00%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                | Lehman XS Trust 2006-3                                                           | CUSIP: 525221JJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4402448 | PA      | $4482182.55   | 0.01%             | 2036-03-25      | Floating      | 4.87%                 | 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        |   8047142 | PA      | $7913863.72   | 0.03%             | 2047-07-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| Merit                          | MHP 2021-STOR                                                                    | CUSIP: 55293BAK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    388888 | PA      | $389194.21    | 0.00%             | 2038-07-15      | Floating      | 6.02%                 | No            |                  2 | On Loan: No      |
| Madison Avenue Trust           | MAD Commercial Mortgage Trust 2025-11MD                                          | CUSIP: 55616AAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  23260000 | PA      | $23394389.30  | 0.08%             | 2042-10-15      | Variable      | 5.63%                 | 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        |   6640958 | PA      | $5729510.05   | 0.02%             | 2034-08-25      | Variable      | 6.26%                 | 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        |   5415804 | PA      | $5041492.64   | 0.02%             | 2036-06-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| MENLO CLO                      | Menlo CLO I Ltd                                                                  | CUSIP: 586915AA8<br>LEI: 2549005RHPY3C68SIP61 | Long             | ABS-CBDO         | CORP              | US        |  10000000 | PA      | $10051393.00  | 0.03%             | 2038-01-20      | Floating      | 5.75%                 | 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        |    619597 | PA      | $216523.14    | 0.00%             | 2036-04-25      | Fixed         | 6.00%                 | 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        |   7779622 | PA      | $3047626.31   | 0.01%             | 2047-04-25      | Floating      | 4.41%                 | 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        |  12734469 | PA      | $2985927.42   | 0.01%             | 2037-03-25      | Floating      | 4.59%                 | 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        |   6629343 | PA      | $2675603.60   | 0.01%             | 2036-08-25      | Fixed         | 6.00%                 | 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        |    496817 | PA      | $11.68        | 0.00%             | 2041-11-12      | Variable      | 0.93%                 | 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        |  23065025 | PA      | $11086490.30  | 0.04%             | 2036-12-25      | Floating      | 4.49%                 | 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        |   4845856 | PA      | $4805127.50   | 0.02%             | 2037-01-26      | Variable      | 2.93%                 | 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      | $1282520.70   | 0.00%             | 2036-10-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-29T1                                                 | CUSIP: 02147PAV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    355369 | PA      | $508331.05    | 0.00%             | 2036-10-25      | Floating      | 18.38%                | 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        |   1788999 | PA      | $867069.12    | 0.00%             | 2036-09-25      | 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        |   4617217 | PA      | $3983612.53   | 0.01%             | 2037-08-25      | Floating      | 10.25%                | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust      | Morgan Stanley Bank of America Merrill Lynch Trust 2014 C19                      | CUSIP: 61764PBZ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2144761 | PA      | $2079024.24   | 0.01%             | 2047-12-15      | Fixed         | 4.00%                 | 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        |   6278553 | PA      | $6320790.24   | 0.02%             | 2070-06-25      | Variable      | 5.94%                 | No            |                  2 | On Loan: No      |
| BX Trust                       | BX Commercial Mortgage Trust 2021-XL2                                            | CUSIP: 05609KAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2555000 | PA      | $2553738.09   | 0.01%             | 2038-10-15      | Floating      | 5.66%                 | 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      | $15093270.00  | 0.05%             | 2035-09-15      | Floating      | 8.12%                 | No            |                  2 | On Loan: No      |
| Bank5                          | BANK5 2023-5YR4                                                                  | CUSIP: 06211FAV0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1167713 | PA      | $1232451.19   | 0.00%             | 2056-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Bank                           | BANK 2021-BNK38                                                                  | CUSIP: 06540EBH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10388000 | PA      | $397296.33    | 0.00%             | 2064-12-15      | Variable      | 0.83%                 | No            |                  2 | On Loan: No      |
| Bank5                          | BANK5 Trust 2024-5YR6                                                            | CUSIP: 066043AB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5976000 | PA      | $6315712.29   | 0.02%             | 2057-05-15      | Fixed         | 6.22%                 | No            |                  2 | On Loan: No      |
| Bridge Street CLO Ltd          | Bridge Street CLO IV Ltd                                                         | CUSIP: 107934AA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  39500000 | PA      | $39672449.10  | 0.13%             | 2037-04-20      | Floating      | 5.93%                 | 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      | $5562807.80   | 0.02%             | 2031-03-17      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| BX Trust                       | BX Trust 2021-RISE                                                               | CUSIP: 12434EAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3302701 | PA      | $3302347.40   | 0.01%             | 2036-11-15      | Floating      | 6.01%                 | 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      | $4836626.93   | 0.02%             | 2050-11-13      | Variable      | 4.44%                 | 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      | $297648.67    | 0.00%             | 2053-03-15      | Variable      | 0.15%                 | 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        |  12420212 | PA      | $2235619.50   | 0.01%             | 2036-05-25      | Variable      | 6.16%                 | No            |                  2 | On Loan: No      |
| Nomura Resecuritization Trust  | Nomura Resecuritization Trust 2014-2R                                            | CUSIP: 65540FBS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3545319 | PA      | $2858828.12   | 0.01%             | 2036-07-26      | Variable      | 3.88%                 | 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      | $23582224.15  | 0.08%             | 2037-11-26      | Floating      | 5.67%                 | 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        |  89702397 | PA      | $87480701.37  | 0.29%             | 2049-10-25      | Variable      | 5.83%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trus | CSAIL 2015-C3 Commercial Mortgage Trust                                          | CUSIP: 12635FAY0<br>LEI: 549300ZAGI6FKGY8O078 | Long             | ABS-MBS          | CORP              | US        |   9205000 | PA      | $8644665.88   | 0.03%             | 2048-08-15      | Variable      | 3.96%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Series 2010-13R                                                             | CUSIP: 12644TAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1176447 | PA      | $1033412.41   | 0.00%             | 2035-12-26      | Variable      | 5.50%                 | 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      | $5428359.78   | 0.02%             | 2066-07-25      | Variable      | 2.58%                 | 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      | $2347508.07   | 0.01%             | 2066-07-25      | Variable      | 3.29%                 | No            |                  2 | On Loan: No      |
| CAJUN GLOBAL LLC               | Cajun Global LLC                                                                 | CUSIP: 12803VAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9625000 | PA      | $9501394.79   | 0.03%             | 2051-11-20      | Fixed         | 3.93%                 | 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        |   7717786 | PA      | $7587551.21   | 0.02%             | 2036-12-25      | Floating      | 4.41%                 | 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        |   2058741 | PA      | $2658543.38   | 0.01%             | 2037-08-25      | Floating      | 18.98%                | 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      | $641150.59    | 0.00%             | 2022-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC              | PRPM 2025-5 LLC                                                                  | CUSIP: 69392RAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  71871492 | PA      | $71992825.28  | 0.24%             | 2030-07-25      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| Park Blue CLO Ltd              | Park Blue CLO 2023-IV Ltd                                                        | CUSIP: 699917AE0<br>LEI: 213800XCIR4Y5GCOQX50 | Long             | ABS-CBDO         | CORP              | US        |   7400000 | PA      | $7439295.48   | 0.02%             | 2037-01-25      | Floating      | 7.02%                 | 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        |   7061134 | PA      | $3074863.86   | 0.01%             | 2036-05-25      | Fixed         | 6.50%                 | 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        |  18638270 | PA      | $14573352.84  | 0.05%             | 2037-08-25      | Fixed         | 6.00%                 | 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        |   6302205 | PA      | $5731500.29   | 0.02%             | 2035-09-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| FRTKL                          | FRTKL 2021-SFR1                                                                  | CUSIP: 30322DAU3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6650000 | PA      | $6455229.48   | 0.02%             | 2038-09-17      | Fixed         | 2.52%                 | 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        |   6988813 | PA      | $6149503.69   | 0.02%             | 2036-11-25      | 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        |   2894663 | PA      | $1605910.61   | 0.01%             | 2036-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                                            | CUSIP: 3128MJWP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  15239236 | PA      | $13868961.39  | 0.05%             | 2045-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                                            | CUSIP: 3128MJXD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        | 118413300 | PA      | $107508649.99 | 0.35%             | 2045-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                                            | CUSIP: 3128MJXQ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  20451639 | PA      | $18560152.03  | 0.06%             | 2046-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                                            | CUSIP: 3128MJYB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  14537473 | PA      | $13174842.24  | 0.04%             | 2046-05-01      | Fixed         | 3.00%                 | 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        |   2030595 | PA      | $2003638.94   | 0.01%             | 2046-06-25      | Floating      | 5.09%                 | 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        |   2557803 | PA      | $1235795.05   | 0.00%             | 2037-02-25      | Fixed         | 5.75%                 | 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        |   9707593 | PA      | $3524383.44   | 0.01%             | 2037-02-25      | Floating      | 6.00%                 | 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      | $2558571.18   | 0.01%             | 2037-04-25      | Fixed         | 6.00%                 | 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        |    581405 | PA      | $523004.57    | 0.00%             | 2037-05-25      | Floating      | 14.27%                | 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        |   1408943 | PA      | $585870.98    | 0.00%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Altde Trust                    | ALTDE 2025-1 Trust                                                               | CUSIP: 00166NAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  24818659 | PA      | $25500527.24  | 0.08%             | 2050-08-15      | Fixed         | 5.90%                 | 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        |   1870994 | PA      | $258846.20    | 0.00%             | 2037-10-25      | Floating      | 2.68%                 | 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        |   4059503 | PA      | $937529.62    | 0.00%             | 2037-10-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| Argent Securities Inc.         | Argent Securities Trust 2006-W5                                                  | CUSIP: 04012XAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10783682 | PA      | $7191170.92   | 0.02%             | 2036-06-25      | Floating      | 4.57%                 | 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        |  16423841 | PA      | $14884168.05  | 0.05%             | 2036-11-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                                            | CUSIP: 3128S15P4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5463723 | PA      | $5089143.35   | 0.02%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                                            | CUSIP: 31307BEF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3590362 | PA      | $3534935.60   | 0.01%             | 2028-03-01      | Fixed         | 2.50%                 | 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        |   2142341 | PA      | $1298136.85   | 0.00%             | 2037-01-25      | Floating      | 4.61%                 | 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        |   9803220 | PA      | $1646736.99   | 0.01%             | 2036-05-25      | Variable      | 4.50%                 | 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      | $13480759.80  | 0.04%             | 2031-04-15      | Fixed         | 5.72%                 | 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      | $695916.11    | 0.00%             | 2052-11-15      | Variable      | 1.45%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                                            | CUSIP: 31323EBT0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8959246 | PA      | $8349877.80   | 0.03%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                 | CUSIP: 3132A5GP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10943940 | PA      | $9896817.09   | 0.03%             | 2047-03-01      | Fixed         | 3.00%                 | 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      | $344800.26    | 0.00%             | 2053-02-15      | Variable      | 1.28%                 | 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        |    890132 | PA      | $779999.17    | 0.00%             | 2046-07-25      | Fixed         | 6.00%                 | 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      | $5009962.00   | 0.02%             | 2038-04-20      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137A5CS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    435152 | PA      | $421613.76    | 0.00%             | 2041-01-15      | Fixed         | 4.00%                 | 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        |    794088 | PA      | $708622.34    | 0.00%             | 2036-12-26      | Variable      | 5.75%                 | 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      | $2059363.74   | 0.01%             | 2049-07-15      | Variable      | 4.98%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137ABXU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2799467 | PA      | $2821341.57   | 0.01%             | 2041-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137AGNT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1454946 | PA      | $1237137.82   | 0.00%             | 2041-10-15      | Floating      | 1.24%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                 | CUSIP: 3132DP7D4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  51874408 | PA      | $50716237.86  | 0.17%             | 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        |  56134129 | PA      | $49994883.32  | 0.16%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Battalion CLO LTD              | Battalion Clo XIX Ltd                                                            | CUSIP: 07133VAC0<br>LEI: 549300RYHI0ZPOOD3O84 | Long             | ABS-CBDO         | CORP              | US        |   1000000 | PA      | $1001830.10   | 0.00%             | 2034-04-15      | Floating      | 6.18%                 | 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        |   4460156 | PA      | $2702206.17   | 0.01%             | 2035-10-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                 | CUSIP: 3132DQZT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  47056459 | PA      | $47922731.56  | 0.16%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip               | Freddie Mac Strips                                                               | CUSIP: 3132J0P50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  28383638 | PA      | $24621658.35  | 0.08%             | 2047-09-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                                            | CUSIP: 3132L7K65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12399397 | PA      | $11257539.75  | 0.04%             | 2045-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                                            | CUSIP: 3132QWRY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9490954 | PA      | $8926886.92   | 0.03%             | 2046-03-01      | 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        |   1752749 | PA      | $1512404.12   | 0.00%             | 2046-10-25      | Variable      | 4.77%                 | 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        |   7771057 | PA      | $6552853.62   | 0.02%             | 2046-12-25      | Floating      | 6.37%                 | 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      | $725428.95    | 0.00%             | 2055-04-15      | Variable      | 1.96%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust       | Benchmark 2018-B7 Mortgage Trust                                                 | CUSIP: 08162TBC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  34481736 | PA      | $333959.06    | 0.00%             | 2053-05-15      | Variable      | 0.56%                 | 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      | $9584042.05   | 0.03%             | 2058-08-15      | Variable      | 5.44%                 | 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        |  16220969 | PA      | $15373635.80  | 0.05%             | 2047-06-25      | Floating      | 4.55%                 | 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        |    518403 | PA      | $425681.30    | 0.00%             | 2036-05-25      | Fixed         | 5.50%                 | 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        |   8113373 | PA      | $7749667.67   | 0.03%             | 2037-05-25      | Floating      | 4.55%                 | 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        |     30753 | PA      | $30662.04     | 0.00%             | 2035-12-20      | Variable      | 5.36%                 | 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        |   5486139 | PA      | $4894522.70   | 0.02%             | 2035-12-20      | Variable      | 4.64%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137BDM86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  32576785 | PA      | $29844732.48  | 0.10%             | 2044-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137BGBA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5099762 | PA      | $315620.69    | 0.00%             | 2044-07-15      | Floating      | 1.11%                 | 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        |    573664 | PA      | $472900.76    | 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        |  11329220 | PA      | $4919886.15   | 0.02%             | 2035-09-25      | Fixed         | 5.50%                 | 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      | $1626786.97   | 0.01%             | 2036-09-25      | Fixed         | 6.25%                 | 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        |   2977841 | PA      | $864547.42    | 0.00%             | 2036-11-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137BJGS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3268915 | PA      | $3245778.78   | 0.01%             | 2041-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137F85Y5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  19623360 | PA      | $3220466.21   | 0.01%             | 2050-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137AV4D6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2663356 | PA      | $2625422.82   | 0.01%             | 2035-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137B0U93<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3621338 | PA      | $3429182.96   | 0.01%             | 2033-03-15      | Fixed         | 3.00%                 | 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        |   1982508 | PA      | $1152595.20   | 0.00%             | 2036-10-25      | Variable      | 7.34%                 | 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        |  32451058 | PA      | $30402364.03  | 0.10%             | 2037-01-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage  | Citigroup Commercial Mortgage Trust 2020-555                                     | CUSIP: 17328EAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  17387000 | PA      | $15321231.40  | 0.05%             | 2041-12-10      | Variable      | 3.62%                 | 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      | $2518466.35   | 0.01%             | 2053-02-15      | Variable      | 3.15%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FCNA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4719786 | PA      | $4356910.26   | 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        |  13933682 | PA      | $11316971.61  | 0.04%             | 2051-02-25      | Floating      | 4.00%                 | 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        |   1036105 | PA      | $474691.06    | 0.00%             | 2036-11-25      | Fixed         | 6.25%                 | 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      | $26133825.60  | 0.09%             | 2042-08-19      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137H23X0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  30899030 | PA      | $2838650.60   | 0.01%             | 2046-08-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140LFHN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  41850000 | PA      | $36284376.45  | 0.12%             | 2032-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip               | Freddie Mac Strips                                                               | CUSIP: 31325YCP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  96133648 | PA      | $15695635.96  | 0.05%             | 2050-12-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                 | CUSIP: 3133KPMB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7526576 | PA      | $7118785.07   | 0.02%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140LGJ78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6651063 | PA      | $5953799.00   | 0.02%             | 2052-05-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140LGX80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8665000 | PA      | $8511959.55   | 0.03%             | 2032-08-01      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136A2JU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1386369 | PA      | $1341829.76   | 0.00%             | 2041-11-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137A2UP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4674509 | PA      | $3912903.63   | 0.01%             | 2040-11-15      | Floating      | 1.06%                 | 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      | $22127353.77  | 0.07%             | 2042-08-17      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust     | Progress Residential 2021-SFR10 Trust                                            | CUSIP: 74333WAJ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  48592256 | PA      | $46528533.21  | 0.15%             | 2040-12-17      | Fixed         | 3.57%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137A4EL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2632869 | PA      | $2600969.94   | 0.01%             | 2030-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137A4FY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    712337 | PA      | $703706.41    | 0.00%             | 2030-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137A7VG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3350433 | PA      | $2836634.21   | 0.01%             | 2041-02-15      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137AFT28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8920997 | PA      | $8721612.45   | 0.03%             | 2041-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137BJGQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3759294 | PA      | $3732687.46   | 0.01%             | 2041-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137BL6T0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7456389 | PA      | $7254281.14   | 0.02%             | 2044-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137B4QW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8852526 | PA      | $6867728.59   | 0.02%             | 2043-09-15      | Floating      | 1.30%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FG3E3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5442644 | PA      | $4397613.36   | 0.01%             | 2048-06-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae II Pool                                                               | CUSIP: 3617UPUF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7783379 | PA      | $6701773.98   | 0.02%             | 2051-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae II Pool                                                               | CUSIP: 3617X4KF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5903147 | PA      | $4913022.88   | 0.02%             | 2052-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FMK84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8569656 | PA      | $8141104.52   | 0.03%             | 2049-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3138ASMP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    725713 | PA      | $701791.89    | 0.00%             | 2041-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3138ASRV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50158 | PA      | $47853.18     | 0.00%             | 2041-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31396W2J4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1055808 | PA      | $120386.56    | 0.00%             | 2037-08-25      | Floating      | 1.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31397LC56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     93340 | PA      | $7565.20      | 0.00%             | 2038-07-25      | Floating      | 1.68%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31397RVZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     95885 | PA      | $6894.28      | 0.00%             | 2038-03-15      | Floating      | 1.16%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31397SWN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1019629 | PA      | $1014738.97   | 0.00%             | 2041-05-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31397TP71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    138963 | PA      | $9309.05      | 0.00%             | 2037-02-15      | Floating      | 1.54%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31398MX35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    474478 | PA      | $26781.54     | 0.00%             | 2040-04-25      | Floating      | 0.53%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31398QY92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    186682 | PA      | $146373.43    | 0.00%             | 2040-10-15      | Floating      | 1.03%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31398RQ81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2026768 | PA      | $2065965.40   | 0.01%             | 2040-06-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31398W4N1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1719896 | PA      | $1782982.47   | 0.01%             | 2036-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140LJKR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3250044 | PA      | $3341891.35   | 0.01%             | 2031-04-01      | Fixed         | 4.87%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140LLLB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  18222664 | PA      | $18869007.55  | 0.06%             | 2040-08-01      | Fixed         | 5.27%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140NVJY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        | 138103000 | PA      | $143778290.31 | 0.47%             | 2031-06-01      | Fixed         | 5.81%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140QFBD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  32176384 | PA      | $27565713.11  | 0.09%             | 2050-10-01      | 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        |  36476940 | PA      | $29788497.26  | 0.10%             | 2051-03-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38374XXB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    349004 | PA      | $9580.41      | 0.00%             | 2038-09-20      | Floating      | 1.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140QNQU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  55640780 | PA      | $49464733.21  | 0.16%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140XMUM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  44270590 | PA      | $38133271.55  | 0.13%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140XQBW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  30172300 | PA      | $31168171.70  | 0.10%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31414SYM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50270 | PA      | $51570.39     | 0.00%             | 2038-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31416CH25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5124596 | PA      | $5193096.38   | 0.02%             | 2036-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31417ALD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    498004 | PA      | $475124.39    | 0.00%             | 2041-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31417C6S9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2436816 | PA      | $2241535.53   | 0.01%             | 2042-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31417FU55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7665101 | PA      | $7233314.40   | 0.02%             | 2038-03-01      | Fixed         | 3.00%                 | 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        |   1536219 | PA      | $1176915.83   | 0.00%             | 2037-01-25      | 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        |  17655690 | PA      | $10809346.80  | 0.04%             | 2037-09-25      | Variable      | 6.28%                 | 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      | $958636.95    | 0.00%             | 2036-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC 2019-RPL6 Trust                                                             | CUSIP: 12656JCL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 153171826 | PA      | $132354702.69 | 0.44%             | 2058-11-25      | Variable      | 4.15%                 | No            |                  2 | 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        |  16296353 | PA      | $8524739.74   | 0.03%             | 2037-03-25      | Floating      | 4.55%                 | 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        |   2505764 | PA      | $1579041.01   | 0.01%             | 2035-05-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| Firstkey Homes Trust           | FirstKey Homes 2021-SFR2 Trust                                                   | CUSIP: 33767TAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8000000 | PA      | $7753652.80   | 0.03%             | 2038-09-17      | Fixed         | 2.06%                 | 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      | $22060121.48  | 0.07%             | 2038-12-17      | Fixed         | 2.79%                 | 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      | $9899929.74   | 0.03%             | 2038-12-17      | Fixed         | 3.58%                 | 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      | $23142126.20  | 0.08%             | 2044-08-25      | Floating      | 6.16%                 | 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        |  28557559 | PA      | $28557679.13  | 0.09%             | 2045-01-25      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae II Pool                                                               | CUSIP: 36179TT96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  14389839 | PA      | $13007890.51  | 0.04%             | 2048-03-20      | Fixed         | 3.00%                 | 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        |    798728 | PA      | $311687.43    | 0.00%             | 2036-05-25      | Fixed         | 6.00%                 | 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      | $988345.96    | 0.00%             | 2036-03-25      | Floating      | 1.03%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae II Pool                                                               | CUSIP: 3617UVEG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6947536 | PA      | $6033620.06   | 0.02%             | 2051-04-20      | Fixed         | 2.50%                 | 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        |   2475137 | PA      | $891412.13    | 0.00%             | 2037-11-25      | Fixed         | 6.50%                 | 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        |    569927 | PA      | $499214.11    | 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        |    828529 | PA      | $724891.90    | 0.00%             | 2036-10-25      | Variable      | 5.90%                 | 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        |    875226 | PA      | $263441.93    | 0.00%             | 2036-09-25      | Variable      | 4.74%                 | 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        |  12780536 | PA      | $210338.22    | 0.00%             | 2036-01-25      | Variable      | 0.00%                 | 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        |  12141586 | PA      | $11292016.54  | 0.04%             | 2039-08-22      | Fixed         | 3.67%                 | No            |                  2 | On Loan: No      |
| Empower CLO Ltd.               | Empower CLO 2023-3 Ltd                                                           | CUSIP: 29247KAJ6<br>LEI: 213800DM8ZNUIQ1JCN40 | Long             | ABS-CBDO         | CORP              | US        |   9000000 | PA      | $9028621.80   | 0.03%             | 2037-01-20      | Floating      | 6.88%                 | No            |                  2 | On Loan: No      |
| Great Wolf Trust               | GWT 2024-WLF2                                                                    | CUSIP: 362414AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  15000000 | PA      | $15047959.50  | 0.05%             | 2041-05-15      | Floating      | 5.84%                 | 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      | $1056466.95   | 0.00%             | 2031-07-15      | Floating      | 7.25%                 | No            |                  2 | On Loan: No      |
| Falcon Aerospace Ltd           | Falcon Aerospace Ltd 2017-1                                                      | CUSIP: 30605YAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    130692 | PA      | $131261.65    | 0.00%             | 2042-02-15      | Fixed         | 4.58%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136A2JC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    791346 | PA      | $765490.79    | 0.00%             | 2041-11-25      | Fixed         | 4.00%                 | 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      | $387991.80    | 0.00%             | 2031-07-15      | Floating      | 8.37%                 | 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        | 168948194 | PA      | $3605117.93   | 0.01%             | 2053-02-13      | Variable      | 0.73%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3138A2HS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    105238 | PA      | $103287.34    | 0.00%             | 2040-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3138ASTZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1370976 | PA      | $1311402.98   | 0.00%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3138AVSG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4376426 | PA      | $4186288.67   | 0.01%             | 2041-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3138E1HL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    912405 | PA      | $870487.06    | 0.00%             | 2041-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GPMT Ltd.                      | GPMT 2021-FL4 Ltd                                                                | CUSIP: 36262TAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  10755183 | PA      | $10785200.78  | 0.04%             | 2036-12-15      | Floating      | 5.60%                 | 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      | $7438275.66   | 0.02%             | 2060-05-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3138EEP86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    425556 | PA      | $423179.02    | 0.00%             | 2042-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3138EEPZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1561157 | PA      | $1489458.58   | 0.00%             | 2042-03-01      | Fixed         | 4.00%                 | 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        |  10981209 | PA      | $6960760.92   | 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        |   5723902 | PA      | $5763856.78   | 0.02%             | 2065-06-25      | Variable      | 5.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3138ENXE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  14642651 | PA      | $12913793.84  | 0.04%             | 2053-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3138L95L2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  25418390 | PA      | $23098525.31  | 0.08%             | 2040-06-01      | Fixed         | 3.14%                 | 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        |  12418568 | PA      | $12569639.12  | 0.04%             | 2049-06-20      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38378JM66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1094481 | PA      | $1084975.29   | 0.00%             | 2042-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3138LNQE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3663688 | PA      | $3528414.80   | 0.01%             | 2030-06-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3138M8J95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11312934 | PA      | $10524470.24  | 0.03%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38378UCV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8368878 | PA      | $881815.26    | 0.00%             | 2043-09-16      | Floating      | 1.94%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38380RR93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        | 152924133 | PA      | $6476275.86   | 0.02%             | 2061-01-16      | Variable      | 0.56%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3138WBHQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5683019 | PA      | $5655401.34   | 0.02%             | 2044-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3138WBZR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1439172 | PA      | $1430677.12   | 0.00%             | 2044-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38380RV49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        | 152875768 | PA      | $9790286.50   | 0.03%             | 2062-10-16      | Variable      | 0.86%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38380RWD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  73959650 | PA      | $6240537.79   | 0.02%             | 2062-12-16      | Variable      | 1.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3138WEJZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8317701 | PA      | $7911267.22   | 0.03%             | 2035-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3138YBX24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11503703 | PA      | $10168487.57  | 0.03%             | 2045-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3138YKCH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2569331 | PA      | $2271058.38   | 0.01%             | 2045-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31402Q6T3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1670994 | PA      | $1709979.34   | 0.01%             | 2035-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382LZ87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  22973419 | PA      | $2628630.05   | 0.01%             | 2050-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382ME47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  52826346 | PA      | $6329135.04   | 0.02%             | 2051-01-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140HNE73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  19396571 | PA      | $14564117.95  | 0.05%             | 2050-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31418AE95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7516718 | PA      | $7388624.87   | 0.02%             | 2032-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382QGW4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  67831037 | PA      | $11576797.62  | 0.04%             | 2051-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382RFK9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  87122111 | PA      | $14862404.94  | 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        |  23544666 | PA      | $2956086.91   | 0.01%             | 2051-06-20      | Floating      | 2.05%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382UBT7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  56714280 | PA      | $8468116.94   | 0.03%             | 2051-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382VKU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  35615857 | PA      | $4191348.89   | 0.01%             | 2049-08-20      | 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        |  98691438 | PA      | $535855.03    | 0.00%             | 2051-07-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| RBSGC Mortgage Pass Through Ce | RBSGC Structured Trust 2008-B                                                    | CUSIP: 74928BAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9854274 | PA      | $8641238.54   | 0.03%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RBSSP Resecuritization Trust   | RBSSP Resecuritization Trust 2009-12                                             | CUSIP: 74928UCD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11436666 | PA      | $10182603.60  | 0.03%             | 2035-12-25      | Variable      | 4.36%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31418B6K7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4214805 | PA      | $3725544.77   | 0.01%             | 2046-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31418BL95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3046590 | PA      | $2826490.26   | 0.01%             | 2045-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382WPN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  39151117 | PA      | $5637322.34   | 0.02%             | 2051-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382XAF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  53817924 | PA      | $8850965.74   | 0.03%             | 2051-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31418BMN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9412007 | PA      | $9162049.12   | 0.03%             | 2035-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31418CAM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  15336726 | PA      | $13556479.87  | 0.04%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31418PM36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     70927 | PA      | $71025.90     | 0.00%             | 2030-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38380RWA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  25453502 | PA      | $1849538.00   | 0.01%             | 2062-12-16      | Variable      | 1.03%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382XTB1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        | 103858327 | PA      | $18574646.26  | 0.06%             | 2051-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38383AAR5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  20784873 | PA      | $3040953.73   | 0.01%             | 2051-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38383AJE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  34346113 | PA      | $4997215.25   | 0.02%             | 2051-09-20      | Floating      | 2.05%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38383ALK8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  68400798 | PA      | $12852591.96  | 0.04%             | 2051-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38380RYD6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  29060522 | PA      | $2340054.94   | 0.01%             | 2062-08-16      | Variable      | 1.14%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38380V4Y4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12693209 | PA      | $10711726.89  | 0.04%             | 2047-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381EJK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  50551098 | PA      | $3520166.17   | 0.01%             | 2063-01-16      | Variable      | 0.97%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381HDL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        | 118694185 | PA      | $4784147.18   | 0.02%             | 2063-10-16      | Variable      | 0.53%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38383MKH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11203722 | PA      | $10435010.01  | 0.03%             | 2049-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38383UVT4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  57265632 | PA      | $8250379.89   | 0.03%             | 2051-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38383AUY8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  21404277 | PA      | $3665326.26   | 0.01%             | 2051-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38383CL24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  14092619 | PA      | $2116587.36   | 0.01%             | 2051-07-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38383CNL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  20690819 | PA      | $3043038.13   | 0.01%             | 2051-10-20      | 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        |  34879678 | PA      | $5649580.01   | 0.02%             | 2051-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140LK6Z1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5521461 | PA      | $5660163.50   | 0.02%             | 2040-07-01      | Fixed         | 5.15%                 | 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      | $845865.91    | 0.00%             | 2033-03-10      | Variable      | 5.07%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38383WBW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  27733207 | PA      | $5295259.20   | 0.02%             | 2051-07-20      | Fixed         | 3.50%                 | 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        |   3952540 | PA      | $3834268.41   | 0.01%             | 2037-09-25      | Variable      | 4.54%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38383CUQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  20162280 | PA      | $3812453.24   | 0.01%             | 2051-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38383CVF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  29863167 | PA      | $4439371.87   | 0.01%             | 2051-10-20      | Fixed         | 2.50%                 | 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      | $1979543.66   | 0.01%             | 2035-09-25      | Floating      | 5.17%                 | 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        |  21340722 | PA      | $9445396.94   | 0.03%             | 2036-08-25      | Floating      | 4.51%                 | 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      | $552295.59    | 0.00%             | 2050-08-10      | Variable      | 0.44%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38375YDW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    344230 | PA      | $6505.01      | 0.00%             | 2038-09-20      | Floating      | 1.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38383FBJ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8276502 | PA      | $1212453.72   | 0.00%             | 2051-12-20      | 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        |  11592400 | PA      | $11636513.51  | 0.04%             | 2047-04-20      | Fixed         | 5.00%                 | 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        |   3787360 | PA      | $2402148.13   | 0.01%             | 2036-12-25      | Floating      | 4.53%                 | 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        |   1689078 | PA      | $525759.28    | 0.00%             | 2037-08-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38384AWW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  41926474 | PA      | $7243854.97   | 0.02%             | 2050-07-20      | Fixed         | 3.50%                 | 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      | $20580707.47  | 0.07%             | 2052-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38376CJK6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1144799 | PA      | $1151144.63   | 0.00%             | 2039-09-20      | 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        |   1728045 | PA      | $167354.29    | 0.00%             | 2041-05-20      | Floating      | 1.90%                 | 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      | $16545953.94  | 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        |  45493766 | PA      | $7746059.78   | 0.03%             | 2051-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381HYH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  78289477 | PA      | $4647701.75   | 0.02%             | 2063-10-16      | Variable      | 0.72%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382FXU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7703979 | PA      | $6112634.70   | 0.02%             | 2050-06-20      | Fixed         | 1.30%                 | 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        |  12155450 | PA      | $7951909.31   | 0.03%             | 2037-04-25      | Floating      | 4.55%                 | 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        |  38779351 | PA      | $15537920.21  | 0.05%             | 2035-09-19      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| Horizon Aircraft Finance       | Horizon Aircraft Finance IV Ltd                                                  | CUSIP: 43990EAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  24177500 | PA      | $24569610.70  | 0.08%             | 2049-09-15      | Fixed         | 5.38%                 | 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      | $1138571.24   | 0.00%             | 2046-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38378PTH1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2688529 | PA      | $190149.46    | 0.00%             | 2043-02-16      | Floating      | 1.99%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38378VF67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6322491 | PA      | $710828.14    | 0.00%             | 2043-08-20      | Floating      | 1.90%                 | 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        |  30128497 | PA      | $807.44       | 0.00%             | 2048-11-15      | Variable      | 1.21%                 | 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        |   3260223 | PA      | $956286.67    | 0.00%             | 2036-07-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382GQP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  15202589 | PA      | $2153489.33   | 0.01%             | 2050-07-20      | Floating      | 1.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382HF96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  36188772 | PA      | $5330179.13   | 0.02%             | 2050-08-20      | Fixed         | 2.50%                 | 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        |   6097981 | PA      | $2209489.46   | 0.01%             | 2037-03-25      | Fixed         | 6.00%                 | 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        |   3806903 | PA      | $1619770.37   | 0.01%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382HHG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  15876584 | PA      | $2653536.02   | 0.01%             | 2050-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382KMG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  31939142 | PA      | $4830929.31   | 0.02%             | 2050-10-20      | Floating      | 2.05%                 | 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      | $6742581.50   | 0.02%             | 2035-11-15      | Floating      | 6.95%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2006-7                                                     | CUSIP: 52520QAM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2765717 | PA      | $613491.34    | 0.00%             | 2036-11-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382WHP5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  21561733 | PA      | $3322350.34   | 0.01%             | 2051-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382WSF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  38684972 | PA      | $7163745.06   | 0.02%             | 2051-03-20      | Fixed         | 3.50%                 | 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        |   4531562 | PA      | $2007241.25   | 0.01%             | 2037-02-26      | Variable      | 6.00%                 | 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        |   7594439 | PA      | $3237661.99   | 0.01%             | 2037-02-26      | Fixed         | 6.00%                 | 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        |  15982335 | PA      | $159.82       | 0.00%             | 2048-07-15      | Variable      | 0.12%                 | 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      | $7231405.94   | 0.02%             | 2049-03-17      | Variable      | 4.85%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382XZS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  35284589 | PA      | $6215359.21   | 0.02%             | 2051-08-20      | 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        |  35708310 | PA      | $6144496.80   | 0.02%             | 2051-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Katayma CLO Ltd                | Katayma CLO II Ltd                                                               | CUSIP: 485862AA4<br>LEI: 254900HW0KYG9AOGVP97 | Long             | ABS-CBDO         | CORP              | US        |  25000000 | PA      | $25094777.50  | 0.08%             | 2037-04-20      | Floating      | 5.98%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2006-1                                                     | CUSIP: 52520MFG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1893358 | PA      | $1220675.48   | 0.00%             | 2036-02-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2006-4                                                     | CUSIP: 52520RAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    868440 | PA      | $656062.70    | 0.00%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2007-4                                                     | CUSIP: 52521LAQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2226131 | PA      | $663197.80    | 0.00%             | 2037-05-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38383CBX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  38172596 | PA      | $7227771.09   | 0.02%             | 2051-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38383CMX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  25533047 | PA      | $4618448.20   | 0.02%             | 2051-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2006-7                                                     | CUSIP: 52520QAQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10232518 | PA      | $1182132.13   | 0.00%             | 2036-11-25      | Floating      | 2.28%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2006-4                                                     | CUSIP: 52520RAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1366378 | PA      | $116424.03    | 0.00%             | 2036-08-25      | Floating      | 1.13%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38383CQ94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  45841535 | PA      | $6399372.89   | 0.02%             | 2051-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38383DTN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3800911 | PA      | $20404.05     | 0.00%             | 2051-11-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38383FLS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  28878653 | PA      | $4999316.53   | 0.02%             | 2051-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38383L7D6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  48645231 | PA      | $9444680.73   | 0.03%             | 2052-01-20      | Fixed         | 3.50%                 | 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        |   6180651 | PA      | $5462284.28   | 0.02%             | 2036-02-25      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| Luminent Mortgage Trust        | Luminent Mortgage Trust 2005-1                                                   | CUSIP: 550279AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1111757 | PA      | $1076964.61   | 0.00%             | 2035-11-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38383LHD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  74891062 | PA      | $10591872.80  | 0.03%             | 2051-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38383MB23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  29938507 | PA      | $4668811.40   | 0.02%             | 2052-01-20      | Fixed         | 2.50%                 | 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      | $3181774.84   | 0.01%             | 2037-01-25      | Variable      | 5.47%                 | No            |                  2 | On Loan: No      |
| Renew Financial                | Renew 2017-2                                                                     | CUSIP: 75973KAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5563988 | PA      | $5096562.93   | 0.02%             | 2053-09-22      | Fixed         | 3.22%                 | 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      | $18516059.69  | 0.06%             | 2051-12-20      | Fixed         | 2.00%                 | 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      | $4760220.30   | 0.02%             | 2052-04-20      | Fixed         | 2.50%                 | 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        |   1105613 | PA      | $960911.32    | 0.00%             | 2035-10-25      | 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        |   3924871 | PA      | $3607419.18   | 0.01%             | 2035-08-25      | Variable      | 5.94%                 | 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        |   2322136 | PA      | $863142.77    | 0.00%             | 2037-11-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| MHC Commercial Mortgage Trust  | MHC Commercial Mortgage Trust 2021-MHC                                           | CUSIP: 55316VAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    520719 | PA      | $520898.02    | 0.00%             | 2038-04-15      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38383UVV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  58981214 | PA      | $8695010.64   | 0.03%             | 2051-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38383XPA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  31377964 | PA      | $29842706.19  | 0.10%             | 2049-10-20      | Fixed         | 4.00%                 | 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      | $2350489.96   | 0.01%             | 2036-11-25      | Variable      | 5.01%                 | 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        |   5434535 | PA      | $5284115.81   | 0.02%             | 2037-05-25      | Floating      | 4.69%                 | 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      | $225508767.00 | 0.74%             | 2041-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Vault DI Issuer LLC            | Vault DI Issuer LLC                                                              | CUSIP: 92243JAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  54400000 | PA      | $53283396.48  | 0.18%             | 2046-07-15      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38383XTD6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  29028359 | PA      | $4231963.23   | 0.01%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38384GNH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11568788 | PA      | $6796472.26   | 0.02%             | 2051-11-20      | Fixed         | 3.00%                 | 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        |  43445587 | PA      | $43795314.81  | 0.14%             | 2054-12-25      | Variable      | 5.81%                 | 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        |   7087060 | PA      | $3230282.76   | 0.01%             | 2037-01-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38384GUM0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  25539423 | PA      | $23259143.14  | 0.08%             | 2053-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38384H6P8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12392057 | PA      | $9328376.36   | 0.03%             | 2050-01-20      | Fixed         | 3.00%                 | 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        |   3258587 | PA      | $2851614.61   | 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 2006-1 Trust   | CUSIP: 93934FKU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    558310 | PA      | $528501.89    | 0.00%             | 2036-02-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38384JYV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  20959312 | PA      | $3169840.17   | 0.01%             | 2051-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38384QT32<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  15472954 | PA      | $15514074.83  | 0.05%             | 2054-07-20      | Floating      | 5.59%                 | 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        |    973022 | PA      | $776252.29    | 0.00%             | 2036-07-25      | Fixed         | 5.75%                 | 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        |   2467575 | PA      | $2158000.32   | 0.01%             | 2037-07-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38384W6C4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  28081409 | PA      | $4423863.73   | 0.01%             | 2048-02-20      | Fixed         | 3.50%                 | 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        |  20221557 | PA      | $7204075.26   | 0.02%             | 2045-08-25      | Floating      | 4.79%                 | 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        |   5557129 | PA      | $805856.53    | 0.00%             | 2037-01-25      | Floating      | 2.35%                 | 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        | 159725030 | PA      | $2093372.22   | 0.01%             | 2050-10-15      | Variable      | 0.97%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38379AL24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8054233 | PA      | $1039020.16   | 0.00%             | 2044-03-20      | Floating      | 1.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38380RM64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        | 562059237 | PA      | $34601490.74  | 0.11%             | 2063-04-16      | Variable      | 0.81%                 | 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        | 376902421 | NS      | $376902421.05 | 1.24%             |  |  |  | No            |                  1 | On Loan: No      |
| Labrador Aviation Finance Limi | Labrador Aviation Finance Ltd 2016-1A                                            | CUSIP: 50543LAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  34944719 | PA      | $33305881.14  | 0.11%             | 2042-01-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Project Sunbird                | Sunbird Engine Finance LLC                                                       | CUSIP: 86709LAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | SG        |  22619014 | PA      | $22254485.69  | 0.07%             | 2045-02-15      | Fixed         | 3.67%                 | 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      | $8734248.18   | 0.03%             | 2038-07-17      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2006-9                                                     | CUSIP: 52521HAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1730033 | PA      | $872357.07    | 0.00%             | 2037-01-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2006-9                                                     | CUSIP: 52521HAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5177197 | PA      | $387104.23    | 0.00%             | 2037-01-25      | Floating      | 0.88%                 | 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        |  17149328 | PA      | $12685604.86  | 0.04%             | 2037-06-25      | Floating      | 4.48%                 | 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        |   5251542 | PA      | $3499827.99   | 0.01%             | 2037-06-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2006-9                                                     | CUSIP: 52521HBE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3416823 | PA      | $666340.28    | 0.00%             | 2037-01-25      | Floating      | 4.65%                 | 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        |    589411 | PA      | $576057.43    | 0.00%             | 2036-10-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Nassau 2018-I Ltd.             | Nassau 2018-I Ltd                                                                | CUSIP: 63170MAA1<br>LEI: 5493003RNMF4L18JF715 | Long             | ABS-CBDO         | CORP              | US        |   4791079 | PA      | $4794588.80   | 0.02%             | 2031-07-15      | Floating      | 5.73%                 | 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      | $14316245.06  | 0.05%             | 2059-11-25      | Variable      | 3.50%                 | 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        |   3688643 | PA      | $1003710.14   | 0.00%             | 2036-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MF1 Multifamily Housing Mortga | MF1 2022-FL8 Ltd                                                                 | CUSIP: 55284JAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   8409594 | PA      | $8422158.12   | 0.03%             | 2037-02-19      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| MF1 Multifamily Housing Mortga | MF1 2022-FL9 LLC                                                                 | CUSIP: 55285AAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   7101540 | PA      | $7119215.97   | 0.02%             | 2037-06-19      | Floating      | 6.28%                 | No            |                  2 | On Loan: No      |
| MF1 Multifamily Housing Mortga | MF1 2025-FL17 LLC                                                                | CUSIP: 55287HAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  26120000 | PA      | $26177542.36  | 0.09%             | 2040-02-18      | Floating      | 5.46%                 | 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        |  13644101 | PA      | $3881453.26   | 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-WF1              | CUSIP: 65537BAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1065500 | PA      | $275745.82    | 0.00%             | 2036-06-25      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38380RNM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  60294879 | PA      | $3865595.15   | 0.01%             | 2063-06-16      | Variable      | 0.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381DDS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  57395744 | PA      | $3954549.51   | 0.01%             | 2062-12-16      | Variable      | 0.90%                 | 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        |     62768 | PA      | $53858.04     | 0.00%             | 2036-06-25      | Fixed         | 6.00%                 | 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        |   1133837 | PA      | $874821.23    | 0.00%             | 2037-04-25      | Fixed         | 6.00%                 | 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      | $9770279.94   | 0.03%             | 2035-07-25      | Floating      | 6.12%                 | 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        |  26511290 | PA      | $7123045.55   | 0.02%             | 2036-10-25      | Floating      | 4.55%                 | 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        |   7154961 | PA      | $5823127.02   | 0.02%             | 2037-07-25      | Fixed         | 6.00%                 | 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      | $15076938.00  | 0.05%             | 2037-07-20      | Floating      | 5.77%                 | 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        |   1363151 | PA      | $875543.13    | 0.00%             | 2035-12-25      | Fixed         | 5.50%                 | 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        |  16320729 | PA      | $16074863.87  | 0.05%             | 2057-09-24      | Variable      | 3.90%                 | 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      | $2222034.30   | 0.01%             | 2038-05-15      | Floating      | 5.76%                 | 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        |   2500503 | PA      | $2441487.30   | 0.01%             | 2039-12-15      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| Hudson Yards                   | Hudson Yards 2025-SPRL Mortgage Trust                                            | CUSIP: 44855PAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8450000 | PA      | $8740348.76   | 0.03%             | 2040-01-13      | Variable      | 5.65%                 | No            |                  2 | On Loan: No      |
| ILPT Commercial Mortgage Trust | ILPT Commercial Mortgage Trust 2025-LPF2                                         | CUSIP: 451955AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1846000 | PA      | $1881631.68   | 0.01%             | 2042-07-13      | Variable      | 5.47%                 | 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        |   4131535 | PA      | $3752214.89   | 0.01%             | 2039-02-15      | Floating      | 11.65%                | 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      | $3023473.20   | 0.01%             | 2065-05-25      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust | Morgan Stanley Capital I Trust 2015-UBS8                                         | CUSIP: 61691ABM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13202707 | PA      | $5290.32      | 0.00%             | 2048-12-15      | Variable      | 0.84%                 | 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      | $466059.04    | 0.00%             | 2052-06-15      | Variable      | 1.72%                 | 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        |   4748379 | PA      | $3207298.55   | 0.01%             | 2037-04-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| ServiceMaster Brands           | ServiceMaster Funding LLC                                                        | CUSIP: 81761TAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3901677 | PA      | $3466079.23   | 0.01%             | 2051-01-30      | Fixed         | 3.34%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                | Impac CMB Trust Series 2002-9F                                                   | CUSIP: 45254NDK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5312 | PA      | $5295.73      | 0.00%             | 2032-12-25      | Variable      | 5.22%                 | 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        |  20482173 | PA      | $18237621.64  | 0.06%             | 2057-01-25      | Variable      | 2.09%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partne | PRET 2021-RN2 LLC                                                                | CUSIP: 74143FAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10459559 | PA      | $10458602.94  | 0.03%             | 2051-07-25      | Variable      | 5.74%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partne | PRET 2024-NPL9 LLC                                                               | CUSIP: 74143TAA7<br>LEI: 25490072TKR6YZ7BOH19 | Long             | ABS-MBS          | CORP              | US        |  54928669 | PA      | $55057290.15  | 0.18%             | 2054-12-25      | Variable      | 5.85%                 | 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      | $957789.79    | 0.00%             | 2051-06-15      | Variable      | 4.71%                 | 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        |  91294461 | PA      | $90691718.14  | 0.30%             | 2027-07-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| SHENTON AIRCRAFT INVESTMENT LT | Shenton Aircraft Investment I Ltd                                                | CUSIP: 82321UAA1<br>LEI: 254900877LAQRYY3YZ51 | Long             | ABS-O            | CORP              | CN        |  14275008 | PA      | $14035558.62  | 0.05%             | 2042-10-15      | Fixed         | 4.75%                 | 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        |  18000000 | PA      | $17459272.80  | 0.06%             | 2047-08-25      | Fixed         | 3.83%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust     | Progress Residential 2025-SFR5 Trust                                             | CUSIP: 74334RAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  14300000 | PA      | $13779279.80  | 0.05%             | 2042-10-17      | Fixed         | 4.00%                 | 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        |    843847 | PA      | $714801.14    | 0.00%             | 2036-04-25      | Floating      | 8.00%                 | 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        |  10603626 | PA      | $9429244.65   | 0.03%             | 2057-01-25      | Variable      | 2.30%                 | 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        |    467520 | PA      | $436102.54    | 0.00%             | 2036-09-25      | Variable      | 4.30%                 | No            |                  2 | On Loan: No      |
| Generate CLO Ltd.              | Generate CLO 3 Ltd                                                               | CUSIP: 98625UBE1<br>LEI: 549300TKWX739FHPEQ97 | Long             | ABS-CBDO         | CORP              | US        |   5800000 | PA      | $5816473.74   | 0.02%             | 2036-10-20      | Floating      | 6.93%                 | 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        |   4944096 | PA      | $4146483.33   | 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        |   5753075 | PA      | $4836033.80   | 0.02%             | 2036-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2005-A6                                                 | CUSIP: 466247UA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     48261 | PA      | $49056.23     | 0.00%             | 2035-08-25      | Variable      | 6.18%                 | 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      | $1114399.37   | 0.00%             | 2052-03-10      | Variable      | 2.18%                 | 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        |   1040569 | PA      | $42042.85     | 0.00%             | 2035-11-25      | Floating      | 0.53%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati | Residential Asset Securitization Trust 2007-A5                                   | CUSIP: 76114HAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  22939906 | PA      | $1389366.89   | 0.00%             | 2037-05-25      | Floating      | 1.83%                 | 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      | $6323511.60   | 0.02%             | 2048-09-15      | 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        |   1959281 | PA      | $1857431.77   | 0.01%             | 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        |    180472 | PA      | $161799.27    | 0.00%             | 2037-06-25      | Floating      | 4.77%                 | 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      | $15198643.28  | 0.05%             | 2037-07-15      | Floating      | 5.79%                 | 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        | 129002973 | PA      | $3814166.40   | 0.01%             | 2052-12-15      | Variable      | 0.96%                 | 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      | $12965105.06  | 0.04%             | 2058-07-15      | Fixed         | 5.92%                 | No            |                  2 | On Loan: No      |
| MFT Trust                      | MFT Trust 2020-ABC                                                               | CUSIP: 55317BAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9417000 | PA      | $7729247.59   | 0.03%             | 2042-02-10      | Fixed         | 3.36%                 | 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      | $5033229.62   | 0.02%             | 2052-07-15      | Fixed         | 3.52%                 | 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      | $15115810.50  | 0.05%             | 2029-11-15      | Fixed         | 4.92%                 | No            |                  2 | On Loan: No      |
| NBC Funding LLC                | NBC Funding LLC                                                                  | CUSIP: 62878YAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11100000 | PA      | $11380565.82  | 0.04%             | 2055-07-30      | Fixed         | 6.21%                 | No            |                  2 | On Loan: No      |
| Navigator Aviation Ltd         | Navigator 2025-1 Aviation Ltd                                                    | CUSIP: 63943GAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | AE        |  29500000 | PA      | $29610182.50  | 0.10%             | 2050-10-15      | Fixed         | 5.89%                 | 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        |  91780973 | PA      | $90735611.38  | 0.30%             | 2028-01-15      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| VEGAS Trust                    | VEGAS Trust 2024-TI                                                              | CUSIP: 92254AAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  28313000 | PA      | $28750784.10  | 0.09%             | 2039-11-10      | Fixed         | 5.52%                 | 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        |   1927527 | PA      | $1766253.39   | 0.01%             | 2049-03-25      | Variable      | 4.61%                 | No            |                  2 | On Loan: No      |
| N/A                            | US 5YR NOTE (CBT) Dec25                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |     11300 | NC      | $1923498.43   | 0.01%             |  |  |  | No            |                  1 | 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        |     13567 | PA      | $13429.76     | 0.00%             | 2035-02-25      | Variable      | 5.36%                 | 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        |   2405631 | PA      | $634270.24    | 0.00%             | 2037-02-25      | Variable      | 6.56%                 | No            |                  2 | On Loan: No      |
| N/A                            | US ULTRA BOND CBT Dec25                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      5675 | NC      | $14637769.24  | 0.05%             |  |  |  | No            |                  1 | 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        |  11990222 | PA      | $3161984.67   | 0.01%             | 2037-02-25      | Variable      | 6.49%                 | 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        |   7055332 | PA      | $3262461.86   | 0.01%             | 2036-10-25      | Floating      | 4.59%                 | 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        |    477072 | PA      | $408986.68    | 0.00%             | 2036-08-25      | Fixed         | 5.75%                 | 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        |   5367207 | PA      | $5358864.69   | 0.02%             | 2037-08-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| SUBWAY FUNDING LLC             | Subway Funding LLC                                                               | CUSIP: 864300AL2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6213050 | PA      | $6211565.70   | 0.02%             | 2054-07-30      | Fixed         | 5.91%                 | 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      | $8611337.25   | 0.03%             | 2054-06-25      | Fixed         | 6.20%                 | 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      | $602669.75    | 0.00%             | 2052-12-15      | Variable      | 1.55%                 | No            |                  2 | On Loan: No      |
| USQ Rail                       | USQ Rail III LLC                                                                 | CUSIP: 912928AA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11190998 | PA      | $11208521.19  | 0.04%             | 2054-09-28      | Fixed         | 4.99%                 | 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        |    216465 | PA      | $208697.31    | 0.00%             | 2027-08-15      | Variable      | 28.34%                | 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        |   4661483 | PA      | $4000585.60   | 0.01%             | 2046-11-25      | Floating      | 4.99%                 | 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      | $18570120.55  | 0.06%             | 2037-04-20      | Floating      | 5.98%                 | 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        |    258107 | PA      | $250493.00    | 0.00%             | 2035-08-25      | Floating      | 3.05%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                     | AMSR 2021-SFR3 Trust                                                             | CUSIP: 00180UAF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11000000 | PA      | $10659110.00  | 0.04%             | 2038-10-17      | Fixed         | 2.43%                 | 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        |   4021925 | PA      | $1654470.86   | 0.01%             | 2036-11-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| Acres PLC                      | ACRES 2025-FL3 LLC                                                               | CUSIP: 00501DAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  25570000 | PA      | $25729786.93  | 0.08%             | 2040-08-18      | Floating      | 5.75%                 | 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      | $742998.41    | 0.00%             | 2037-11-25      | Variable      | 5.08%                 | 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        |   8526723 | PA      | $3941000.41   | 0.01%             | 2037-08-25      | 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        |    674888 | PA      | $315625.22    | 0.00%             | 2037-07-25      | Fixed         | 5.75%                 | 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        |     19800 | PA      | $15070.33     | 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        |   4872777 | PA      | $4466192.55   | 0.01%             | 2037-06-26      | Variable      | 6.00%                 | 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        |   1953348 | PA      | $178540.31    | 0.00%             | 2037-07-25      | Floating      | 1.23%                 | 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      | $16091886.40  | 0.05%             | 2045-05-25      | Floating      | 5.86%                 | 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        |   2301691 | PA      | $1793127.57   | 0.01%             | 2035-09-25      | Fixed         | 5.50%                 | 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      | $1003928.49   | 0.00%             | 2036-03-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                                            | CUSIP: 3128P7XZ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3869921 | PA      | $3756570.04   | 0.01%             | 2033-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                 | CUSIP: 3132DPUK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  32487433 | PA      | $29932832.33  | 0.10%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                 | CUSIP: 3132DQ4P8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  17929821 | PA      | $18530388.63  | 0.06%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                 | CUSIP: 3132DTTV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  28201153 | PA      | $28833281.46  | 0.09%             | 2053-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                 | CUSIP: 3132DVMS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  79915890 | PA      | $83048485.83  | 0.27%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                 | CUSIP: 3132DWJR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  22314867 | PA      | $22583080.54  | 0.07%             | 2053-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                                            | CUSIP: 3132HQBE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  18054231 | PA      | $16642222.34  | 0.05%             | 2042-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                                            | CUSIP: 3132HQBF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  18256353 | PA      | $16824690.94  | 0.06%             | 2042-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                 | CUSIP: 3132XGTQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  44782197 | PA      | $44861070.36  | 0.15%             | 2030-01-01      | Fixed         | 4.30%                 | 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      | $4062199.36   | 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      | $7310229.94   | 0.02%             | 2052-12-15      | Fixed         | 3.59%                 | 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        |   9425000 | PA      | $9359880.79   | 0.03%             | 2048-11-15      | Variable      | 4.74%                 | No            |                  2 | On Loan: No      |
| CSMCM Trust Certificates       | CSMCM 2019-RPL6 Trust                                                            | CUSIP: 12658CAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6492665 | PA      | $5196026.08   | 0.02%             | 2058-11-25      | Variable      | 0.00%                 | 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        |   3245987 | PA      | $1354876.74   | 0.00%             | 2037-01-25      | Floating      | 4.67%                 | 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        |  10948805 | PA      | $10381564.78  | 0.03%             | 2037-06-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| DataBank Issuer LLC            | DataBank Issuer                                                                  | CUSIP: 23802WAG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  31000000 | PA      | $30120545.50  | 0.10%             | 2051-10-25      | Fixed         | 2.40%                 | 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        |  13567759 | PA      | $11824288.45  | 0.04%             | 2047-07-25      | Floating      | 4.77%                 | 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        |   4122708 | PA      | $3577570.64   | 0.01%             | 2046-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31397Y6G1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1175783 | PA      | $88240.18     | 0.00%             | 2038-08-15      | Floating      | 1.36%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31398FDS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6120483 | PA      | $676915.63    | 0.00%             | 2039-10-25      | Floating      | 2.28%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31398FU25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    147801 | PA      | $150496.02    | 0.00%             | 2039-11-25      | Fixed         | 5.00%                 | 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        |   3997073 | PA      | $2031956.32   | 0.01%             | 2036-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137AQLG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     76700 | PA      | $76212.85     | 0.00%             | 2041-09-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31398G6J3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    676604 | PA      | $85317.59     | 0.00%             | 2050-02-25      | Floating      | 1.78%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31398GV30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    546530 | PA      | $47464.38     | 0.00%             | 2040-02-25      | Floating      | 1.76%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137B0F33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10166986 | PA      | $8346597.15   | 0.03%             | 2043-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137F4ZY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3882613 | PA      | $586121.94    | 0.00%             | 2048-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae II Pool                                                               | CUSIP: 3622AA3V4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        | 104940653 | PA      | $90032819.72  | 0.30%             | 2051-03-20      | Fixed         | 2.50%                 | 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        |  19724046 | PA      | $8743494.03   | 0.03%             | 2036-08-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137F5A82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  15628801 | PA      | $12446445.79  | 0.04%             | 2048-05-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137F6NZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  52082390 | PA      | $6525975.50   | 0.02%             | 2050-11-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust     | Navient Private Education Loan Trust 2017-A                                      | CUSIP: 63939XAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8991756 | PA      | $8944703.22   | 0.03%             | 2058-12-16      | Fixed         | 3.91%                 | 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      | $55579587.53  | 0.18%             | 2059-11-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137F8YK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10739422 | PA      | $8966225.37   | 0.03%             | 2050-05-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137F93G4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  26085811 | PA      | $4783034.34   | 0.02%             | 2051-02-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FFQB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  35605610 | PA      | $5766762.91   | 0.02%             | 2051-03-25      | Fixed         | 2.50%                 | 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        | 127647224 | PA      | $926463.55    | 0.00%             | 2050-03-15      | Variable      | 0.99%                 | 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        |   2306140 | PA      | $655789.28    | 0.00%             | 2036-01-25      | Variable      | 5.65%                 | 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      | $5018412.00   | 0.02%             | 2037-07-20      | Floating      | 5.70%                 | 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      | $12070667.31  | 0.04%             | 2052-11-13      | Variable      | 3.41%                 | No            |                  2 | On Loan: No      |
| KREF 2021-FL2 Ltd              | KREF 2021-FL2 Ltd                                                                | CUSIP: 48275RAA5<br>LEI: 54930083ELM2GCMVTQ91 | Long             | ABS-CBDO         | CORP              | US        |  24516595 | PA      | $24581980.92  | 0.08%             | 2039-02-15      | Floating      | 5.33%                 | 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        |   1451574 | PA      | $1181822.58   | 0.00%             | 2035-09-19      | Variable      | 4.64%                 | No            |                  2 | On Loan: No      |
| N/A                            | US LONG BOND(CBT) Dec25                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |     13950 | NC      | $33728734.73  | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| MFT Trust                      | MFT Trust 2020-ABC                                                               | CUSIP: 55317BAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4317000 | PA      | $3426948.14   | 0.01%             | 2042-02-10      | Variable      | 3.59%                 | 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        |   6637201 | PA      | $2600098.16   | 0.01%             | 2047-04-25      | Floating      | 4.65%                 | 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        |  69673654 | PA      | $32437565.86  | 0.11%             | 2037-02-25      | Floating      | 4.77%                 | 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        |    634982 | PA      | $489923.44    | 0.00%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136A95R5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12590993 | PA      | $11634547.51  | 0.04%             | 2042-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136AFJ96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1887763 | PA      | $1330760.94   | 0.00%             | 2043-08-25      | Fixed         | 3.00%                 | 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        |    200118 | PA      | $271759.50    | 0.00%             | 2037-04-25      | Floating      | 20.23%                | 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      | $781693.69    | 0.00%             | 2036-08-25      | Variable      | 6.25%                 | 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      | $877658.70    | 0.00%             | 2037-04-25      | Variable      | 5.51%                 | 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        |  19272010 | PA      | $9613606.96   | 0.03%             | 2037-04-25      | 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      | $2512237.11   | 0.01%             | 2036-11-25      | Fixed         | 6.25%                 | 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      | $2333512.00   | 0.01%             | 2030-08-15      | Fixed         | 0.00%                 | No            |                  3 | 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        |   4858454 | PA      | $3281850.37   | 0.01%             | 2037-04-25      | Floating      | 4.41%                 | 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        |   1680532 | PA      | $1649601.93   | 0.01%             | 2036-02-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| Social Professional Loan Progr | Sofi Professional Loan Program 2018-A LLC                                        | CUSIP: 83406EAD7<br>LEI: 5493002WMPR84WZ75V46 | Long             | ABS-O            | CORP              | US        |  12618544 | PA      | $12277632.69  | 0.04%             | 2042-02-25      | Fixed         | 3.61%                 | 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        |    888111 | PA      | $845768.37    | 0.00%             | 2046-10-15      | Fixed         | 3.43%                 | 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        |   2941435 | PA      | $1963700.92   | 0.01%             | 2037-06-25      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| Sound Point CLO LTD            | Sound Point Clo XXI Ltd                                                          | CUSIP: 83613HAL1<br>LEI: 5493001O6AOY43J70E72 | Long             | ABS-CBDO         | CORP              | US        |  15534325 | PA      | $15565729.03  | 0.05%             | 2031-10-26      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BVUM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  46498310 | PA      | $47215862.62  | 0.16%             | 2054-08-25      | Floating      | 6.01%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137A9MV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5778047 | PA      | $5904091.94   | 0.02%             | 2041-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| VCAT Asset Securitization, LLC | VCAT 2025 NPL2 LLC                                                               | CUSIP: 92243PAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  32748349 | PA      | $32828310.78  | 0.11%             | 2055-01-25      | Variable      | 5.98%                 | 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      | $1687823.03   | 0.01%             | 2066-07-25      | Variable      | 3.81%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137ACDU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1925965 | PA      | $1922485.80   | 0.01%             | 2041-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137AEP41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1518904 | PA      | $1547963.36   | 0.01%             | 2034-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137BDXE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  14687910 | PA      | $12668531.20  | 0.04%             | 2054-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137F5AA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10177876 | PA      | $9194494.91   | 0.03%             | 2048-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137F7D77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9248067 | PA      | $1665264.36   | 0.01%             | 2050-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3138WEM71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5889538 | PA      | $5601907.91   | 0.02%             | 2035-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3138YHXZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5493670 | PA      | $4890014.31   | 0.02%             | 2045-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31393Y3E3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    811361 | PA      | $94226.01     | 0.00%             | 2034-07-25      | Floating      | 3.23%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31395CQX2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1878849 | PA      | $1940865.60   | 0.01%             | 2034-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31395MA58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3152931 | PA      | $3240489.15   | 0.01%             | 2035-02-15      | Fixed         | 5.00%                 | 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        |  15437935 | PA      | $14804406.95  | 0.05%             | 2048-04-30      | Fixed         | 4.73%                 | 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        |    252778 | PA      | $224965.47    | 0.00%             | 2035-08-25      | Fixed         | 5.50%                 | 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        |   2894246 | PA      | $2676174.40   | 0.01%             | 2046-06-25      | Floating      | 5.13%                 | 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        |   1972511 | PA      | $1692791.94   | 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: 93934FFN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    926763 | PA      | $155763.83    | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | 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        |   4357933 | PA      | $3599099.38   | 0.01%             | 2046-06-25      | Floating      | 5.14%                 | 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        |  12524079 | PA      | $2641398.38   | 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        |   3470403 | PA      | $3204956.42   | 0.01%             | 2037-06-25      | 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        |   1756747 | PA      | $1622571.06   | 0.01%             | 2037-03-25      | Fixed         | 6.00%                 | 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        |   1403706 | PA      | $1275008.55   | 0.00%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31395NYT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1858438 | PA      | $168878.90    | 0.00%             | 2036-07-25      | Floating      | 2.28%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31397H3E6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    295838 | PA      | $312264.84    | 0.00%             | 2037-05-15      | Fixed         | 6.00%                 | 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        |   3364354 | PA      | $3069543.58   | 0.01%             | 2037-12-28      | Variable      | 6.09%                 | 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        |   3158983 | PA      | $2800359.08   | 0.01%             | 2048-02-15      | Fixed         | 3.89%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag | Wells Fargo Commercial Mortgage Trust 2016-C32                                   | CUSIP: 94989YBF9<br>LEI: 549300VOKB4Z9J8DIM89 | Long             | ABS-MBS          | CORP              | US        |  10085000 | PA      | $9618532.44   | 0.03%             | 2059-01-15      | Variable      | 4.85%                 | 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      | $5420428.59   | 0.02%             | 2049-10-15      | Variable      | 4.57%                 | 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      | $1677726.03   | 0.01%             | 2060-01-15      | Fixed         | 4.59%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31397LY29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    177195 | PA      | $11516.43     | 0.00%             | 2038-07-25      | Floating      | 1.53%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31397N6A8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1456869 | PA      | $152585.47    | 0.00%             | 2039-07-25      | Floating      | 2.28%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31397QZE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    157045 | PA      | $12352.15     | 0.00%             | 2041-03-25      | Floating      | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31397SB52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1092389 | PA      | $1087284.66   | 0.00%             | 2041-05-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31398E3V4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    107879 | PA      | $9121.90      | 0.00%             | 2039-06-15      | Floating      | 1.66%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31398E4P6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1483668 | PA      | $167531.49    | 0.00%             | 2039-06-15      | Floating      | 2.26%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31398EPV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     44877 | PA      | $3817.36      | 0.00%             | 2039-07-15      | Floating      | 1.31%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31398GVG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1355440 | PA      | $1352328.56   | 0.00%             | 2040-01-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31398LHN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    755236 | PA      | $31198.33     | 0.00%             | 2032-03-15      | Floating      | 1.86%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31398MCQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    325968 | PA      | $20092.18     | 0.00%             | 2040-02-25      | Floating      | 0.83%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31398R2P9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1407497 | PA      | $1364085.52   | 0.00%             | 2040-07-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31398RNM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1772013 | PA      | $167385.94    | 0.00%             | 2040-06-25      | Floating      | 1.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31398RSA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    150671 | PA      | $151522.77    | 0.00%             | 2040-06-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31398SQX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     76150 | PA      | $77033.18     | 0.00%             | 2040-12-25      | Floating      | 1.59%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31398WVN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2166532 | PA      | $2243738.54   | 0.01%             | 2037-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31402RRN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    655040 | PA      | $670873.47    | 0.00%             | 2035-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140FXNH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  27669652 | PA      | $25030806.37  | 0.08%             | 2053-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31418FCS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  17762675 | PA      | $18253963.54  | 0.06%             | 2044-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FVQQ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  14937823 | PA      | $2264629.20   | 0.01%             | 2050-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137GABL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4661668 | PA      | $459886.14    | 0.00%             | 2040-09-15      | Floating      | 1.56%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137H2A53<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  33867266 | PA      | $100714.47    | 0.00%             | 2051-09-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137H62G9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  16875169 | PA      | $15197166.55  | 0.05%             | 2048-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137HACU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  71985917 | PA      | $51697521.06  | 0.17%             | 2050-08-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137HB4X9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  17914325 | PA      | $14795441.35  | 0.05%             | 2037-02-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137HDSC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  28861220 | PA      | $28942034.30  | 0.10%             | 2054-07-25      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31418VWV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    138294 | PA      | $141703.75    | 0.00%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                 | CUSIP: 3142GRFM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  15478288 | PA      | $16048861.26  | 0.05%             | 2054-03-01      | Fixed         | 6.00%                 | 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        |  22372174 | PA      | $22393887.93  | 0.07%             | 2044-08-25      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| GCAT                           | GCAT 2019-NQM3 Trust                                                             | CUSIP: 36167VAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2751000 | PA      | $2596234.24   | 0.01%             | 2059-11-25      | Variable      | 3.45%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31398CKP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    510002 | PA      | $492801.40    | 0.00%             | 2038-06-15      | Variable      | 3.31%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31398K2Q2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    576664 | PA      | $580909.61    | 0.00%             | 2039-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GCAT                           | GCAT 2025-NQM3 Trust                                                             | CUSIP: 36171MAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4807064 | PA      | $4850620.70   | 0.02%             | 2070-05-25      | Variable      | 5.96%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae II Pool                                                               | CUSIP: 3622AAYF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  22393278 | PA      | $19212274.46  | 0.06%             | 2051-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GCAT                           | GCAT 2021-NQM2 Trust                                                             | CUSIP: 36166XAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7096000 | PA      | $5225513.56   | 0.02%             | 2066-05-25      | Variable      | 2.54%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae II Pool                                                               | CUSIP: 3617URCY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1790731 | PA      | $1515841.04   | 0.00%             | 2051-03-20      | 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        |  74671075 | PA      | $63763217.36  | 0.21%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae II Pool                                                               | CUSIP: 3622AAZP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10781945 | PA      | $8707619.19   | 0.03%             | 2051-01-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae II Pool                                                               | CUSIP: 3622ABEL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  26662535 | PA      | $22924346.59  | 0.08%             | 2051-08-20      | Fixed         | 2.50%                 | 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        |     30071 | PA      | $190736.38    | 0.00%             | 2036-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38374CK26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1266562 | PA      | $1263320.22   | 0.00%             | 2033-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38375QU31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1250675 | PA      | $89770.23     | 0.00%             | 2038-06-20      | Floating      | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38376TYT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2357798 | PA      | $196348.94    | 0.00%             | 2040-01-16      | Floating      | 1.49%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38377ELC6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3414478 | PA      | $337297.19    | 0.00%             | 2040-04-20      | Floating      | 1.43%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38377QPC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2200305 | PA      | $2008001.45   | 0.01%             | 2040-12-20      | Floating      | 1.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381E6V5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  93860981 | PA      | $4371087.13   | 0.01%             | 2064-07-16      | Variable      | 0.56%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381E7T9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        | 162765044 | PA      | $6408580.64   | 0.02%             | 2064-06-16      | Variable      | 0.53%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381E8G6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  94318089 | PA      | $3636547.10   | 0.01%             | 2064-07-16      | Variable      | 0.43%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381ERY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        | 110380692 | PA      | $4850171.77   | 0.02%             | 2061-12-01      | Variable      | 0.65%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381JDQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  71074475 | PA      | $4473541.16   | 0.01%             | 2064-06-16      | Variable      | 0.87%                 | 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        |    639568 | PA      | $620674.37    | 0.00%             | 2035-01-25      | Fixed         | 6.00%                 | 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        |  43033308 | PA      | $1105.96      | 0.00%             | 2048-10-10      | Variable      | 1.13%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381JLC9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11814180 | PA      | $801283.76    | 0.00%             | 2065-03-16      | Variable      | 0.92%                 | 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      | $8907825.00   | 0.03%             | 2036-12-15      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| Gilead Aviation (Warehouse) LL | Gilead Aviation LLC                                                              | CUSIP: 37556TAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  15689661 | PA      | $16310406.54  | 0.05%             | 2050-03-15      | Fixed         | 6.52%                 | 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        |  14297162 | PA      | $14498364.33  | 0.05%             | 2046-10-20      | Fixed         | 5.35%                 | 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        |   4821891 | PA      | $1551420.36   | 0.01%             | 2036-11-25      | Floating      | 4.34%                 | 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        |   6392334 | PA      | $1771547.68   | 0.01%             | 2036-11-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382BL92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9235994 | PA      | $9005523.98   | 0.03%             | 2049-12-20      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382J3G9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  17267157 | PA      | $3096306.89   | 0.01%             | 2050-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382KL76<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9633065 | PA      | $1410298.97   | 0.00%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382TJ39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  21950744 | PA      | $3241112.95   | 0.01%             | 2051-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382TJ62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7472286 | PA      | $802217.88    | 0.00%             | 2051-06-20      | Floating      | 2.05%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382VMR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  47041747 | PA      | $6184583.12   | 0.02%             | 2051-07-20      | Fixed         | 3.00%                 | 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        |  21091863 | PA      | $9093197.95   | 0.03%             | 2036-09-25      | Floating      | 4.73%                 | 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        |   4890636 | PA      | $1372746.72   | 0.00%             | 2046-10-25      | Variable      | 6.15%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38383AE67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  24966538 | PA      | $4411492.45   | 0.01%             | 2051-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38383AGZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  77949181 | PA      | $9484988.91   | 0.03%             | 2051-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Apollo Aviation Securitization | AASET MT-1 Ltd                                                                   | CUSIP: 00039NAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10065164 | PA      | $10272607.31  | 0.03%             | 2050-02-16      | Fixed         | 5.52%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38383C6P0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  22701299 | PA      | $3381644.50   | 0.01%             | 2051-11-20      | 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        |  75721980 | PA      | $10171960.70  | 0.03%             | 2052-01-20      | Fixed         | 3.00%                 | 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      | $26258566.60  | 0.09%             | 2029-12-17      | Floating      | 5.53%                 | 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        |   1090282 | PA      | $1022119.35   | 0.00%             | 2035-08-25      | Variable      | 6.53%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38383YRU8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  27610770 | PA      | $24288644.97  | 0.08%             | 2047-11-20      | Fixed         | 3.00%                 | 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        |  49730010 | PA      | $23532390.06  | 0.08%             | 2036-07-21      | Floating      | 4.45%                 | 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        |   5126398 | PA      | $1415888.98   | 0.00%             | 2035-05-19      | Floating      | 4.77%                 | 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        |  21023913 | PA      | $9863610.57   | 0.03%             | 2035-09-19      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Harvest US CLO Ltd             | Harvest US CLO 2023-1 Ltd                                                        | CUSIP: 417923AE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  20000000 | PA      | $20062602.00  | 0.07%             | 2037-01-15      | Floating      | 6.92%                 | No            |                  2 | On Loan: No      |
| Horizon Aircraft Finance       | Horizon Aircraft Finance II Ltd                                                  | CUSIP: 44040HAA0<br>LEI: 549300KSCDSEIWTVMM32 | Long             | ABS-O            | CORP              | US        |   5165713 | PA      | $5070911.59   | 0.02%             | 2039-07-15      | Fixed         | 3.72%                 | 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        |   2903054 | PA      | $1644631.26   | 0.01%             | 2037-10-25      | Variable      | 3.42%                 | 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        |   8887842 | PA      | $7453903.42   | 0.02%             | 2037-05-25      | Fixed         | 6.00%                 | 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      | $32548242.48  | 0.11%             | 2041-09-17      | Fixed         | 4.25%                 | 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        |   1416269 | PA      | $935894.21    | 0.00%             | 2035-12-25      | Fixed         | 6.00%                 | 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      | $825990.80    | 0.00%             | 2034-04-25      | Floating      | 6.30%                 | 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        |   2696022 | PA      | $2578866.85   | 0.01%             | 2035-03-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| Wind River CLO Ltd             | THL Credit Wind River 2013-2 CLO Ltd                                             | CUSIP: 88432ABA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4000000 | PA      | $4000200.00   | 0.01%             | 2030-10-18      | Floating      | 6.59%                 | 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        |  38214272 | PA      | $36832711.25  | 0.12%             | 2045-03-15      | Fixed         | 3.23%                 | 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        |   2681920 | PA      | $2065912.03   | 0.01%             | 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        |   1324356 | PA      | $963290.77    | 0.00%             | 2037-03-25      | Fixed         | 6.00%                 | 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        |   2492287 | PA      | $1740418.56   | 0.01%             | 2045-11-25      | Floating      | 4.87%                 | 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        |  96478042 | PA      | $53320027.31  | 0.18%             | 2036-10-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                     | AMSR 2020-SFR5 Trust                                                             | CUSIP: 03217JAG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10000000 | PA      | $9954864.00   | 0.03%             | 2037-11-17      | Fixed         | 2.69%                 | 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        |   2902240 | PA      | $2924693.17   | 0.01%             | 2070-06-25      | Variable      | 5.92%                 | 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      | $8338762.25   | 0.03%             | 2034-11-25      | Floating      | 6.15%                 | 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        |   1123622 | PA      | $1104061.52   | 0.00%             | 2034-06-25      | Floating      | 5.95%                 | 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        |  88257388 | PA      | $3137673.71   | 0.01%             | 2053-02-15      | Variable      | 1.13%                 | 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      | $9449526.90   | 0.03%             | 2053-02-15      | Variable      | 3.81%                 | 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      | $7431636.69   | 0.02%             | 2058-09-15      | Fixed         | 5.01%                 | No            |                  2 | On Loan: No      |
| BCAP LLC Trust                 | BCAP LLC Trust 2007-AA2                                                          | CUSIP: 05530NAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  17230389 | PA      | $18221374.44  | 0.06%             | 2047-05-25      | Floating      | 4.65%                 | 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      | $3089346.01   | 0.01%             | 2036-10-25      | Variable      | 6.70%                 | 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      | $345618.45    | 0.00%             | 2052-05-15      | Variable      | 1.93%                 | 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        |    123492 | PA      | $126626.92    | 0.00%             | 2036-03-25      | Variable      | 6.37%                 | 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        |   1018621 | PA      | $948504.22    | 0.00%             | 2036-03-25      | Fixed         | 6.00%                 | 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        |   2150408 | PA      | $1868258.33   | 0.01%             | 2036-03-25      | Fixed         | 6.00%                 | 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        |     74332 | PA      | $74474.22     | 0.00%             | 2036-03-25      | Fixed         | 5.50%                 | 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        |    396883 | PA      | $372451.72    | 0.00%             | 2037-01-25      | Variable      | 6.34%                 | 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        |  10336590 | PA      | $8622361.60   | 0.03%             | 2036-06-26      | Floating      | 4.51%                 | 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        |   1195761 | PA      | $133646.87    | 0.00%             | 2036-11-25      | Floating      | 2.23%                 | No            |                  2 | On Loan: No      |
| Bank                           | BANK 2021-BNK35                                                                  | CUSIP: 06540CBM8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 112743000 | PA      | $3522407.00   | 0.01%             | 2064-06-15      | Variable      | 0.70%                 | No            |                  2 | On Loan: No      |
| Bank                           | BANK 2017-BNK4                                                                   | CUSIP: 06541FBF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3554000 | PA      | $3165024.65   | 0.01%             | 2050-05-15      | Variable      | 4.37%                 | No            |                  2 | On Loan: No      |
| Bank5                          | BANK5 2024-5YR8                                                                  | CUSIP: 065923BD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  84965527 | PA      | $2548379.56   | 0.01%             | 2057-08-15      | Variable      | 1.13%                 | No            |                  2 | On Loan: No      |
| Apollo Aviation Securitization | AASET 2020-1 Trust                                                               | CUSIP: 00255UAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4841974 | PA      | $4756319.39   | 0.02%             | 2040-01-16      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137F4EA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  23064871 | PA      | $22038788.89  | 0.07%             | 2048-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137F5A74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4844928 | PA      | $691928.44    | 0.00%             | 2048-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FCYW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9599129 | PA      | $8928900.26   | 0.03%             | 2047-12-15      | Fixed         | 3.50%                 | 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        |   3773448 | PA      | $2597240.31   | 0.01%             | 2037-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Stonepeak                      | Stonepeak 2021-1 ABS                                                             | CUSIP: 78433XAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1648604 | PA      | $1595853.84   | 0.01%             | 2033-02-28      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| BankUnited Trust               | BankUnited Trust 2005-1                                                          | CUSIP: 06652DAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4706829 | PA      | $4268036.67   | 0.01%             | 2045-09-25      | Variable      | 4.46%                 | 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      | $506921.48    | 0.00%             | 2052-08-15      | Variable      | 1.27%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust       | Benchmark 2025-B41 Mortgage Trust                                                | CUSIP: 081935AY4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13946000 | PA      | $1073687.20   | 0.00%             | 2068-07-15      | Variable      | 1.21%                 | No            |                  2 | On Loan: No      |
| DB Master Finance LLC          | DB Master Finance LLC                                                            | CUSIP: 233046AS0<br>LEI: 549300F17UZJL70BPB08 | Long             | ABS-O            | CORP              | US        |  27671875 | PA      | $24634247.50  | 0.08%             | 2051-11-20      | Fixed         | 2.79%                 | 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        |    220621 | PA      | $222286.31    | 0.00%             | 2036-04-15      | Floating      | 6.56%                 | No            |                  2 | On Loan: No      |
| Diamond Issuer LLC             | Diamond Issuer LLC                                                               | CUSIP: 25267TAQ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6000000 | PA      | $5667570.00   | 0.02%             | 2051-11-20      | Fixed         | 2.70%                 | 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        |   2008445 | PA      | $1216959.00   | 0.00%             | 2037-01-25      | Floating      | 4.77%                 | 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        |   2400620 | PA      | $2083914.95   | 0.01%             | 2035-03-25      | Floating      | 5.42%                 | 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        |   3329864 | PA      | $3173756.01   | 0.01%             | 2026-01-25      | Variable      | 3.28%                 | 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        |   4454808 | PA      | $2286381.68   | 0.01%             | 2047-04-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FFGL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  13032098 | PA      | $2251129.36   | 0.01%             | 2051-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FVB92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9658663 | PA      | $1439904.82   | 0.00%             | 2050-07-25      | Floating      | 1.68%                 | No            |                  2 | On Loan: No      |
| SREIT Trust                    | SREIT Trust 2021-MFP                                                             | CUSIP: 78472UAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4445860 | PA      | $4444335.93   | 0.01%             | 2038-11-15      | Floating      | 6.29%                 | 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      | $25306812.50  | 0.08%             | 2034-10-25      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FWW89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11183439 | PA      | $2064707.73   | 0.01%             | 2050-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137H0UE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  14609017 | PA      | $13097736.31  | 0.04%             | 2051-06-25      | Fixed         | 2.00%                 | 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        |   4884732 | PA      | $2507035.61   | 0.01%             | 2047-04-25      | Fixed         | 5.75%                 | 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        |  13384771 | PA      | $6073893.85   | 0.02%             | 2037-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137H9KX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  64592816 | PA      | $10482819.78  | 0.03%             | 2051-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137HHJ85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  33994722 | PA      | $34250984.11  | 0.11%             | 2054-11-25      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| Sound Point CLO LTD            | Sound Point CLO XXIX Ltd                                                         | CUSIP: 83614VAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  15150000 | PA      | $15169604.10  | 0.05%             | 2034-04-25      | Floating      | 5.65%                 | 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        |   5607223 | PA      | $5555361.60   | 0.02%             | 2050-01-28      | Variable      | 3.22%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137HL5C2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  21583612 | PA      | $21636867.91  | 0.07%             | 2054-05-25      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31396UT42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    240350 | PA      | $247663.86    | 0.00%             | 2036-07-15      | Fixed         | 5.00%                 | 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      | $2503579.08   | 0.01%             | 2055-07-25      | Fixed         | 4.55%                 | 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        |   7478457 | PA      | $6971819.19   | 0.02%             | 2037-04-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31397PWJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    477225 | PA      | $495631.08    | 0.00%             | 2038-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38376V4F1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2072427 | PA      | $2074912.74   | 0.01%             | 2040-02-16      | Fixed         | 4.50%                 | 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        |    235975 | PA      | $300769.31    | 0.00%             | 2037-05-25      | Floating      | 14.45%                | 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        |   6533251 | PA      | $2299064.11   | 0.01%             | 2037-09-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38377WGK4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2369346 | PA      | $213134.51    | 0.00%             | 2041-05-20      | Floating      | 1.13%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38378JBE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4307567 | PA      | $506206.28    | 0.00%             | 2043-02-20      | Floating      | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                 | CUSIP: 3132DMYL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  39064982 | PA      | $32457822.59  | 0.11%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                 | CUSIP: 3132DQEL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  24834886 | PA      | $22078274.73  | 0.07%             | 2052-08-01      | Fixed         | 3.00%                 | 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        |   3069369 | PA      | $662049.48    | 0.00%             | 2037-10-25      | Floating      | 4.97%                 | 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        |   1060355 | PA      | $1055206.80   | 0.00%             | 2034-05-25      | Variable      | 3.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381EHE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        | 174459941 | PA      | $9486398.86   | 0.03%             | 2064-06-16      | Variable      | 0.76%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381EZJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        | 118068400 | PA      | $5614719.13   | 0.02%             | 2063-12-16      | Variable      | 0.67%                 | No            |                  2 | On Loan: No      |
| Steele Creek CLO Ltd           | Steele Creek CLO 2016-1 Ltd                                                      | CUSIP: 858102AX4<br>LEI: 5493003PZ3HX9NW9PS65 | Long             | ABS-CBDO         | CORP              | US        |   5111695 | PA      | $5125331.51   | 0.02%             | 2031-06-15      | Floating      | 5.42%                 | 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      | $24714615.10  | 0.08%             | 2034-09-15      | Floating      | 5.40%                 | 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        |   4673201 | PA      | $4032284.15   | 0.01%             | 2037-11-25      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| BMO Mortgage Trust             | BMO 2025-C11 Mortgage Trust                                                      | CUSIP: 05613XAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 154249926 | PA      | $12371152.57  | 0.04%             | 2058-02-15      | Variable      | 1.32%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                 | CUSIP: 3132DQLN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12161239 | PA      | $12549683.93  | 0.04%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                 | CUSIP: 3132DQNJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  58688617 | PA      | $50134501.33  | 0.17%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381HP54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  48235082 | PA      | $3076578.26   | 0.01%             | 2063-07-16      | Variable      | 0.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381KCL6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  49570444 | PA      | $3023484.77   | 0.01%             | 2065-10-16      | Variable      | 0.74%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                 | CUSIP: 3132DSNC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  39376462 | PA      | $40798424.12  | 0.13%             | 2054-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                 | CUSIP: 3132DWCE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7318318 | PA      | $6716279.81   | 0.02%             | 2051-09-01      | Fixed         | 3.50%                 | 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      | $20080890.00  | 0.07%             | 2038-01-22      | Floating      | 5.70%                 | 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      | $15052773.00  | 0.05%             | 2038-01-21      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382BX32<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4670095 | PA      | $4125079.52   | 0.01%             | 2049-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382HJR2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10131207 | PA      | $1731696.82   | 0.01%             | 2050-07-20      | Fixed         | 3.00%                 | 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      | $1759439.00   | 0.01%             | 2066-07-25      | Variable      | 2.19%                 | 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      | $6957474.02   | 0.02%             | 2066-09-25      | Variable      | 2.33%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382L3L3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  32121796 | PA      | $4793558.17   | 0.02%             | 2050-12-20      | Floating      | 2.05%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382LBH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  61903266 | PA      | $9001675.87   | 0.03%             | 2050-11-20      | Fixed         | 2.50%                 | 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        |   1506919 | PA      | $1445272.21   | 0.00%             | 2035-12-25      | Fixed         | 6.00%                 | 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        |    548853 | PA      | $516258.78    | 0.00%             | 2035-06-26      | Floating      | 6.20%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382LV57<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  36151142 | PA      | $5282531.39   | 0.02%             | 2050-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382X6X8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  56338015 | PA      | $8217124.83   | 0.03%             | 2051-09-20      | Fixed         | 2.50%                 | 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        |  12494176 | PA      | $9439946.30   | 0.03%             | 2047-07-25      | Floating      | 4.44%                 | 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        |   3788650 | PA      | $2846667.88   | 0.01%             | 2036-02-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382XZQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  51278261 | PA      | $1121158.14   | 0.00%             | 2051-08-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38383AA20<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  30616937 | PA      | $4130778.94   | 0.01%             | 2051-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                 | CUSIP: 3132E0KZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  21358496 | PA      | $21796677.29  | 0.07%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                 | CUSIP: 3133KYUN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  64097308 | PA      | $53716397.72  | 0.18%             | 2040-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38383AJT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  33751032 | PA      | $533175.18    | 0.00%             | 2051-09-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38383CKU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        | 101640003 | PA      | $14859016.24  | 0.05%             | 2051-10-20      | Fixed         | 2.50%                 | 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        |   4866169 | PA      | $4408419.06   | 0.01%             | 2036-10-26      | Variable      | 4.71%                 | No            |                  2 | On Loan: No      |
| Banc of America Commercial Mor | Banc of America Commercial Mortgage Trust 2015-UBS7                              | CUSIP: 06054AAY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1683348 | PA      | $24.91        | 0.00%             | 2048-09-15      | Variable      | 0.68%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38383CTG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  23816137 | PA      | $4024398.50   | 0.01%             | 2051-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38383CUX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  43117787 | PA      | $6432876.33   | 0.02%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                 | CUSIP: 3133SKBL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  37757535 | PA      | $29882516.90  | 0.10%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136A2DB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    520021 | PA      | $435935.66    | 0.00%             | 2041-11-25      | Floating      | 1.16%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38383DVY1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  51034337 | PA      | $8656566.69   | 0.03%             | 2051-06-20      | 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        |  75924264 | PA      | $12608537.61  | 0.04%             | 2051-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136AEJM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    994109 | PA      | $572053.35    | 0.00%             | 2043-06-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136AFXE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4635698 | PA      | $356589.00    | 0.00%             | 2042-12-25      | Floating      | 1.58%                 | 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        | 163267076 | PA      | $7283687.11   | 0.02%             | 2052-08-15      | Variable      | 1.66%                 | 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      | $38649584.62  | 0.13%             | 2057-09-15      | Fixed         | 5.28%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38383YDH2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  59976367 | PA      | $3654617.94   | 0.01%             | 2065-08-16      | Variable      | 0.82%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38383YKB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  94268289 | PA      | $6785478.56   | 0.02%             | 2064-08-16      | Variable      | 0.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136AKUJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    115963 | PA      | $83154.80     | 0.00%             | 2043-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31374CSW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  56794609 | PA      | $53534238.57  | 0.18%             | 2044-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137A1HC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1688505 | PA      | $101948.40    | 0.00%             | 2032-08-15      | Floating      | 1.56%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137A1Z30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1434386 | PA      | $1505878.48   | 0.00%             | 2037-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38384KAC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  27503142 | PA      | $26944380.41  | 0.09%             | 2063-12-20      | Fixed         | 5.00%                 | 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        |  25261562 | PA      | $23254260.43  | 0.08%             | 2047-01-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137ACEK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    787005 | PA      | $785176.49    | 0.00%             | 2041-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31398JQB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1831077 | PA      | $217107.48    | 0.00%             | 2035-08-15      | Floating      | 2.71%                 | 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        |  11237304 | PA      | $9099672.99   | 0.03%             | 2037-10-25      | Floating      | 6.27%                 | 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      | $1634867.52   | 0.01%             | 2038-11-05      | Variable      | 4.33%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140HVPY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8860000 | PA      | $7974238.87   | 0.03%             | 2034-09-01      | Fixed         | 2.98%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140J16P8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  17000000 | PA      | $14719602.15  | 0.05%             | 2030-11-01      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| Homebanc Mortgage Trust        | HomeBanc Mortgage Trust 2005-1                                                   | CUSIP: 43739EAS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    264085 | PA      | $247673.41    | 0.00%             | 2035-03-25      | Floating      | 5.01%                 | 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      | $5450794.22   | 0.02%             | 2039-09-10      | Variable      | 2.41%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140JAPU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3573243 | PA      | $3158588.33   | 0.01%             | 2048-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140JBSV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        | 156006573 | PA      | $130701111.70 | 0.43%             | 2033-10-01      | Variable      | 1.92%                 | 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      | $2149077.94   | 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      | $1300061.38   | 0.00%             | 2037-04-25      | Variable      | 5.61%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140LEMD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7339000 | PA      | $5864321.52   | 0.02%             | 2036-12-01      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140LEY76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  30761000 | PA      | $26787038.40  | 0.09%             | 2032-01-01      | Fixed         | 1.89%                 | 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      | $4133452.81   | 0.01%             | 2047-04-10      | Variable      | 4.89%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust            | COMM 2014-UBS3 Mortgage Trust                                                    | CUSIP: 12591YBE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    656524 | PA      | $13.92        | 0.00%             | 2047-06-10      | Variable      | 0.77%                 | 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      | $1026540.19   | 0.00%             | 2036-11-25      | Variable      | 6.12%                 | 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        |   4939749 | PA      | $255181.03    | 0.00%             | 2035-09-25      | Floating      | 0.78%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140LFA20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  51688000 | PA      | $45118149.21  | 0.15%             | 2032-01-01      | Fixed         | 2.02%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140LHDZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3600000 | PA      | $3497140.12   | 0.01%             | 2032-09-01      | Fixed         | 3.89%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140MP6F3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  31636350 | PA      | $27847102.01  | 0.09%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140QB3X4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3665456 | PA      | $3235414.78   | 0.01%             | 2049-10-01      | Fixed         | 3.00%                 | 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        |   6493570 | PA      | $5722098.09   | 0.02%             | 2035-12-25      | Variable      | 5.26%                 | 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        |   1681452 | PA      | $1462515.60   | 0.00%             | 2035-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140QKF78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13788767 | PA      | $12279880.76  | 0.04%             | 2051-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140QNV25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11864657 | PA      | $10954224.95  | 0.04%             | 2052-04-01      | Fixed         | 3.50%                 | 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      | $30210749.30  | 0.10%             | 2041-07-15      | Fixed         | 2.85%                 | 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        |  35000000 | PA      | $35081144.00  | 0.12%             | 2034-08-15      | Fixed         | 4.47%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140QT3E7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  41024119 | PA      | $42506681.58  | 0.14%             | 2054-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140XCPT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  95863851 | PA      | $82573395.24  | 0.27%             | 2051-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust            | COMM 2014-CCRE20 Mortgage Trust                                                  | CUSIP: 12592LBP6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10505568 | PA      | $10137478.69  | 0.03%             | 2047-11-10      | Variable      | 4.83%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust            | COMM 2015-CCRE26 Mortgage Trust                                                  | CUSIP: 12593QBF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7613505 | PA      | $89.08        | 0.00%             | 2048-10-10      | Variable      | 0.87%                 | No            |                  2 | On Loan: No      |
| Start Ltd.                     | Start Ltd/Bermuda                                                                | CUSIP: 85572RAA7<br>LEI: 549300VIQYFIDJQCKZ43 | Long             | ABS-O            | CORP              | US        |   9114876 | PA      | $9135639.27   | 0.03%             | 2043-05-15      | Fixed         | 4.09%                 | 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      | $15698212.80  | 0.05%             | 2038-07-17      | Fixed         | 2.24%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140XQS99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  25586677 | PA      | $26518969.19  | 0.09%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140XRA47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13799433 | PA      | $14117049.40  | 0.05%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Tricon Residential             | Tricon Residential 2025-SFR2 Trust                                               | CUSIP: 89617FAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  15500000 | PA      | $15820364.85  | 0.05%             | 2044-08-17      | Fixed         | 6.07%                 | 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        |   4866596 | PA      | $4375451.02   | 0.01%             | 2047-01-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31410GKG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     69662 | PA      | $71462.93     | 0.00%             | 2037-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31418DRW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  31485609 | PA      | $25585820.62  | 0.08%             | 2050-08-01      | Fixed         | 2.00%                 | 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        |   2051861 | PA      | $232040.68    | 0.00%             | 2037-06-25      | Floating      | 2.38%                 | 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        |   3533056 | PA      | $3209131.57   | 0.01%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                 | CUSIP: 31427NHA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  36283487 | PA      | $37310392.11  | 0.12%             | 2055-04-01      | Fixed         | 6.00%                 | 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        |  14697526 | PA      | $13799633.22  | 0.05%             | 2057-08-25      | Fixed         | 3.00%                 | 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        |   2043677 | PA      | $1998222.67   | 0.01%             | 2037-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Waterfall Commercial Mortgage  | Waterfall Commercial Mortgage Trust 2015-SBC5                                    | CUSIP: 94132LAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2226798 | PA      | $2201524.06   | 0.01%             | 2022-09-14      | Variable      | 4.10%                 | 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        |   7911017 | PA      | $7161995.96   | 0.02%             | 2037-12-28      | Variable      | 6.39%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag | Wells Fargo Commercial Mortgage Trust 2015-C31                                   | CUSIP: 94989WAV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  32726372 | PA      | $713.43       | 0.00%             | 2048-11-15      | Variable      | 1.02%                 | 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      | $77818119.12  | 0.26%             | 2042-04-25      | Floating      | 7.26%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38374DPK9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1584640 | PA      | $140101.55    | 0.00%             | 2038-01-16      | Floating      | 2.24%                 | 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      | $606426.12    | 0.00%             | 2051-05-10      | Variable      | 1.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3138WDXK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7908666 | PA      | $7533534.15   | 0.02%             | 2035-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38379YYJ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8444173 | PA      | $1274509.42   | 0.00%             | 2046-08-20      | Floating      | 1.85%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38380RUJ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        | 255213759 | PA      | $17893113.23  | 0.06%             | 2063-05-16      | Variable      | 0.97%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag | Wells Fargo Commercial Mortgage Trust 2015-P2                                    | CUSIP: 95000AAX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  34140308 | PA      | $9231.54      | 0.00%             | 2048-12-15      | Variable      | 0.97%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag | Wells Fargo Commercial Mortgage Trust 2016-NXS5                                  | CUSIP: 95000CBB8<br>LEI: 549300SGFUCMB43V8P22 | Long             | ABS-MBS          | CORP              | US        |   1490200 | PA      | $1483546.85   | 0.00%             | 2059-01-15      | Fixed         | 3.63%                 | 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        |  94165223 | PA      | $474103.06    | 0.00%             | 2049-11-15      | Variable      | 1.68%                 | No            |                  2 | On Loan: No      |
| (Sunnova) Aurora I Issuer, LLC | SUNNOVA HELIOS II ISSUER LLC 2018-1                                              | CUSIP: 86745JAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5697172 | PA      | $5480095.09   | 0.02%             | 2048-07-20      | Fixed         | 4.87%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3138YHMY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13031669 | PA      | $11845470.44  | 0.04%             | 2045-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31402RJL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    775079 | PA      | $786516.67    | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140FXMB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  55079064 | PA      | $49825871.15  | 0.16%             | 2053-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140HTRZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4891612 | PA      | $4691594.55   | 0.02%             | 2031-05-01      | Fixed         | 3.36%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140HYNF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  16081639 | PA      | $14241156.13  | 0.05%             | 2032-05-01      | Fixed         | 2.19%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140JAHK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  23898444 | PA      | $21612849.83  | 0.07%             | 2047-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140LDY86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6536000 | PA      | $5445941.61   | 0.02%             | 2033-11-01      | Fixed         | 1.83%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140LER90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  48972000 | PA      | $43084929.45  | 0.14%             | 2032-01-01      | Fixed         | 1.98%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140LEVT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  18199000 | PA      | $14744710.41  | 0.05%             | 2037-01-01      | Fixed         | 2.36%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140LHL73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  24762678 | PA      | $23950635.75  | 0.08%             | 2032-10-01      | Fixed         | 3.89%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140MNM52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  16101891 | PA      | $14302629.08  | 0.05%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140XGT66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  45808965 | PA      | $42329172.26  | 0.14%             | 2050-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140XND43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  15689772 | PA      | $16400657.78  | 0.05%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140XNJ47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  58959893 | PA      | $61071519.73  | 0.20%             | 2053-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31415RJH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    672094 | PA      | $712205.36    | 0.00%             | 2038-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31415RYM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    435407 | PA      | $460319.71    | 0.00%             | 2038-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31416XLD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3536132 | PA      | $3522577.10   | 0.01%             | 2031-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31417AWX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5854306 | PA      | $5755633.68   | 0.02%             | 2032-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31417YNY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    267928 | PA      | $269683.26    | 0.00%             | 2030-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31417YP76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32508 | PA      | $32129.96     | 0.00%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31417YSY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    427596 | PA      | $425829.37    | 0.00%             | 2030-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31417YUM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     99498 | PA      | $99052.85     | 0.00%             | 2030-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31418ADQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5544289 | PA      | $5451810.89   | 0.02%             | 2032-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31418AGB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2650327 | PA      | $2465610.92   | 0.01%             | 2042-06-01      | Fixed         | 3.50%                 | 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      | $272918.63    | 0.00%             | 2036-04-25      | 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      | $1369960.64   | 0.00%             | 2046-01-25      | Fixed         | 6.00%                 | 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        |   5541614 | PA      | $5213293.74   | 0.02%             | 2043-06-22      | Fixed         | 4.01%                 | 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      | $10776500.90  | 0.04%             | 2059-12-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                     | AMSR 2021-SFR4 Trust                                                             | CUSIP: 66982FAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6500000 | PA      | $6340908.60   | 0.02%             | 2038-12-17      | Fixed         | 2.77%                 | 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        |   2575732 | PA      | $2160663.12   | 0.01%             | 2037-05-25      | 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        |   1275130 | PA      | $982246.44    | 0.00%             | 2037-02-25      | 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        |   5891166 | PA      | $708537.60    | 0.00%             | 2037-05-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| Sapphire Aviation Finance I Li | SAPPHIRE AVIATION FINANCE II LTD                                                 | CUSIP: 80307AAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5034567 | PA      | $4763939.07   | 0.02%             | 2040-03-15      | Fixed         | 4.33%                 | 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        |  12993972 | PA      | $10751224.04  | 0.04%             | 2037-03-25      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| (Sunnova) Aurora I Issuer, LLC | SUNNOVA HELIOS II ISSUER LLC 2019-A                                              | CUSIP: 86745LAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4934141 | PA      | $4587661.80   | 0.02%             | 2046-06-20      | Fixed         | 3.75%                 | 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      | $10183671.50  | 0.03%             | 2050-06-20      | Fixed         | 5.29%                 | 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      | $1578969.76   | 0.01%             | 2038-07-17      | Fixed         | 3.54%                 | No            |                  2 | On Loan: No      |
| Tricon Residential             | Tricon Residential 2025-SFR2 Trust                                               | CUSIP: 89617FAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  77764000 | PA      | $78984568.19  | 0.26%             | 2044-08-17      | Fixed         | 5.20%                 | 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      | $6557449.90   | 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      | $788440.13    | 0.00%             | 2052-10-15      | Variable      | 1.89%                 | 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        |   2999729 | PA      | $1228085.31   | 0.00%             | 2036-08-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                                                 | CUSIP: 912810RK6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 186150000 | PA      | $133395380.39 | 0.44%             | 2045-02-15      | Fixed         | 2.50%                 | 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      | $100870956.47 | 0.33%             | 2041-08-15      | Fixed         | 1.75%                 | 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        |    217671 | PA      | $258881.44    | 0.00%             | 2036-10-25      | Floating      | 14.85%                | 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        |   3205452 | PA      | $329295.78    | 0.00%             | 2036-11-25      | Floating      | 1.06%                 | 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      | $13631152.37  | 0.04%             | 2041-11-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Vericrest Opportunity Loan Tra | VOLT C LLC                                                                       | CUSIP: 91835DAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    772120 | PA      | $772461.16    | 0.00%             | 2051-05-25      | Variable      | 5.99%                 | 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        |   5203402 | PA      | $5100295.13   | 0.02%             | 2048-10-26      | Variable      | 4.05%                 | 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      | $4641594.31   | 0.02%             | 2066-06-25      | Variable      | 2.40%                 | 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        |   4446728 | PA      | $490490.58    | 0.00%             | 2037-01-25      | Floating      | 4.72%                 | 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        |   3401430 | PA      | $421453.46    | 0.00%             | 2047-01-25      | Floating      | 1.13%                 | No            |                  2 | On Loan: No      |
| Vericrest Opportunity Loan Tra | VOLT CIII LLC                                                                    | CUSIP: 92873JAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7637221 | PA      | $7647561.96   | 0.03%             | 2051-08-25      | Variable      | 5.99%                 | 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        |   3743112 | PA      | $3461213.33   | 0.01%             | 2037-03-25      | Variable      | 4.99%                 | 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        |   1018221 | PA      | $895995.55    | 0.00%             | 2035-07-25      | Floating      | 4.87%                 | 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        |    314436 | PA      | $331843.51    | 0.00%             | 2035-07-25      | Floating      | 3.60%                 | 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        |   7109526 | PA      | $2240155.53   | 0.01%             | 2037-08-25      | Floating      | 4.72%                 | 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      | $1730025.13   | 0.01%             | 2054-09-15      | Variable      | 1.07%                 | No            |                  2 | On Loan: No      |
| Apollo Aviation Securitization | AASET 2024-2 Ltd                                                                 | CUSIP: 00038QAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8233267 | PA      | $8592113.48   | 0.03%             | 2049-09-16      | Fixed         | 6.61%                 | No            |                  2 | On Loan: No      |
| AREIT CRE Trust                | AREIT 2024-CRE9 Ltd                                                              | CUSIP: 00193AAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6565003 | PA      | $6589083.44   | 0.02%             | 2041-05-17      | Floating      | 5.84%                 | 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      | $843534.94    | 0.00%             | 2037-04-25      | Fixed         | 6.00%                 | 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        |    216696 | PA      | $190061.27    | 0.00%             | 2036-03-20      | Variable      | 4.46%                 | 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        |   1301751 | PA      | $1236284.09   | 0.00%             | 2036-02-25      | Fixed         | 5.75%                 | 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        |  18726540 | PA      | $5885390.09   | 0.02%             | 2037-02-25      | Floating      | 4.71%                 | 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        |   3720293 | PA      | $1531211.17   | 0.01%             | 2036-11-25      | Floating      | 4.41%                 | 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        |   4126530 | PA      | $3846324.08   | 0.01%             | 2037-03-25      | Variable      | 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      | $12643141.98  | 0.04%             | 2046-08-15      | Fixed         | 1.94%                 | 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      | $11260044.18  | 0.04%             | 2046-08-15      | Fixed         | 2.48%                 | 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      | $2814660.24   | 0.01%             | 2031-08-12      | Fixed         | 4.91%                 | 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        |  64649569 | PA      | $1653244.63   | 0.01%             | 2052-11-15      | Variable      | 0.98%                 | 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      | $1257821.33   | 0.00%             | 2053-04-15      | Fixed         | 2.44%                 | 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      | $13245229.02  | 0.04%             | 2057-09-15      | Fixed         | 5.21%                 | 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        |   3088408 | PA      | $3030837.01   | 0.01%             | 2036-11-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| BSPRT Issuer, Ltd.             | BSPRT 2022-FL8 Issuer Ltd                                                        | CUSIP: 055983AA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   7926350 | PA      | $7959497.96   | 0.03%             | 2037-02-15      | Floating      | 5.87%                 | 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      | $49092550.37  | 0.16%             | 2041-12-09      | Variable      | 4.08%                 | No            |                  2 | On Loan: No      |
| BX Trust                       | BX 2021-MFM1                                                                     | CUSIP: 05608VAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4599000 | PA      | $4599533.02   | 0.02%             | 2034-01-15      | Floating      | 5.76%                 | 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        |   7261907 | PA      | $2435541.81   | 0.01%             | 2036-10-25      | Variable      | 4.12%                 | 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        |   2746178 | PA      | $836026.13    | 0.00%             | 2036-10-25      | Variable      | 4.19%                 | No            |                  2 | On Loan: No      |
| BX Trust                       | BX Commercial Mortgage Trust 2021-SOAR                                           | CUSIP: 05608WAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1939344 | PA      | $1938566.35   | 0.01%             | 2038-06-15      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| BX Trust                       | BX Commercial Mortgage Trust 2021-XL2                                            | CUSIP: 05609KAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2601810 | PA      | $2601279.13   | 0.01%             | 2038-10-15      | Floating      | 4.95%                 | 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        |   1314114 | PA      | $1209588.88   | 0.00%             | 2036-03-25      | Fixed         | 6.50%                 | 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        |    760205 | PA      | $647990.36    | 0.00%             | 2036-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Bank                           | BANK 2019-BNK16                                                                  | CUSIP: 065405AY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13119665 | PA      | $702787.65    | 0.00%             | 2052-02-15      | Variable      | 1.97%                 | No            |                  2 | On Loan: No      |
| Bank                           | Bank 2019-BNK19                                                                  | CUSIP: 06540WAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  17013666 | PA      | $587114.39    | 0.00%             | 2061-08-15      | Variable      | 1.16%                 | 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        |    138816 | PA      | $159538.17    | 0.00%             | 2037-06-25      | Floating      | 13.85%                | 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        |   8438000 | PA      | $7803081.85   | 0.03%             | 2058-07-15      | Variable      | 4.11%                 | No            |                  2 | On Loan: No      |
| Bank5                          | BANK5 2024-5YR10                                                                 | CUSIP: 06604AAP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8169000 | PA      | $8419144.58   | 0.03%             | 2057-10-15      | Variable      | 6.14%                 | No            |                  2 | On Loan: No      |
| Bank5                          | BANK5 2024-5YR10                                                                 | CUSIP: 06604AAR5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1667000 | PA      | $1656188.17   | 0.01%             | 2057-10-15      | Variable      | 5.74%                 | 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        |   2099625 | PA      | $2108564.00   | 0.01%             | 2034-08-25      | Variable      | 5.50%                 | 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      | $18745648.61  | 0.06%             | 2057-05-15      | Variable      | 6.53%                 | 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        |    325793 | PA      | $279349.25    | 0.00%             | 2037-06-25      | Fixed         | 6.00%                 | 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        |    546070 | PA      | $476185.52    | 0.00%             | 2037-04-25      | Variable      | 5.83%                 | 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      | $25873151.66  | 0.09%             | 2053-02-15      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| N/A                            | US 2YR NOTE (CBT) Dec25                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |     66500 | NC      | $2701666.27   | 0.01%             |  |  |  | No            |                  1 | 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        |    479836 | PA      | $427665.06    | 0.00%             | 2036-10-25      | Variable      | 6.60%                 | 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        |   1063534 | PA      | $872510.56    | 0.00%             | 2037-07-25      | Fixed         | 5.50%                 | 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        |    482702 | PA      | $480598.05    | 0.00%             | 2036-07-26      | Floating      | 7.41%                 | No            |                  2 | On Loan: No      |
| Bank5                          | BANK5 2025-5YR17                                                                 | CUSIP: 06211GAP1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3535000 | PA      | $3649652.78   | 0.01%             | 2058-11-15      | Variable      | 5.63%                 | No            |                  2 | On Loan: No      |
| Bank                           | BANK 2025-BNK50                                                                  | CUSIP: 064908AT3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 120192936 | PA      | $3437085.27   | 0.01%             | 2068-05-15      | Variable      | 0.54%                 | No            |                  2 | On Loan: No      |
| Bank                           | BANK 2018-BNK10                                                                  | CUSIP: 065404BF1<br>LEI: 549300GL0Y86051URC66 | Long             | ABS-MBS          | CORP              | US        | 139175502 | PA      | $1894373.43   | 0.01%             | 2061-02-15      | Variable      | 0.83%                 | No            |                  2 | On Loan: No      |
| Bank                           | BANK 2019-BNK21                                                                  | CUSIP: 06540BBJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $4348042.50   | 0.01%             | 2052-10-17      | Variable      | 3.52%                 | No            |                  2 | On Loan: No      |
| Bank                           | BANK 2017-BNK5                                                                   | CUSIP: 06541WBB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4916000 | PA      | $4762774.67   | 0.02%             | 2060-06-15      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| CoreVest American Finance Ltd  | CAFL 2021-RTL1 Issuer LLC                                                        | CUSIP: 12468RAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  16678928 | PA      | $16678928.25  | 0.05%             | 2029-03-28      | Variable      | 4.24%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC 2017-RPL2 Trust                                                             | CUSIP: 12594YAK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  61080444 | PA      | $46865271.63  | 0.15%             | 2056-02-25      | Variable      | 0.00%                 | 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      | $3376693.30   | 0.01%             | 2050-02-25      | Variable      | 3.44%                 | 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        |   1998802 | PA      | $1159230.81   | 0.00%             | 2035-07-25      | Floating      | 4.77%                 | 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        |   4080888 | PA      | $276418.55    | 0.00%             | 2035-07-25      | Floating      | 0.73%                 | No            |                  2 | On Loan: No      |
| Bank5                          | BANK5 Trust 2024-5YR6                                                            | CUSIP: 066043AX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 122638735 | PA      | $3026417.39   | 0.01%             | 2057-05-15      | Variable      | 0.97%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust            | Comm 2013-CCRE13 Mortgage Trust                                                  | CUSIP: 12630BBF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    165104 | PA      | $162812.28    | 0.00%             | 2046-11-10      | Variable      | 5.11%                 | 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        |    635453 | PA      | $42416.65     | 0.00%             | 2035-11-25      | Floating      | 0.75%                 | 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        |    292610 | PA      | $178536.95    | 0.00%             | 2035-12-25      | Floating      | 4.60%                 | 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        |  18392602 | PA      | $7008635.08   | 0.02%             | 2036-02-25      | Fixed         | 6.00%                 | 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        |    147161 | PA      | $7319.90      | 0.00%             | 2035-03-25      | Variable      | 1.73%                 | 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        |   3466608 | PA      | $2293013.26   | 0.01%             | 2035-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                 | CUSIP: 3132A5KB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8268499 | PA      | $7946283.32   | 0.03%             | 2048-09-01      | Fixed         | 4.00%                 | 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      | $3031130.04   | 0.01%             | 2058-10-15      | Fixed         | 5.56%                 | 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      | $1883578.73   | 0.01%             | 2058-04-15      | Variable      | 5.78%                 | 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        |     12031 | PA      | $10217.27     | 0.00%             | 2020-01-25      | Fixed         | 5.50%                 | 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        |    791352 | PA      | $447453.41    | 0.00%             | 2036-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                 | CUSIP: 3132DQJQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  14908226 | PA      | $12788289.32  | 0.04%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                 | CUSIP: 3132DS6B3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  15435130 | PA      | $15975522.24  | 0.05%             | 2054-04-01      | Fixed         | 6.00%                 | 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      | $27843810.20  | 0.09%             | 2049-11-22      | Fixed         | 5.92%                 | 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      | $19773778.47  | 0.07%             | 2030-08-15      | Fixed         | 4.83%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                 | CUSIP: 3132DTN71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  48697581 | PA      | $50471195.47  | 0.17%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                                            | CUSIP: 3132FCDW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  67217475 | PA      | $61737649.91  | 0.20%             | 2045-04-01      | Fixed         | 3.00%                 | 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        |   6970174 | PA      | $3543365.18   | 0.01%             | 2036-05-25      | Fixed         | 6.00%                 | 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        |    754785 | PA      | $426097.47    | 0.00%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                                            | CUSIP: 3132GABS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    124782 | PA      | $121432.25    | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                                            | CUSIP: 3132M4JR7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1741062 | PA      | $1694507.05   | 0.01%             | 2044-01-01      | Fixed         | 4.00%                 | 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        |  24202337 | PA      | $21019264.82  | 0.07%             | 2047-03-20      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| NRZ Excess Spread Collateraliz | NRZ Excess Spread-Collateralized Notes Series 2020-PLS1                          | CUSIP: 433674AA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  23652094 | PA      | $23570548.85  | 0.08%             | 2025-12-25      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| BX Trust                       | BX Commercial Mortgage Trust 2024-AIRC                                           | CUSIP: 12433CAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  22627838 | PA      | $22702686.66  | 0.07%             | 2039-08-15      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| 1345 Trust                     | 1345T 2025-AOA                                                                   | CUSIP: 68271CAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10540000 | PA      | $10582958.93  | 0.03%             | 2042-06-15      | Floating      | 5.75%                 | 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      | $93091.78     | 0.00%             | 2035-11-25      | Floating      | 0.73%                 | 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        |    640608 | PA      | $272174.26    | 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: 46644AAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10425000 | PA      | $2627100.00   | 0.01%             | 2048-02-15      | Variable      | 3.95%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Secu | JPMBB Commercial Mortgage Securities Trust 2016-C1                               | CUSIP: 46645LBA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  14174926 | PA      | $16140.99     | 0.00%             | 2049-03-17      | Variable      | 1.28%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137H5X77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  18529973 | PA      | $16405482.30  | 0.05%             | 2052-02-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137H5ZV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  20359957 | PA      | $18654893.71  | 0.06%             | 2048-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137HAFL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  26934088 | PA      | $18078210.99  | 0.06%             | 2050-10-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137HHSC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  63964389 | PA      | $64526821.55  | 0.21%             | 2054-02-25      | Floating      | 5.81%                 | 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        |  25776584 | PA      | $25816143.04  | 0.08%             | 2060-11-25      | Variable      | 7.55%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2006-6                                                     | CUSIP: 52520NAV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5407045 | PA      | $3487131.15   | 0.01%             | 2036-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2007-4                                                     | CUSIP: 52521LAN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    744066 | PA      | $197696.44    | 0.00%             | 2037-05-25      | Floating      | 4.60%                 | 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      | $6756037.55   | 0.02%             | 2042-02-15      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC       | OBX 2024-NQM12 Trust                                                             | CUSIP: 67448PAA1<br>LEI: 254900MY906NOBBPOA44 | Long             | ABS-MBS          | CORP              | US        |   3849850 | PA      | $3877901.12   | 0.01%             | 2064-07-25      | Variable      | 5.47%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partne | Pret 2024-NPL6 LLC                                                               | CUSIP: 69381QAA4<br>LEI: 254900RZOKAJE9T5UQ09 | Long             | ABS-MBS          | CORP              | US        |  18480845 | PA      | $18535189.69  | 0.06%             | 2054-10-25      | Variable      | 5.93%                 | 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        |  10080000 | PA      | $7842955.68   | 0.03%             | 2035-01-25      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partne | PRET 2024-NPL7 LLC                                                               | CUSIP: 74136TAA6<br>LEI: 254900640HC5OZKI7J87 | Long             | ABS-MBS          | CORP              | US        |  21954784 | PA      | $21994076.85  | 0.07%             | 2054-10-25      | Variable      | 5.93%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31395KDY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2821423 | PA      | $2891615.13   | 0.01%             | 2034-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31396CBT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    254893 | PA      | $23483.35     | 0.00%             | 2035-10-15      | Floating      | 2.24%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31397EQ65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1505058 | PA      | $149538.15    | 0.00%             | 2037-01-15      | Floating      | 1.94%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31402RCV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1880846 | PA      | $1924731.49   | 0.01%             | 2035-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140J0ED8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3568101 | PA      | $2588638.58   | 0.01%             | 2040-07-01      | Fixed         | 2.23%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140J0HA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  20400000 | PA      | $16116775.20  | 0.05%             | 2035-08-01      | Fixed         | 1.65%                 | 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        |   3337604 | PA      | $2730172.62   | 0.01%             | 2036-04-25      | Fixed         | 6.00%                 | 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        |   1494865 | PA      | $1225286.47   | 0.00%             | 2036-06-25      | Fixed         | 6.00%                 | 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        |    429620 | PA      | $342975.89    | 0.00%             | 2036-11-25      | Fixed         | 6.00%                 | 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        |   3124191 | PA      | $3231880.17   | 0.01%             | 2037-01-25      | Floating      | 4.67%                 | 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        |   2130217 | PA      | $1750545.97   | 0.01%             | 2037-01-25      | 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        |   1436575 | PA      | $1106608.77   | 0.00%             | 2037-02-25      | 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        |   2303140 | PA      | $2011052.45   | 0.01%             | 2037-04-25      | Variable      | 5.70%                 | 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        |   1930318 | PA      | $1622625.32   | 0.01%             | 2036-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140KSEE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7824748 | PA      | $6183158.99   | 0.02%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140LDYY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  25042000 | PA      | $21571674.63  | 0.07%             | 2031-11-01      | Fixed         | 1.76%                 | 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        |   1551403 | PA      | $1347337.58   | 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        |   3316603 | PA      | $2723089.80   | 0.01%             | 2036-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140LDZG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  32694000 | PA      | $25685996.96  | 0.08%             | 2036-10-01      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140LEXE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  33675000 | PA      | $29799501.85  | 0.10%             | 2032-01-01      | Fixed         | 2.03%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140QVLB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  47161934 | PA      | $48220659.99  | 0.16%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140XM4S2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  32852643 | PA      | $26945365.39  | 0.09%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Apollo Aviation Securitization | AASET 2024-2 Ltd                                                                 | CUSIP: 00038QAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  50540706 | PA      | $51984350.83  | 0.17%             | 2049-09-16      | Fixed         | 5.93%                 | No            |                  2 | On Loan: No      |
| Apollo Aviation Securitization | AASET 2025-1                                                                     | CUSIP: 00258PAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  20691255 | PA      | $21368211.14  | 0.07%             | 2050-02-16      | Fixed         | 5.94%                 | 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        |   1269677 | PA      | $1049315.94   | 0.00%             | 2037-04-25      | Fixed         | 5.75%                 | 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        |  23978405 | PA      | $10699267.35  | 0.04%             | 2037-06-25      | Floating      | 4.73%                 | 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        |   7329938 | PA      | $2999620.34   | 0.01%             | 2036-12-25      | Fixed         | 6.25%                 | 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        |    591656 | PA      | $242122.52    | 0.00%             | 2036-12-25      | Fixed         | 6.25%                 | 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        |   1052601 | PA      | $640655.64    | 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        |   8849662 | PA      | $4437908.94   | 0.01%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140XN3Y8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  45013796 | PA      | $46072847.71  | 0.15%             | 2054-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140XNS96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  21290240 | PA      | $22061719.52  | 0.07%             | 2054-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140XRW92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  19796660 | PA      | $20262479.48  | 0.07%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31416BRY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3018895 | PA      | $3063432.31   | 0.01%             | 2035-07-01      | Fixed         | 5.00%                 | 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      | $1291148.51   | 0.00%             | 2036-06-25      | Fixed         | 6.00%                 | 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        |   3485434 | PA      | $667558.16    | 0.00%             | 2036-08-25      | Floating      | 2.88%                 | 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        |    660490 | PA      | $70118.85     | 0.00%             | 2036-07-25      | Floating      | 1.23%                 | 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        |   4338540 | PA      | $524671.39    | 0.00%             | 2036-08-25      | Floating      | 1.33%                 | 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        |   1393751 | PA      | $651311.58    | 0.00%             | 2036-09-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                 | CUSIP: 3132DQB47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  19858533 | PA      | $20265726.86  | 0.07%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                 | CUSIP: 3132DTG20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10249586 | PA      | $10642938.15  | 0.04%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                                            | CUSIP: 3132L7AW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  41972976 | PA      | $38290029.03  | 0.13%             | 2045-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                 | CUSIP: 3132XGNA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  40000000 | PA      | $35872189.60  | 0.12%             | 2032-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                 | CUSIP: 3132XGVR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  15225000 | PA      | $15153968.83  | 0.05%             | 2030-06-01      | Fixed         | 4.19%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                                            | CUSIP: 31335ANJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  50781707 | PA      | $47826671.83  | 0.16%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                 | CUSIP: 3133KLZ83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  50838035 | PA      | $45070089.01  | 0.15%             | 2051-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                 | CUSIP: 3133KPZC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  79803223 | PA      | $79720579.38  | 0.26%             | 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        |   6777361 | PA      | $6108581.37   | 0.02%             | 2041-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137A4FE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3134544 | PA      | $3120038.36   | 0.01%             | 2030-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137A6T69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2644710 | PA      | $2602663.01   | 0.01%             | 2031-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137A77D6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1065930 | PA      | $1032788.56   | 0.00%             | 2041-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137AFWU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3338628 | PA      | $3232850.29   | 0.01%             | 2041-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137H3S78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  15633706 | PA      | $2524602.78   | 0.01%             | 2048-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137H4JC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  26635885 | PA      | $4418853.34   | 0.01%             | 2051-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31417BYJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3773603 | PA      | $3708623.21   | 0.01%             | 2032-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31417BZH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2481240 | PA      | $2367251.95   | 0.01%             | 2042-05-01      | Fixed         | 4.00%                 | 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      | $2919750.00   | 0.01%             | 2046-07-10      | Variable      | 4.00%                 | 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        |   1572038 | PA      | $430155.73    | 0.00%             | 2036-11-25      | Variable      | 5.77%                 | 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        |   5728565 | PA      | $3251946.85   | 0.01%             | 2037-07-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Apidos CLO Ltd                 | APIDOS CLO XLVIII Ltd                                                            | CUSIP: 03770WAA9<br>LEI: 25490046M6DC4604K633 | Long             | ABS-CBDO         | CORP              | US        |  15000000 | PA      | $15079482.00  | 0.05%             | 2037-07-25      | Floating      | 5.76%                 | 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        |    267867 | PA      | $234967.23    | 0.00%             | 2036-02-25      | Fixed         | 5.75%                 | 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        |    147744 | PA      | $144277.61    | 0.00%             | 2035-07-25      | Fixed         | 6.00%                 | 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        |   6913502 | PA      | $2380763.37   | 0.01%             | 2035-11-25      | Fixed         | 6.00%                 | 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        |   5232902 | PA      | $4930713.03   | 0.02%             | 2035-03-25      | Floating      | 4.62%                 | 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      | $703778.99    | 0.00%             | 2033-03-10      | Variable      | 5.07%                 | 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      | $830469.23    | 0.00%             | 2033-03-10      | Variable      | 5.07%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137H6VC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  55605153 | PA      | $9583720.41   | 0.03%             | 2051-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137H8CG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  22970411 | PA      | $2734751.52   | 0.01%             | 2049-06-25      | Fixed         | 2.50%                 | 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        |  10924530 | PA      | $9310609.73   | 0.03%             | 2036-05-25      | Floating      | 4.87%                 | 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        |   1040749 | PA      | $861813.49    | 0.00%             | 2035-11-25      | Floating      | 4.97%                 | 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        |   1041877 | PA      | $811488.14    | 0.00%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Stonepeak                      | Stonepeak 2021-1 ABS                                                             | CUSIP: 78433XAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3257738 | PA      | $3168391.00   | 0.01%             | 2033-02-28      | Fixed         | 3.82%                 | 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        |  43116335 | PA      | $121859.70    | 0.00%             | 2049-11-10      | Variable      | 0.62%                 | 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        | 188399066 | PA      | $1545249.14   | 0.01%             | 2051-03-10      | Variable      | 0.55%                 | 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        |  13026359 | PA      | $436113.37    | 0.00%             | 2052-05-10      | Variable      | 1.24%                 | 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      | $8333085.89   | 0.03%             | 2060-05-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137HAFA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  15397913 | PA      | $11053983.43  | 0.04%             | 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        |  11867354 | PA      | $9129540.25   | 0.03%             | 2046-10-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Apidos CLO Ltd                 | Apidos Loan Fund 2024-1 Ltd                                                      | CUSIP: 037986AN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  10450000 | PA      | $10479183.72  | 0.03%             | 2038-10-25      | Floating      | 5.38%                 | 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        |   6656085 | PA      | $6679454.84   | 0.02%             | 2036-11-15      | Floating      | 5.61%                 | 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        | 124067658 | PA      | $4219392.17   | 0.01%             | 2053-05-15      | Variable      | 1.05%                 | 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        |   3308157 | PA      | $2227382.29   | 0.01%             | 2036-02-25      | Fixed         | 5.50%                 | 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        | 165482424 | PA      | $143712599.09 | 0.47%             | 2054-02-25      | Variable      | 3.11%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust         | Sequoia Mortgage Trust 2003-4                                                    | CUSIP: 81743PBW5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     30902 | PA      | $30857.59     | 0.00%             | 2033-07-20      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382KVX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  22884862 | PA      | $3406674.94   | 0.01%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382L2Q3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  79719705 | PA      | $11495732.98  | 0.04%             | 2050-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382LBR1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  13407816 | PA      | $2004823.77   | 0.01%             | 2050-11-20      | Floating      | 2.05%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382LCX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  70454566 | PA      | $10758990.03  | 0.04%             | 2050-11-20      | Fixed         | 2.50%                 | 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        |  10910519 | PA      | $10640812.12  | 0.04%             | 2049-09-25      | Variable      | 4.04%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                                            | CUSIP: 3128M6VJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1051495 | PA      | $1079967.54   | 0.00%             | 2038-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382LL66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  40599450 | PA      | $5951371.91   | 0.02%             | 2050-12-20      | 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        |  44475963 | PA      | $6591431.07   | 0.02%             | 2050-11-20      | Floating      | 2.05%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                                            | CUSIP: 3128MJ3J7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    869097 | PA      | $809039.56    | 0.00%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                                            | CUSIP: 3128MJVM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  14426330 | PA      | $13202268.06  | 0.04%             | 2044-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Sierra Receivables Funding Co  | Sierra Timeshare 2021-2 Receivables Funding LLC                                  | CUSIP: 82652RAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    836651 | PA      | $827528.74    | 0.00%             | 2038-09-20      | Fixed         | 3.23%                 | 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        |  11897733 | PA      | $6133894.11   | 0.02%             | 2037-03-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137HBDW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  18563520 | PA      | $2406077.27   | 0.01%             | 2051-12-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137HKV76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  27435264 | PA      | $27492872.46  | 0.09%             | 2054-09-25      | Floating      | 5.56%                 | 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        |   7299317 | PA      | $2883230.36   | 0.01%             | 2037-07-25      | Floating      | 4.65%                 | 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      | $7093444.99   | 0.02%             | 2039-10-19      | Fixed         | 3.32%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3138EEPY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1022882 | PA      | $975899.72    | 0.00%             | 2042-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3138EPF41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5655952 | PA      | $5616811.43   | 0.02%             | 2045-02-01      | Fixed         | 4.50%                 | 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        |  28767645 | PA      | $6667241.25   | 0.02%             | 2037-06-25      | Fixed         | 6.50%                 | 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        |    895770 | PA      | $252432.74    | 0.00%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                                            | CUSIP: 3128MJXW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  45759168 | PA      | $41517492.00  | 0.14%             | 2046-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                                            | CUSIP: 3128P7SE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2389176 | PA      | $2351895.12   | 0.01%             | 2032-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3138EPHQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  16696663 | PA      | $16720318.30  | 0.06%             | 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        |   8700077 | PA      | $8002005.54   | 0.03%             | 2045-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3138LTJ25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3319274 | PA      | $3166815.44   | 0.01%             | 2042-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3138WDCC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6400400 | PA      | $6102094.91   | 0.02%             | 2034-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SREIT Trust                    | SREIT Trust 2021-MFP2                                                            | CUSIP: 85236WCJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3610000 | PA      | $3608150.24   | 0.01%             | 2036-11-15      | Floating      | 5.64%                 | 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      | $6700121.14   | 0.02%             | 2066-09-25      | Variable      | 3.25%                 | 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        |   4967148 | PA      | $2987054.35   | 0.01%             | 2029-09-25      | Variable      | 5.46%                 | 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        |  36290000 | PA      | $35125076.48  | 0.12%             | 2049-08-25      | Fixed         | 4.97%                 | 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        |  61651188 | PA      | $38775015.24  | 0.13%             | 2036-06-25      | Floating      | 4.59%                 | 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        |   7270769 | PA      | $6002917.06   | 0.02%             | 2036-05-25      | Floating      | 4.67%                 | 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        |   2794864 | PA      | $1414320.20   | 0.00%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                                            | CUSIP: 3128S12P7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5046017 | PA      | $4700046.51   | 0.02%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                                            | CUSIP: 3128S1XJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1230903 | PA      | $1180418.08   | 0.00%             | 2042-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3138WEJ26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6923315 | PA      | $6588754.97   | 0.02%             | 2035-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31396Q7B9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    994894 | PA      | $992190.71    | 0.00%             | 2039-10-25      | Fixed         | 4.50%                 | 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        |   7315696 | PA      | $4243111.09   | 0.01%             | 2036-07-25      | Floating      | 4.62%                 | 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        |   1945164 | PA      | $1404274.57   | 0.00%             | 2037-01-25      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                                            | CUSIP: 3132FCH99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  74097195 | PA      | $67914356.40  | 0.22%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                                            | CUSIP: 3132M3UU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2086152 | PA      | $2031663.78   | 0.01%             | 2043-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136B3QE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  18215474 | PA      | $14005555.60  | 0.05%             | 2048-12-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                 | Fannie Mae-Aces                                                                  | CUSIP: 3136B4TD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        | 152319311 | PA      | $1491723.94   | 0.00%             | 2029-04-25      | Variable      | 0.44%                 | 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      | $16418050.06  | 0.05%             | 2037-11-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| TPG Real Estate Finance        | TRTX 2021-FL4 Issuer Ltd                                                         | CUSIP: 87276WAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2855884 | PA      | $2865922.64   | 0.01%             | 2038-03-15      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| Jol Air                        | JOL Air Ltd                                                                      | CUSIP: 46651NAA2<br>LEI: 549300TS4MUGCDXPW498 | Long             | ABS-O            | CORP              | US        |   6537156 | PA      | $6475771.83   | 0.02%             | 2044-04-15      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| Jamestown CLO Ltd              | Jamestown CLO XI Ltd                                                             | CUSIP: 47049QAC0<br>LEI: 549300ICXRO4NIJIWJ29 | Long             | ABS-CBDO         | CORP              | US        |   6000000 | PA      | $6015240.00   | 0.02%             | 2031-07-14      | Floating      | 6.28%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31396VHJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1020294 | PA      | $124066.09    | 0.00%             | 2037-04-25      | Floating      | 1.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31397MLV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    592642 | PA      | $58836.66     | 0.00%             | 2038-08-25      | Floating      | 1.53%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2006-1                                                     | CUSIP: 52520MEY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2696126 | PA      | $161563.48    | 0.00%             | 2036-02-25      | Floating      | 0.48%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2006-5                                                     | CUSIP: 52520TAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5464577 | PA      | $684409.37    | 0.00%             | 2036-09-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                 | Fannie Mae-Aces                                                                  | CUSIP: 3136B5B46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        | 204474339 | PA      | $7920109.06   | 0.03%             | 2031-07-25      | Variable      | 1.29%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                 | Fannie Mae-Aces                                                                  | CUSIP: 3136B9EK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        | 150857946 | PA      | $1229869.41   | 0.00%             | 2027-12-25      | Variable      | 0.77%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2006-9                                                     | CUSIP: 52521HBF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6173398 | PA      | $502532.50    | 0.00%             | 2037-01-25      | Floating      | 2.35%                 | 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      | $776768.37    | 0.00%             | 2038-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31397MUN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    140910 | PA      | $146336.40    | 0.00%             | 2038-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31397NS71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    494512 | PA      | $44013.98     | 0.00%             | 2039-06-25      | Floating      | 1.53%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BBG63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7588895 | PA      | $5792309.02   | 0.02%             | 2060-09-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BBH47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  28762575 | PA      | $5653163.39   | 0.02%             | 2060-09-25      | Fixed         | 3.00%                 | 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        |   1303772 | PA      | $534093.34    | 0.00%             | 2037-04-25      | Fixed         | 6.00%                 | 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        |   1921734 | PA      | $872730.48    | 0.00%             | 2036-11-25      | Floating      | 4.94%                 | 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        |  15096209 | PA      | $14372344.05  | 0.05%             | 2047-03-25      | Variable      | 4.98%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BBJ52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  16069151 | PA      | $2263617.87   | 0.01%             | 2050-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BBJP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7725264 | PA      | $6554757.96   | 0.02%             | 2050-08-25      | Fixed         | 2.00%                 | 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        |   6476060 | PA      | $2446073.91   | 0.01%             | 2037-01-25      | Floating      | 4.87%                 | 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        |   2788368 | PA      | $1379699.30   | 0.00%             | 2037-01-25      | Fixed         | 6.00%                 | 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        |   2647968 | PA      | $1310228.90   | 0.00%             | 2037-01-25      | Fixed         | 6.00%                 | 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        |   3131482 | PA      | $242776.26    | 0.00%             | 2037-02-25      | Floating      | 1.13%                 | 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        |   2029518 | PA      | $1772420.39   | 0.01%             | 2044-12-25      | Variable      | 2.57%                 | No            |                  2 | On Loan: No      |
| Trestles CLO LTD               | Trestles CLO VI Ltd                                                              | CUSIP: 894940AQ8<br>LEI: 254900837GHK5VH7YU15 | Long             | ABS-CBDO         | CORP              | US        |  25000000 | PA      | $25049667.50  | 0.08%             | 2038-04-25      | Floating      | 5.50%                 | 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        |   1348742 | PA      | $726994.81    | 0.00%             | 2037-02-25      | Fixed         | 6.00%                 | 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        |    385643 | PA      | $133884.45    | 0.00%             | 2037-05-25      | Floating      | 4.77%                 | 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        |  17435563 | PA      | $6126839.29   | 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        |   8004360 | PA      | $6646299.08   | 0.02%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Tricon American Homes          | Tricon American Homes 2019-SFR1 Trust                                            | CUSIP: 89612LAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $4953051.50   | 0.02%             | 2038-03-17      | Fixed         | 3.40%                 | 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      | $13002947.13  | 0.04%             | 2038-07-17      | Fixed         | 2.34%                 | 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        |  65681548 | PA      | $763882.97    | 0.00%             | 2050-11-15      | Variable      | 0.98%                 | 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        |   1630468 | PA      | $1097794.20   | 0.00%             | 2036-02-25      | Fixed         | 5.50%                 | 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        |   1848528 | PA      | $827287.63    | 0.00%             | 2036-03-25      | 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        |   2135661 | PA      | $1099694.86   | 0.00%             | 2036-05-25      | 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        |   2163022 | PA      | $1099596.36   | 0.00%             | 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        |   4588741 | PA      | $4332030.22   | 0.01%             | 2037-06-25      | Floating      | 4.55%                 | 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      | $7407204.80   | 0.02%             | 2050-06-15      | Fixed         | 4.44%                 | 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      | $537451.87    | 0.00%             | 2050-12-15      | Fixed         | 3.68%                 | No            |                  2 | On Loan: No      |
| Unity-Peace Park CLO, Ltd.     | Unity-Peace Park CLO Ltd                                                         | CUSIP: 913318AE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  15000000 | PA      | $15053698.50  | 0.05%             | 2035-04-20      | Floating      | 6.33%                 | 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        |    364778 | PA      | $347719.06    | 0.00%             | 2027-07-15      | Variable      | 17.04%                | 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        |    537949 | PA      | $533689.05    | 0.00%             | 2036-04-25      | Variable      | 6.09%                 | 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        |    484846 | PA      | $475648.10    | 0.00%             | 2036-09-25      | Variable      | 6.47%                 | 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        |    493046 | PA      | $467415.82    | 0.00%             | 2037-06-25      | Fixed         | 6.00%                 | 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      | $17883842.34  | 0.06%             | 2048-04-20      | Fixed         | 4.30%                 | 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        |    131931 | PA      | $245522.71    | 0.00%             | 2035-11-25      | Floating      | 4.60%                 | 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        |    667807 | PA      | $375290.05    | 0.00%             | 2036-08-25      | Fixed         | 6.00%                 | 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        |    221057 | PA      | $283583.30    | 0.00%             | 2037-05-25      | Floating      | 14.57%                | 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        |   3247151 | PA      | $2491735.94   | 0.01%             | 2036-10-27      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| FBR Securitization Trust       | FBR Securitization Trust                                                         | CUSIP: 30246QCR2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5500000 | PA      | $5263953.20   | 0.02%             | 2035-11-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                                            | CUSIP: 31323AC59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5671344 | PA      | $5005184.47   | 0.02%             | 2048-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                                            | CUSIP: 31323EAR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    513741 | PA      | $509820.32    | 0.00%             | 2041-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                 | CUSIP: 3132DQKY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  27251158 | PA      | $24211785.63  | 0.08%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                 | CUSIP: 3132DSND0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  22384430 | PA      | $23164583.40  | 0.08%             | 2054-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                                            | CUSIP: 3132FCGP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  58809449 | PA      | $55061415.42  | 0.18%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                                            | CUSIP: 3132FCJH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  18254162 | PA      | $17920492.76  | 0.06%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                                            | CUSIP: 3132QPG73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8727168 | PA      | $8219228.83   | 0.03%             | 2045-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                 | Fannie Mae-Aces                                                                  | CUSIP: 3136BD5K0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  15682441 | PA      | $14826716.10  | 0.05%             | 2033-01-25      | Variable      | 1.51%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                 | Fannie Mae-Aces                                                                  | CUSIP: 3136BQDH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3585670 | PA      | $3627672.47   | 0.01%             | 2033-07-25      | Variable      | 4.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3138ABLD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     85481 | PA      | $85168.11     | 0.00%             | 2026-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3138E4YK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5336054 | PA      | $5248998.22   | 0.02%             | 2032-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                | Fannie Mae Interest Strip                                                        | CUSIP: 31395QDF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  22564818 | PA      | $20289643.32  | 0.07%             | 2042-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                | Fannie Mae Interest Strip                                                        | CUSIP: 31423Y4T3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  25283132 | PA      | $4260403.76   | 0.01%             | 2052-08-25      | Fixed         | 3.00%                 | 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      | $24608740.88  | 0.08%             | 2038-12-17      | Fixed         | 3.08%                 | 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        |    388490 | PA      | $353381.17    | 0.00%             | 2032-10-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| MASTR Resecuritization Trust   | Mastr Resecuritization Trust 2008-1                                              | CUSIP: 55292EAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11383719 | PA      | $7225505.02   | 0.02%             | 2037-09-27      | Variable      | 6.00%                 | 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      | $4870470.60   | 0.02%             | 2036-12-15      | Fixed         | 2.72%                 | 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        |   2762755 | PA      | $575448.75    | 0.00%             | 2046-09-25      | Variable      | 6.42%                 | 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        |   8881354 | PA      | $6922469.96   | 0.02%             | 2036-11-26      | Variable      | 6.00%                 | 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        |   8932104 | PA      | $8418890.92   | 0.03%             | 2043-06-22      | Fixed         | 3.82%                 | No            |                  2 | On Loan: No      |
| NP SPE X LP                    | NP SPE X LP                                                                      | CUSIP: 62947AAF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2556432 | PA      | $2147498.89   | 0.01%             | 2051-03-19      | Fixed         | 2.23%                 | 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      | $16175159.10  | 0.05%             | 2035-12-15      | Floating      | 6.45%                 | 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        |  11736112 | PA      | $2116248.61   | 0.01%             | 2036-10-25      | Variable      | 4.50%                 | 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      | $12649863.40  | 0.04%             | 2036-01-25      | Floating      | 5.16%                 | 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        |    633584 | PA      | $506763.02    | 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        |  10709522 | PA      | $9062974.59   | 0.03%             | 2037-02-25      | Fixed         | 6.50%                 | 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      | $732029.54    | 0.00%             | 2037-04-25      | Variable      | 5.76%                 | No            |                  2 | On Loan: No      |
| SREIT Trust                    | SREIT Trust 2021-MFP                                                             | CUSIP: 78472UAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3014796 | PA      | $3012745.40   | 0.01%             | 2038-11-15      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| Starwood Commercial Mortgage T | STWD 2021-FL2 Ltd                                                                | CUSIP: 78486BAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  17732013 | PA      | $17759391.16  | 0.06%             | 2038-04-18      | Floating      | 5.45%                 | 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      | $4182521.50   | 0.01%             | 2065-05-25      | Variable      | 2.75%                 | 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        |  11329311 | PA      | $10871089.55  | 0.04%             | 2037-06-25      | Variable      | 4.33%                 | 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        |  10397704 | PA      | $4805757.35   | 0.02%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| STDIO Commercial Mortgage Trus | STDIO Commercial Mortgage Trust 2025-RLGH                                        | CUSIP: 85781AAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  14002000 | PA      | $14032983.63  | 0.05%             | 2038-09-15      | Variable      | 5.72%                 | 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        |    253971 | PA      | $254301.51    | 0.00%             | 2033-07-25      | Variable      | 5.42%                 | 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      | $11269573.04  | 0.04%             | 2037-08-25      | Fixed         | 6.50%                 | 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        |   2626233 | PA      | $2090610.22   | 0.01%             | 2037-09-25      | Floating      | 11.31%                | No            |                  2 | On Loan: No      |
| SUBWAY FUNDING LLC             | Subway Funding LLC                                                               | CUSIP: 864300AE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  19701125 | PA      | $20611850.88  | 0.07%             | 2054-07-30      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Textainer Marine Containers Li | Textainer Marine Containers VII Ltd                                              | CUSIP: 88315LAH1<br>LEI: 549300X48KLHDDGPK024 | Long             | ABS-O            | CORP              | US        |   1797455 | PA      | $1697913.53   | 0.01%             | 2045-09-20      | Fixed         | 3.34%                 | 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        |   2295977 | PA      | $1673325.28   | 0.01%             | 2037-08-25      | Fixed         | 6.00%                 | 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        |   6704199 | PA      | $4598702.25   | 0.02%             | 2036-05-25      | Floating      | 4.57%                 | 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        |     73312 | PA      | $71361.10     | 0.00%             | 2033-12-25      | Floating      | 5.27%                 | 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      | $5155943.63   | 0.02%             | 2038-07-17      | Fixed         | 2.59%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd               | CIFC Funding 2022-III Ltd                                                        | CUSIP: 12571KAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  11500000 | PA      | $11541517.30  | 0.04%             | 2035-04-21      | Floating      | 6.33%                 | 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      | $1392310.12   | 0.00%             | 2049-02-10      | Variable      | 4.84%                 | 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        |   2134875 | PA      | $326225.39    | 0.00%             | 2036-12-25      | Variable      | 6.18%                 | 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        |   7664055 | PA      | $1653134.33   | 0.01%             | 2037-05-25      | Variable      | 5.90%                 | No            |                  2 | On Loan: No      |
| Tricon Residential             | Tricon Residential 2025-SFR2 Trust                                               | CUSIP: 89617FAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  21500000 | PA      | $21877630.30  | 0.07%             | 2044-08-17      | Fixed         | 5.67%                 | 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        |  37276989 | PA      | $676450.61    | 0.00%             | 2051-03-15      | Variable      | 1.07%                 | 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        |   2817754 | PA      | $2759458.07   | 0.01%             | 2035-02-25      | Fixed         | 5.50%                 | 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        |   4237308 | PA      | $3433056.00   | 0.01%             | 2035-05-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust   | Upstart Securitization Trust                                                     | CUSIP: 91684NAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7132221 | PA      | $7162670.91   | 0.02%             | 2034-11-20      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| N/A                            | US 10yr Ultra Fut Dec25                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    -18600 | NC      | $-20239188.61 | -0.07%            |  |  |  | No            |                  1 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-13CB                                                 | CUSIP: 12667GAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1935433 | PA      | $1674381.25   | 0.01%             | 2035-05-25      | Fixed         | 5.50%                 | 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        |   2416524 | PA      | $164099.65    | 0.00%             | 2035-05-25      | Floating      | 0.93%                 | 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        |   1006676 | PA      | $645369.67    | 0.00%             | 2035-10-25      | Fixed         | 5.50%                 | 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        |    107319 | PA      | $68800.84     | 0.00%             | 2035-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31397SGL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1079715 | PA      | $957952.37    | 0.00%             | 2041-04-25      | Floating      | 0.06%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31397SW83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2527087 | PA      | $2520298.54   | 0.01%             | 2041-05-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31397UVX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    518271 | PA      | $519913.67    | 0.00%             | 2041-07-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31398PLB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     61827 | PA      | $1100.85      | 0.00%             | 2040-04-25      | Floating      | 1.98%                 | 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        |    317726 | PA      | $196235.04    | 0.00%             | 2035-11-25      | Floating      | 4.75%                 | 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        |   3351981 | PA      | $1853031.63   | 0.01%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BDFY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  23154295 | PA      | $4065229.72   | 0.01%             | 2051-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                 | Fannie Mae-Aces                                                                  | CUSIP: 3136BDXU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        | 171718121 | PA      | $4573712.16   | 0.02%             | 2033-08-25      | Variable      | 0.98%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31398SBZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    242685 | PA      | $297074.61    | 0.00%             | 2040-11-25      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31398T5K3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2655564 | PA      | $3028582.31   | 0.01%             | 2040-09-25      | Floating      | 2.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31403C6L0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1618057 | PA      | $1657838.18   | 0.01%             | 2036-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140J2UA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  53000000 | PA      | $36469782.83  | 0.12%             | 2050-12-01      | Fixed         | 2.24%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BFPE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  14347413 | PA      | $12694898.00  | 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        |  25400348 | PA      | $2620434.50   | 0.01%             | 2051-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                 | Fannie Mae-Aces                                                                  | CUSIP: 3136BHB32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        | 881229208 | PA      | $18836626.81  | 0.06%             | 2031-10-25      | Variable      | 1.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BS5X9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  24657995 | PA      | $24699074.88  | 0.08%             | 2054-10-25      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140JBTP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  76639762 | PA      | $67040364.71  | 0.22%             | 2031-12-01      | Variable      | 1.83%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140L0RL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  26351003 | PA      | $23987142.88  | 0.08%             | 2051-08-01      | Floating      | 2.01%                 | 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      | $5024942.50   | 0.02%             | 2037-07-20      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| Marble Point CLO XXIII Ltd.    | Marble Point CLO XXIII Ltd                                                       | CUSIP: 56607TAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  50000000 | PA      | $50095850.00  | 0.16%             | 2035-01-22      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| Marlette Funding Trust         | Marlette Funding Trust 2024-1                                                    | CUSIP: 57108VAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7633551 | PA      | $7685089.35   | 0.03%             | 2034-07-17      | Fixed         | 6.07%                 | 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        |    666106 | PA      | $596486.71    | 0.00%             | 2035-07-25      | Variable      | 3.42%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BSP82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  22028817 | PA      | $22115394.36  | 0.07%             | 2054-09-25      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                | Fannie Mae Interest Strip                                                        | CUSIP: 3136FKSM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2203531 | PA      | $223840.61    | 0.00%             | 2039-11-25      | Floating      | 0.98%                 | 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        |  16682887 | PA      | $7467984.05   | 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        |   3025859 | PA      | $1497991.60   | 0.00%             | 2036-05-25      | Fixed         | 6.00%                 | 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        |  13057598 | PA      | $722550.02    | 0.00%             | 2037-01-25      | Floating      | 2.28%                 | 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      | $867882.95    | 0.00%             | 2035-03-25      | Fixed         | 6.00%                 | 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        |  14524166 | PA      | $11948633.13  | 0.04%             | 2036-06-25      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FCNQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4177772 | PA      | $4038478.81   | 0.01%             | 2046-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FFVP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11305370 | PA      | $1824762.44   | 0.01%             | 2051-03-25      | Fixed         | 2.50%                 | 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        |  20729061 | PA      | $12483428.39  | 0.04%             | 2037-04-25      | Floating      | 4.57%                 | 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        |  26822797 | PA      | $6698977.58   | 0.02%             | 2047-10-25      | Variable      | 3.46%                 | No            |                  2 | On Loan: No      |
| Apollo Aviation Securitization | AASET 2024-1                                                                     | CUSIP: 00255JAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  30972329 | PA      | $32172661.87  | 0.11%             | 2049-05-16      | Fixed         | 6.90%                 | No            |                  2 | On Loan: No      |
| Nomura Resecuritization Trust  | Nomura Resecuritization Trust 2014-1R                                            | CUSIP: 65540ECP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2695431 | PA      | $2344107.27   | 0.01%             | 2036-08-26      | Variable      | 6.02%                 | No            |                  2 | On Loan: No      |
| Nomura Resecuritization Trust  | Nomura Resecuritization Trust 2015-4R                                            | CUSIP: 65540WCD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7896933 | PA      | $5988745.48   | 0.02%             | 2036-03-26      | Floating      | 1.42%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FPGF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  16941995 | PA      | $1747536.30   | 0.01%             | 2048-08-25      | Floating      | 1.53%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FVLC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  34310507 | PA      | $5870407.62   | 0.02%             | 2050-07-25      | Fixed         | 3.00%                 | 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        |   2810330 | PA      | $2376471.72   | 0.01%             | 2036-08-25      | 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        |   4873522 | PA      | $371435.95    | 0.00%             | 2036-08-25      | Floating      | 1.28%                 | 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        |   3401430 | PA      | $1418057.39   | 0.00%             | 2047-01-25      | Floating      | 4.87%                 | 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        |   2265175 | PA      | $1238463.59   | 0.00%             | 2047-01-25      | Fixed         | 6.00%                 | 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        |  10124938 | PA      | $10026654.09  | 0.03%             | 2030-03-25      | Fixed         | 2.65%                 | 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        |    407425 | PA      | $418181.47    | 0.00%             | 2035-04-25      | Fixed         | 5.70%                 | 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        |  13469306 | PA      | $9784687.08   | 0.03%             | 2035-10-25      | Variable      | 5.56%                 | 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        |  40714414 | PA      | $34365933.45  | 0.11%             | 2037-02-25      | Floating      | 3.80%                 | 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        |   6476060 | PA      | $713729.81    | 0.00%             | 2037-01-25      | Floating      | 1.13%                 | 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        |   3131482 | PA      | $863896.87    | 0.00%             | 2037-02-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Sprite Limited                 | Sprite 2021-1 Ltd                                                                | CUSIP: 85208UAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9045544 | PA      | $8855669.32   | 0.03%             | 2046-11-15      | Fixed         | 3.75%                 | 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        |    945721 | PA      | $879131.46    | 0.00%             | 2035-12-25      | Variable      | 5.42%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137H1P59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  94580873 | PA      | $17161292.68  | 0.06%             | 2050-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137H23H5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10015656 | PA      | $9030706.37   | 0.03%             | 2040-05-25      | 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      | $47177732.57  | 0.16%             | 2032-01-01      | Fixed         | 1.96%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140LFHP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  24500000 | PA      | $21241749.66  | 0.07%             | 2032-02-01      | Fixed         | 2.00%                 | 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        |   1264584 | PA      | $644001.65    | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | 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        |   1837795 | PA      | $1088542.04   | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | 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        |   3360492 | PA      | $1313586.50   | 0.00%             | 2037-04-25      | Floating      | 4.82%                 | 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        |   9072133 | PA      | $4000220.26   | 0.01%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137H3RY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8406131 | PA      | $7501262.71   | 0.02%             | 2041-07-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137HHS93<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  37704310 | PA      | $37941198.70  | 0.12%             | 2054-02-25      | Floating      | 5.71%                 | 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        |    580134 | PA      | $639105.31    | 0.00%             | 2037-08-25      | Floating      | 13.37%                | 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        |   4775245 | PA      | $2710774.00   | 0.01%             | 2037-07-25      | Fixed         | 5.75%                 | 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      | $3401391.35   | 0.01%             | 2050-10-15      | Variable      | 4.24%                 | 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        |  24727552 | PA      | $25069152.76  | 0.08%             | 2055-02-25      | Variable      | 6.03%                 | 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        |   5310082 | PA      | $5018183.42   | 0.02%             | 2035-03-25      | Variable      | 4.95%                 | 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        |   2775090 | PA      | $1242294.57   | 0.00%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Voyager OPTONE Delaware Trust  | Voyager OPTONE Delaware Trust                                                    | CUSIP: 92911FAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5515111 | PA      | $4264566.14   | 0.01%             | 2038-02-25      | Variable      | 16.41%                | 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      | $10043304.00  | 0.03%             | 2037-07-20      | Floating      | 5.73%                 | 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        | 141420885 | PA      | $4369.91      | 0.00%             | 2049-02-10      | Variable      | 1.34%                 | 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      | $264622.03    | 0.00%             | 2052-11-10      | Variable      | 0.72%                 | 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      | $322633.71    | 0.00%             | 2052-12-15      | Variable      | 1.51%                 | 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      | $23131206.50  | 0.08%             | 2052-08-15      | Fixed         | 3.14%                 | 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      | $16430342.50  | 0.05%             | 2050-02-25      | Fixed         | 5.85%                 | 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        |  10000000 | PA      | $8575000.00   | 0.03%             | 2058-09-10      | Variable      | 4.54%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31392FNA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    268563 | PA      | $275195.17    | 0.00%             | 2032-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan           | Fannie Mae Trust 2003-W17                                                        | CUSIP: 31393UAK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3937432 | PA      | $3996169.83   | 0.01%             | 2033-08-25      | Fixed         | 5.75%                 | 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        |  51709663 | PA      | $313629.45    | 0.00%             | 2049-07-10      | Variable      | 2.04%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31385XLY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2159816 | PA      | $2188214.90   | 0.01%             | 2033-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3138AUXW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1306907 | PA      | $1250133.87   | 0.00%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3138E0Q77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1651078 | PA      | $1540107.41   | 0.01%             | 2041-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3138E9JH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2250855 | PA      | $2153055.35   | 0.01%             | 2042-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3138ENZF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  18847574 | PA      | $18346992.97  | 0.06%             | 2042-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3138L9N40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  23338184 | PA      | $21066730.26  | 0.07%             | 2035-05-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3138LMAX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  20259435 | PA      | $18427945.24  | 0.06%             | 2035-01-01      | Fixed         | 3.16%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140MM4F2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9708224 | PA      | $9469875.69   | 0.03%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140QLE51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13160276 | PA      | $11944111.17  | 0.04%             | 2051-07-01      | Floating      | 1.86%                 | 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        |   1190837 | PA      | $581945.36    | 0.00%             | 2036-08-25      | Fixed         | 5.75%                 | 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      | $1523555.58   | 0.01%             | 2054-09-15      | Fixed         | 2.11%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3138MMEP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4876774 | PA      | $4486391.19   | 0.01%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3138WDZ20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7975876 | PA      | $7596790.62   | 0.03%             | 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        |   8743466 | PA      | $8321032.52   | 0.03%             | 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        |  15717976 | PA      | $14214262.21  | 0.05%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140QTEH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  21993359 | PA      | $22469496.95  | 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        |  16191472 | PA      | $16554917.73  | 0.05%             | 2053-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140HNFH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  15234965 | PA      | $13101914.13  | 0.04%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140HXP20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8190000 | PA      | $6966061.67   | 0.02%             | 2035-02-01      | Fixed         | 2.73%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140QUUE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  37190209 | PA      | $37938645.62  | 0.12%             | 2054-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140X7ZM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  20509748 | PA      | $17528689.80  | 0.06%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140J2J64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10413140 | PA      | $7496419.80   | 0.02%             | 2050-12-01      | Fixed         | 2.23%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140NWL60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  49221000 | PA      | $49377934.27  | 0.16%             | 2029-10-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140QBKL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3571507 | PA      | $3471774.19   | 0.01%             | 2034-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140QTUF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  26926767 | PA      | $27250415.89  | 0.09%             | 2054-01-01      | Fixed         | 5.50%                 | 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        |   1107342 | PA      | $1142515.24   | 0.00%             | 2034-08-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31394VRC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         0 | PA      | $0.23         | 0.00%             | 2026-01-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140QVLM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  19885085 | PA      | $20352993.72  | 0.07%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                 | CUSIP: 31427N3W7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  27292277 | PA      | $28016405.60  | 0.09%             | 2054-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                 | CUSIP: 31427NHU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  73541606 | PA      | $75272098.35  | 0.25%             | 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        | 376902421 | NS      | $376902421.05 | 1.24%             |  |  |  | No            |                  1 | 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      | $3726199.20   | 0.01%             | 2036-06-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| GCAT                           | GCAT 2025-NQM3 Trust                                                             | CUSIP: 36171MAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $5062429.00   | 0.02%             | 2070-05-25      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae II Pool                                                               | CUSIP: 36179QYG0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    475038 | PA      | $430428.43    | 0.00%             | 2045-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae II Pool                                                               | CUSIP: 3622AA2F0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  20886639 | PA      | $18076212.54  | 0.06%             | 2051-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38374VQ51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     24455 | PA      | $24400.66     | 0.00%             | 2039-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38375QNX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1057381 | PA      | $25269.09     | 0.00%             | 2038-05-20      | Floating      | 2.09%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38375QV30<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1050855 | PA      | $78956.75     | 0.00%             | 2038-06-16      | Floating      | 1.99%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381D3P3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  22492746 | PA      | $1408698.21   | 0.00%             | 2063-09-16      | Variable      | 0.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381DHV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  31353590 | PA      | $1880836.01   | 0.01%             | 2063-02-16      | Variable      | 0.83%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381DM23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  64555995 | PA      | $4491735.11   | 0.01%             | 2063-04-16      | Variable      | 0.91%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381L5V0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        | 216500871 | PA      | $14675338.34  | 0.05%             | 2065-04-16      | Variable      | 0.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381LAC6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  76560705 | PA      | $4739467.49   | 0.02%             | 2065-10-16      | Variable      | 0.74%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381LUY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  98966682 | PA      | $7600542.24   | 0.03%             | 2066-09-16      | Variable      | 0.97%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382HKW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8998426 | PA      | $1288552.08   | 0.00%             | 2050-08-20      | Floating      | 1.81%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382J3Q7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        | 144506027 | PA      | $21026392.85  | 0.07%             | 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        |  32548793 | PA      | $4832789.38   | 0.02%             | 2050-09-20      | Floating      | 2.10%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382JXJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        | 125691263 | PA      | $18613179.28  | 0.06%             | 2050-09-20      | Floating      | 2.05%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382KYS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  49795813 | PA      | $7332199.40   | 0.02%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382LBD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  29204452 | PA      | $4407392.80   | 0.01%             | 2050-11-20      | Fixed         | 2.50%                 | 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        |   3199372 | PA      | $1372213.78   | 0.00%             | 2036-08-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382LKY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  33438100 | PA      | $5066373.74   | 0.02%             | 2050-11-20      | Floating      | 2.05%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382LWK3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  25382732 | PA      | $19437349.99  | 0.06%             | 2050-12-20      | Fixed         | 1.17%                 | 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        |   4105318 | PA      | $1174404.15   | 0.00%             | 2036-08-25      | Fixed         | 6.50%                 | 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        |   9272038 | PA      | $1461918.49   | 0.00%             | 2037-09-25      | Floating      | 2.23%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382M4V8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  50991063 | PA      | $7579352.43   | 0.02%             | 2051-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382M6T1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  34225467 | PA      | $5978264.97   | 0.02%             | 2050-07-20      | Fixed         | 3.50%                 | 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      | $966305.96    | 0.00%             | 2055-01-15      | Variable      | 1.64%                 | 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      | $921195.29    | 0.00%             | 2055-03-15      | Variable      | 1.73%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382MJ83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  30510165 | PA      | $4304694.50   | 0.01%             | 2051-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382PV25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  28445200 | PA      | $4249863.67   | 0.01%             | 2051-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust       | Benchmark 2025-V16 Mortgage Trust                                                | CUSIP: 08164RAV7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13175000 | PA      | $13731245.87  | 0.05%             | 2058-08-15      | Variable      | 5.86%                 | 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      | $5010549.50   | 0.02%             | 2031-08-15      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382URD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  21268310 | PA      | $49769.97     | 0.00%             | 2051-06-20      | 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        |  18269555 | PA      | $2931837.87   | 0.01%             | 2051-06-20      | Fixed         | 3.50%                 | 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        |   1350138 | PA      | $612327.30    | 0.00%             | 2037-04-25      | Fixed         | 6.00%                 | 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        |   1232455 | PA      | $549278.11    | 0.00%             | 2037-02-25      | Fixed         | 6.00%                 | 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        |   1336566 | PA      | $1322554.38   | 0.00%             | 2036-02-25      | Fixed         | 6.00%                 | 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        |  10140639 | PA      | $4464560.39   | 0.01%             | 2036-04-25      | Fixed         | 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        |   5219158 | PA      | $4838636.08   | 0.02%             | 2037-05-25      | Fixed         | 6.00%                 | 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      | $1719148.03   | 0.01%             | 2051-11-15      | Variable      | 5.04%                 | 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        |   3772829 | PA      | $498263.16    | 0.00%             | 2036-11-25      | Variable      | 6.61%                 | 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        |  30248371 | PA      | $26545.97     | 0.00%             | 2049-01-15      | Variable      | 2.01%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2005-3                                                     | CUSIP: 52520MEB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    124930 | PA      | $101572.04    | 0.00%             | 2036-01-25      | 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        |    671145 | PA      | $570332.52    | 0.00%             | 2036-01-25      | Fixed         | 6.00%                 | 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        |   1539362 | PA      | $1451671.77   | 0.00%             | 2036-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Series 2010-4R                                                              | CUSIP: 12643NMK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2405809 | PA      | $2205068.41   | 0.01%             | 2037-06-26      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2006-1                                                     | CUSIP: 52520MEX7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    898709 | PA      | $368492.52    | 0.00%             | 2036-02-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2006-1                                                     | CUSIP: 52520MFH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1893358 | PA      | $100543.95    | 0.00%             | 2036-02-25      | Floating      | 0.48%                 | 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        |   6380951 | PA      | $4347792.28   | 0.01%             | 2046-08-26      | Variable      | 4.65%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC 2020-RPL1 Trust                                                             | CUSIP: 12656EBY6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 154219705 | PA      | $126500317.01 | 0.42%             | 2069-10-25      | Variable      | 3.29%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2006-9                                                     | CUSIP: 52521HAU7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1597510 | PA      | $1426169.13   | 0.00%             | 2037-01-25      | Floating      | 11.03%                | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2007-5                                                     | CUSIP: 52521RBJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    499315 | PA      | $586649.96    | 0.00%             | 2036-08-25      | Floating      | 14.45%                | 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      | $4327061.81   | 0.01%             | 2037-06-25      | Variable      | 5.67%                 | 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      | $5995159.80   | 0.02%             | 2036-11-25      | Variable      | 5.81%                 | 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        |   4981075 | PA      | $1914744.03   | 0.01%             | 2035-03-25      | Variable      | 4.11%                 | 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        |  14049586 | PA      | $2798687.33   | 0.01%             | 2036-12-25      | Floating      | 4.72%                 | 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        |  31005328 | PA      | $3776631.94   | 0.01%             | 2036-12-25      | Floating      | 2.28%                 | 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        |  15119161 | PA      | $5504844.08   | 0.02%             | 2037-07-25      | Fixed         | 6.00%                 | 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        |  11632736 | PA      | $7297676.23   | 0.02%             | 2037-01-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Co | Structured Asset Securities Corp                                                 | CUSIP: 86363TAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  37468458 | PA      | $2357180.04   | 0.01%             | 2045-03-28      | Floating      | 1.98%                 | 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      | $152037.95    | 0.00%             | 2036-04-25      | Fixed         | 6.00%                 | 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      | $3858083.98   | 0.01%             | 2055-03-25      | Fixed         | 6.49%                 | 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      | $9820762.00   | 0.03%             | 2038-07-17      | Fixed         | 2.89%                 | 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      | $26278044.10  | 0.09%             | 2042-09-18      | Floating      | 5.67%                 | 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        |   9740591 | PA      | $128406.31    | 0.00%             | 2050-08-15      | Variable      | 1.22%                 | 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      | $8649849.11   | 0.03%             | 2052-12-15      | Variable      | 3.68%                 | 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        |    520501 | PA      | $487643.60    | 0.00%             | 2027-10-15      | Variable      | 19.25%                | 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        |   4885192 | PA      | $4915546.00   | 0.02%             | 2032-04-15      | Fixed         | 5.44%                 | 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        |    274310 | PA      | $264600.60    | 0.00%             | 2027-04-15      | Variable      | 13.27%                | 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        |  10006076 | PA      | $10122485.19  | 0.03%             | 2032-06-15      | Fixed         | 5.98%                 | 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      | $875574.62    | 0.00%             | 2037-04-25      | Fixed         | 5.75%                 | 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        |   1454018 | PA      | $684795.69    | 0.00%             | 2037-07-26      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S | BBCMS Trust 2018-CBM                                                             | CUSIP: 05549RAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  45454000 | PA      | $44420553.31  | 0.15%             | 2037-07-15      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| BFLD Trust                     | BFLD Trust 2025-FPM                                                              | CUSIP: 05556HAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5420000 | PA      | $5466815.79   | 0.02%             | 2030-10-10      | Variable      | 5.01%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31395WNC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1130554 | PA      | $90727.72     | 0.00%             | 2035-07-15      | Floating      | 2.01%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31396VEK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    886172 | PA      | $78536.85     | 0.00%             | 2037-04-25      | Floating      | 1.63%                 | 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        |   7625175 | PA      | $2025073.43   | 0.01%             | 2036-10-25      | Variable      | 6.50%                 | 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        |    393041 | PA      | $365290.93    | 0.00%             | 2035-11-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Bank5                          | BANK5 2025-5YR17                                                                 | CUSIP: 06211GAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  20000000 | PA      | $20649214.00  | 0.07%             | 2058-11-15      | Fixed         | 5.22%                 | No            |                  2 | On Loan: No      |
| Bank                           | BANK 2020-BNK27                                                                  | CUSIP: 06539XAH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4270000 | PA      | $3793171.66   | 0.01%             | 2063-04-15      | Fixed         | 2.14%                 | No            |                  2 | On Loan: No      |
| Bank                           | BANK 2017-BNK4                                                                   | CUSIP: 06541FBB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  30925143 | PA      | $477530.59    | 0.00%             | 2050-05-15      | Variable      | 1.49%                 | No            |                  2 | On Loan: No      |
| Bank                           | BANK 2022-BNK40                                                                  | CUSIP: 06541LAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7663000 | PA      | $370927.52    | 0.00%             | 2064-03-15      | Variable      | 1.00%                 | No            |                  2 | On Loan: No      |
| BCAP LLC Trust                 | BCAP LLC 2009-RR4 Trust                                                          | CUSIP: 05531RAK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2488985 | PA      | $1053986.00   | 0.00%             | 2036-02-26      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| BDS Ltd                        | BDS 2024-FL13 LLC                                                                | CUSIP: 05555MAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6000000 | PA      | $6034662.00   | 0.02%             | 2039-09-19      | Floating      | 5.71%                 | 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      | $21445372.76  | 0.07%             | 2057-09-15      | Fixed         | 5.32%                 | 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      | $3881379.89   | 0.01%             | 2036-10-15      | Floating      | 4.99%                 | 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        | 129979704 | PA      | $5096036.27   | 0.02%             | 2057-12-15      | Variable      | 1.28%                 | 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        |  98463067 | PA      | $8284288.63   | 0.03%             | 2062-02-15      | Variable      | 1.36%                 | 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        |    517591 | PA      | $525899.34    | 0.00%             | 2036-12-25      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| Bank                           | BANK 2021-BNK32                                                                  | CUSIP: 06542BBN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  44484810 | PA      | $1317382.06   | 0.00%             | 2054-04-15      | Variable      | 0.87%                 | No            |                  2 | On Loan: No      |
| Bank5                          | BANK5 2025-5YR15                                                                 | CUSIP: 065924AP7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9640000 | PA      | $10007349.55  | 0.03%             | 2058-07-15      | Fixed         | 5.76%                 | No            |                  2 | On Loan: No      |
| Bank5                          | BANK5 2025-5YR16                                                                 | CUSIP: 065934BF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4104000 | PA      | $4237635.68   | 0.01%             | 2063-08-15      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| Bank5                          | BANK5 2024-5YR10                                                                 | CUSIP: 06604AAM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2467000 | PA      | $2528320.00   | 0.01%             | 2057-10-15      | Fixed         | 5.64%                 | 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        |    196738 | PA      | $174052.30    | 0.00%             | 2036-02-25      | Variable      | 4.60%                 | 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        |   5744081 | PA      | $2599569.95   | 0.01%             | 2036-02-25      | Variable      | 6.25%                 | 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        |   1328295 | PA      | $458413.99    | 0.00%             | 2036-10-25      | Fixed         | 6.50%                 | 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        |   1179243 | PA      | $558593.72    | 0.00%             | 2036-10-25      | Variable      | 5.51%                 | 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        |   5437088 | PA      | $5028656.04   | 0.02%             | 2036-11-25      | Floating      | 4.67%                 | 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        |   2271805 | PA      | $2218602.28   | 0.01%             | 2037-12-25      | Floating      | 4.63%                 | 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        |   5177184 | PA      | $5078304.91   | 0.02%             | 2037-04-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust       | Benchmark 2019-B9 Mortgage Trust                                                 | CUSIP: 08160JAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  73212471 | PA      | $1973171.28   | 0.01%             | 2052-03-15      | Variable      | 1.17%                 | 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      | $503210.54    | 0.00%             | 2052-08-15      | Variable      | 1.28%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust       | Benchmark 2020-B18 Mortgage Trust                                                | CUSIP: 08163AAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  74145339 | PA      | $3875421.18   | 0.01%             | 2053-07-15      | Variable      | 1.85%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust       | Benchmark 2025-V15 Mortgage Trust                                                | CUSIP: 08164CAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4078000 | PA      | $4292386.17   | 0.01%             | 2058-06-15      | Fixed         | 6.17%                 | 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      | $2409248.50   | 0.01%             | 2057-07-15      | Variable      | 6.19%                 | 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      | $945309.45    | 0.00%             | 2058-09-15      | Variable      | 5.42%                 | 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        |   3505620 | PA      | $1589901.57   | 0.01%             | 2037-04-25      | Fixed         | 6.00%                 | 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        |   2349816 | PA      | $1605610.92   | 0.01%             | 2037-10-25      | Fixed         | 6.00%                 | 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        |   3101803 | PA      | $1265953.92   | 0.00%             | 2037-05-25      | Fixed         | 6.00%                 | 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        |   2868273 | PA      | $337682.63    | 0.00%             | 2037-04-25      | Floating      | 2.40%                 | 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      | $16914485.37  | 0.06%             | 2043-10-10      | Fixed         | 3.17%                 | 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        |   1156468 | PA      | $69318.48     | 0.00%             | 2035-04-25      | Floating      | 0.73%                 | 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        |   1176379 | PA      | $812501.63    | 0.00%             | 2035-07-25      | Floating      | 5.31%                 | 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        |  26440068 | PA      | $17378276.98  | 0.06%             | 2035-11-25      | Fixed         | 5.50%                 | 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        |   1203359 | PA      | $642396.84    | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | 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        |    781847 | PA      | $726137.35    | 0.00%             | 2036-01-25      | Floating      | 5.07%                 | 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        |   9953855 | PA      | $7175148.93   | 0.02%             | 2035-12-25      | Fixed         | 5.50%                 | 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        |    259684 | PA      | $231436.40    | 0.00%             | 2035-12-25      | Fixed         | 5.50%                 | 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        |   1280017 | PA      | $753853.25    | 0.00%             | 2035-10-25      | Fixed         | 5.25%                 | 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        |   5471811 | PA      | $2936838.51   | 0.01%             | 2035-11-25      | Fixed         | 5.50%                 | 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        |    324836 | PA      | $324444.65    | 0.00%             | 2034-02-25      | Variable      | 6.77%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC 2021-B33                                                                    | CUSIP: 12658WAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 106475593 | PA      | $2394849.04   | 0.01%             | 2043-10-10      | Variable      | 0.62%                 | 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        |   1009296 | PA      | $792753.78    | 0.00%             | 2036-02-25      | Floating      | 5.97%                 | 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        |   2696130 | PA      | $2611756.54   | 0.01%             | 2036-08-25      | Floating      | 4.57%                 | 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        |   3603730 | PA      | $2771077.47   | 0.01%             | 2036-10-25      | Floating      | 4.39%                 | 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        |   2038507 | PA      | $1938265.90   | 0.01%             | 2035-12-25      | Variable      | 4.84%                 | 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        |   4547138 | PA      | $2035568.06   | 0.01%             | 2037-08-25      | Fixed         | 6.00%                 | 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        |   3870231 | PA      | $3665014.32   | 0.01%             | 2036-06-25      | Variable      | 5.65%                 | 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        |   1219319 | PA      | $1124424.57   | 0.00%             | 2036-04-25      | Fixed         | 5.50%                 | 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        |    724080 | PA      | $369536.75    | 0.00%             | 2019-01-25      | Fixed         | 5.25%                 | 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        |    147707 | PA      | $143081.37    | 0.00%             | 2035-03-25      | Floating      | 4.63%                 | 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        |   3195115 | PA      | $1350407.85   | 0.00%             | 2037-01-25      | Variable      | 7.47%                 | 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        | 212766228 | PA      | $2125109.09   | 0.01%             | 2050-08-15      | Variable      | 0.85%                 | No            |                  2 | On Loan: No      |
| ChaseFlex Trust                | ChaseFlex Trust Series 2006-1                                                    | CUSIP: 16165LAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     66076 | PA      | $63353.68     | 0.00%             | 2036-06-25      | Variable      | 6.16%                 | 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        |   1396753 | PA      | $1236427.52   | 0.00%             | 2036-07-25      | Fixed         | 6.00%                 | 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      | $3242611.80   | 0.01%             | 2042-11-10      | Variable      | 3.42%                 | 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      | $29658510.01  | 0.10%             | 2065-03-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| Anthelion CLO                  | Anthelion CLO 2025-1 Ltd                                                         | CUSIP: 03676GAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  34000000 | PA      | $34153635.80  | 0.11%             | 2036-07-20      | Floating      | 5.82%                 | 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        |    174457 | PA      | $161962.03    | 0.00%             | 2037-10-25      | 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        |   1965229 | PA      | $1696762.53   | 0.01%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Coinstar Funding, LLC          | Coinstar Funding LLC Series 2017-1                                               | CUSIP: 19260MAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11739412 | PA      | $10916945.74  | 0.04%             | 2047-04-25      | Fixed         | 5.22%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                                            | CUSIP: 3128LXBH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4616377 | PA      | $4729633.18   | 0.02%             | 2035-07-01      | Fixed         | 5.00%                 | 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      | $10545957.35  | 0.03%             | 2037-08-27      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BX Trust                       | BX Trust 2021-VIEW                                                               | CUSIP: 05606GAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12240000 | PA      | $12216802.75  | 0.04%             | 2036-06-15      | Floating      | 5.54%                 | 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        |  10035754 | PA      | $2151670.63   | 0.01%             | 2036-07-25      | Fixed         | 7.00%                 | 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        |  47362549 | PA      | $2153390.40   | 0.01%             | 2053-09-15      | Variable      | 1.70%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                 | CUSIP: 3132DWBV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  72543548 | PA      | $64147394.08  | 0.21%             | 2051-06-01      | 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      | $19220912.86  | 0.06%             | 2029-12-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| BX Trust                       | BX Commercial Mortgage Trust 2021-XL2                                            | CUSIP: 05609KAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3514700 | PA      | $3513700.42   | 0.01%             | 2038-10-15      | Floating      | 6.11%                 | 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        |   3684512 | PA      | $3128912.21   | 0.01%             | 2036-05-20      | Variable      | 4.02%                 | 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        |  97137348 | PA      | $17727.57     | 0.00%             | 2049-05-10      | Variable      | 1.55%                 | No            |                  2 | On Loan: No      |
| DOLP Trust                     | DOLP Trust 2021-NYC                                                              | CUSIP: 23345LAN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11475000 | PA      | $8818433.08   | 0.03%             | 2041-05-10      | Variable      | 3.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136A0DW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2654338 | PA      | $2514359.12   | 0.01%             | 2041-08-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136A2JW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2897411 | PA      | $2949341.00   | 0.01%             | 2041-11-25      | Fixed         | 5.00%                 | 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        |     77234 | PA      | $63540.97     | 0.00%             | 2046-09-20      | Variable      | 4.07%                 | 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        |   1080572 | PA      | $940632.54    | 0.00%             | 2036-08-25      | Fixed         | 6.25%                 | 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      | $2238732.65   | 0.01%             | 2041-01-15      | Variable      | 5.98%                 | No            |                  2 | On Loan: No      |
| DataBank Issuer LLC            | DataBank Issuer                                                                  | CUSIP: 23802WAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  39300000 | PA      | $38828903.04  | 0.13%             | 2051-02-27      | Fixed         | 2.06%                 | 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        |    408552 | PA      | $371188.64    | 0.00%             | 2036-10-25      | Variable      | 6.54%                 | 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        |    132917 | PA      | $116653.01    | 0.00%             | 2037-01-25      | Fixed         | 5.75%                 | 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        |    444490 | PA      | $169477.04    | 0.00%             | 2035-11-25      | Floating      | 4.47%                 | 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        |   2386981 | PA      | $2191187.68   | 0.01%             | 2036-02-25      | Variable      | 5.67%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136AL2L4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  34256576 | PA      | $31396611.22  | 0.10%             | 2044-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136AUJX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    642834 | PA      | $637390.27    | 0.00%             | 2044-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Bank                           | BANK 2018-BNK10                                                                  | CUSIP: 065404AN5<br>LEI: 549300GL0Y86051URC66 | Long             | ABS-MBS          | CORP              | US        |  31334000 | PA      | $1136863.32   | 0.00%             | 2061-02-15      | Variable      | 1.86%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust       | Benchmark 2021-B28 Mortgage Trust                                                | CUSIP: 08163GAZ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 118193031 | PA      | $6030976.71   | 0.02%             | 2054-08-15      | Variable      | 1.35%                 | 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        |    324890 | PA      | $300396.23    | 0.00%             | 2036-06-25      | Variable      | 4.68%                 | 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        |    572918 | PA      | $501790.72    | 0.00%             | 2036-10-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136AUYN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6859537 | PA      | $6485949.15   | 0.02%             | 2037-06-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136B7YZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12425859 | PA      | $1477336.43   | 0.00%             | 2049-12-25      | Floating      | 1.53%                 | 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      | $21775548.30  | 0.07%             | 2054-11-20      | Fixed         | 5.41%                 | 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        |    317549 | PA      | $135990.81    | 0.00%             | 2037-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BAR97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  27830655 | PA      | $25048563.39  | 0.08%             | 2046-05-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BBGB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  42256676 | PA      | $33127264.82  | 0.11%             | 2050-08-25      | Fixed         | 1.00%                 | 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        |   5128026 | PA      | $2398225.34   | 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        |   2246529 | PA      | $863844.16    | 0.00%             | 2038-01-25      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BBGH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9375066 | PA      | $1231231.19   | 0.00%             | 2050-08-25      | Floating      | 1.68%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BDR26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  17743816 | PA      | $2990461.14   | 0.01%             | 2051-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BDWB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  20849757 | PA      | $3728943.51   | 0.01%             | 2051-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BGDR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  64780716 | PA      | $11693638.33  | 0.04%             | 2051-07-25      | Fixed         | 3.00%                 | 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        |   8000327 | PA      | $7009113.24   | 0.02%             | 2036-10-25      | Variable      | 5.65%                 | 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        |   1632286 | PA      | $1426731.56   | 0.00%             | 2036-10-25      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BKF23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  20958947 | PA      | $18693909.50  | 0.06%             | 2049-01-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BLD80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13106160 | PA      | $12128402.22  | 0.04%             | 2052-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BTXB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  61006121 | PA      | $61619055.19  | 0.20%             | 2054-12-25      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137A0YB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1227727 | PA      | $130915.72    | 0.00%             | 2036-12-15      | Fixed         | 5.00%                 | 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        |  23387150 | PA      | $904123.83    | 0.00%             | 2052-09-15      | Variable      | 1.46%                 | No            |                  2 | On Loan: No      |
| CSMCM Trust Certificates       | CSMCM 2020-RPL1 Trust                                                            | CUSIP: 12597LAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8062589 | PA      | $6285714.96   | 0.02%             | 2046-01-25      | Variable      | 3.23%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137A5PB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2222464 | PA      | $2187340.64   | 0.01%             | 2031-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137HHG70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  39243202 | PA      | $39440441.95  | 0.13%             | 2054-11-25      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trus | CSAIL 2015-C4 Commercial Mortgage Trust                                          | CUSIP: 12635RAZ1<br>LEI: 54930025J96YEH8FQE77 | Long             | ABS-MBS          | CORP              | US        |  19980428 | PA      | $305.70       | 0.00%             | 2048-11-15      | Variable      | 0.95%                 | 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        |   5752000 | PA      | $2857296.18   | 0.01%             | 2036-06-27      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137HKJ62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  20285206 | PA      | $20450222.05  | 0.07%             | 2055-03-25      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137HLLF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  37946534 | PA      | $38368416.38  | 0.13%             | 2055-06-25      | Floating      | 5.86%                 | 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      | $2774.16      | 0.00%             | 2037-09-15      | Variable      | 0.69%                 | 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      | $2508400.25   | 0.01%             | 2034-04-15      | Floating      | 6.33%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31393NY94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    131853 | PA      | $133904.55    | 0.00%             | 2033-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31396UP61<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    704033 | PA      | $723401.58    | 0.00%             | 2036-07-15      | Fixed         | 5.00%                 | 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        |  17376735 | PA      | $13366528.94  | 0.04%             | 2036-10-25      | Floating      | 4.43%                 | 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      | $18080172.00  | 0.06%             | 2038-01-20      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31397JR97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    264609 | PA      | $274290.15    | 0.00%             | 2037-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31397KCA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3408643 | PA      | $323503.77    | 0.00%             | 2037-08-15      | Floating      | 1.56%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31397JHY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1000270 | PA      | $91069.66     | 0.00%             | 2037-06-15      | Floating      | 2.16%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31398KC40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    628647 | PA      | $52672.01     | 0.00%             | 2049-10-15      | Floating      | 1.51%                 | 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        |   3360747 | PA      | $1338701.64   | 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        |    751742 | PA      | $466705.21    | 0.00%             | 2036-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140JB5Q5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  19498386 | PA      | $19541016.74  | 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        |  24201130 | PA      | $24155418.68  | 0.08%             | 2053-03-01      | Floating      | 4.54%                 | 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      | $1584812.06   | 0.01%             | 2036-01-25      | Fixed         | 7.00%                 | 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      | $676840.95    | 0.00%             | 2036-03-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140JBVT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  14464846 | PA      | $13219065.89  | 0.04%             | 2052-04-01      | Floating      | 2.29%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140KSJJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  14917977 | PA      | $11788178.34  | 0.04%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| DataBank Issuer LLC            | DataBank Issuer                                                                  | CUSIP: 23802WAJ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3350000 | PA      | $3264928.76   | 0.01%             | 2051-10-25      | Fixed         | 2.79%                 | 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      | $69710446.50  | 0.23%             | 2026-07-25      | Variable      | 3.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140LDEG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9975000 | PA      | $7034945.76   | 0.02%             | 2041-08-01      | Fixed         | 2.24%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140LFQD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  20155000 | PA      | $18128448.01  | 0.06%             | 2032-04-01      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                                            | CUSIP: 3128E6YV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4890733 | PA      | $4748299.62   | 0.02%             | 2032-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                                            | CUSIP: 3128MJWU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8861324 | PA      | $8058112.68   | 0.03%             | 2045-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140LGY55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4200000 | PA      | $4056653.96   | 0.01%             | 2032-07-01      | Fixed         | 3.89%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140LHVE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        | 159468000 | PA      | $157388723.86 | 0.52%             | 2032-12-01      | Fixed         | 4.33%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140LJDK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4131000 | PA      | $4307012.28   | 0.01%             | 2032-01-01      | Fixed         | 5.22%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140LVJA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1510557 | PA      | $1193626.27   | 0.00%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140X4DE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  39423941 | PA      | $35653797.58  | 0.12%             | 2047-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140X8H67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  37455826 | PA      | $32236633.43  | 0.11%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140XDPG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9176605 | PA      | $7477997.53   | 0.02%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31418AKP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1417933 | PA      | $1392271.08   | 0.00%             | 2032-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31418ALY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1133283 | PA      | $1054289.54   | 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        |  13490529 | PA      | $11924532.36  | 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        |  12735950 | PA      | $11769498.44  | 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        |   8973313 | PA      | $8325007.68   | 0.03%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31398SLC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3798164 | PA      | $3690479.13   | 0.01%             | 2040-12-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31398TQB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    605350 | PA      | $601151.77    | 0.00%             | 2040-08-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                                            | CUSIP: 3128P7RH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8771097 | PA      | $8634251.48   | 0.03%             | 2032-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136AK5T6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13925824 | PA      | $12766571.79  | 0.04%             | 2044-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31418DYC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  81751879 | PA      | $69434139.24  | 0.23%             | 2051-04-01      | Fixed         | 2.50%                 | 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        |   5962572 | PA      | $2302363.10   | 0.01%             | 2036-04-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136B7P88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  36512509 | PA      | $32021663.68  | 0.11%             | 2050-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BDQ43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  36900315 | PA      | $5606947.53   | 0.02%             | 2051-02-25      | Fixed         | 2.50%                 | 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        |   1776890 | PA      | $715428.80    | 0.00%             | 2036-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust     | Progress Residential 2021-SFR10 Trust                                            | CUSIP: 74333WAL6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  20165551 | PA      | $19311580.24  | 0.06%             | 2040-12-17      | Fixed         | 3.67%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust     | Progress Residential 2021-SFR10 Trust                                            | CUSIP: 74333WAN2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10923007 | PA      | $10699439.06  | 0.04%             | 2040-12-17      | Fixed         | 4.61%                 | No            |                  2 | On Loan: No      |
| Raptor Aircraft Finance LLC    | Raptor Aircraft Finance I LLC                                                    | CUSIP: 75383HAA9<br>LEI: 549300QFYP8PTWJMXQ65 | Long             | ABS-O            | CORP              | US        |  11686856 | PA      | $10702962.88  | 0.04%             | 2044-08-23      | Fixed         | 4.21%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BDZ92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9866145 | PA      | $7612919.81   | 0.03%             | 2050-11-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BKJC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  16732389 | PA      | $14958402.71  | 0.05%             | 2049-03-25      | Fixed         | 2.50%                 | 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      | $1431113.82   | 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      | $2432905.59   | 0.01%             | 2036-05-25      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BKRQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  21843145 | PA      | $19237561.07  | 0.06%             | 2050-03-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BLPS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  26188906 | PA      | $23344903.42  | 0.08%             | 2050-06-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3138WHJT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11752399 | PA      | $10388301.13  | 0.03%             | 2046-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3138WJAM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  21757207 | PA      | $20002947.64  | 0.07%             | 2041-10-01      | Fixed         | 3.00%                 | 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        |    543175 | PA      | $433384.41    | 0.00%             | 2035-09-25      | Fixed         | 5.50%                 | 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        |  11621000 | PA      | $11546835.94  | 0.04%             | 2038-05-15      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3138YHX21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    392012 | PA      | $346499.11    | 0.00%             | 2045-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3138YRUA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4433993 | PA      | $4138744.12   | 0.01%             | 2042-04-01      | Fixed         | 3.50%                 | 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      | $2716969.76   | 0.01%             | 2051-10-15      | Variable      | 4.79%                 | 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      | $30730249.01  | 0.10%             | 2045-09-15      | Fixed         | 1.99%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31392FCA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    180675 | PA      | $185410.08    | 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        |    693990 | PA      | $706322.26    | 0.00%             | 2033-04-25      | Fixed         | 5.00%                 | 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        |   5035996 | PA      | $4877527.12   | 0.02%             | 2049-07-25      | Variable      | 3.13%                 | 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      | $1759804.77   | 0.01%             | 2049-07-25      | Variable      | 3.26%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31393EMJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2704557 | PA      | $2762153.41   | 0.01%             | 2033-09-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31396LBJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    219930 | PA      | $16330.36     | 0.00%             | 2036-10-25      | Floating      | 2.13%                 | 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        |   1527367 | PA      | $1195441.12   | 0.00%             | 2050-02-25      | Variable      | 3.54%                 | 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      | $3268150.31   | 0.01%             | 2066-07-25      | Variable      | 3.05%                 | 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      | $4913963.65   | 0.02%             | 2066-09-25      | Variable      | 3.04%                 | 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        |   4477345 | PA      | $3948612.17   | 0.01%             | 2045-12-25      | Floating      | 5.32%                 | 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        |   4733901 | PA      | $4154254.66   | 0.01%             | 2036-09-25      | Variable      | 4.50%                 | 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        |   3972510 | PA      | $2850225.25   | 0.01%             | 2036-07-25      | Fixed         | 6.00%                 | 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        |   6265613 | PA      | $5196630.54   | 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: 94984TAK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    400099 | PA      | $369540.56    | 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: 94985FAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9797554 | PA      | $8971741.46   | 0.03%             | 2037-06-25      | 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        |   9701000 | PA      | $9541521.38   | 0.03%             | 2048-11-15      | Variable      | 4.78%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag | Wells Fargo Commercial Mortgage Trust 2016-C34                                   | CUSIP: 95000DBJ9<br>LEI: 549300FWFHJGIW2B2U59 | Long             | ABS-MBS          | CORP              | US        |   4250000 | PA      | $4124515.78   | 0.01%             | 2049-06-15      | Fixed         | 4.09%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31397SVV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    108614 | PA      | $108058.45    | 0.00%             | 2026-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31397UY60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    150591 | PA      | $149902.34    | 0.00%             | 2026-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31398GRB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    208334 | PA      | $22964.30     | 0.00%             | 2040-01-25      | Floating      | 1.78%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31398MSN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2521959 | PA      | $253626.61    | 0.00%             | 2040-03-25      | Floating      | 0.98%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31402RAB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2829246 | PA      | $2895253.62   | 0.01%             | 2035-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140EU2T5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7027100 | PA      | $6581089.64   | 0.02%             | 2046-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140FXK43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  63476764 | PA      | $57423374.22  | 0.19%             | 2053-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140XFAK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  30189280 | PA      | $27712501.81  | 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        |  14120411 | PA      | $13353161.98  | 0.04%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140XQ7M3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  26151021 | PA      | $27154672.07  | 0.09%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140XTC25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  28750884 | PA      | $23365939.34  | 0.08%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31410LMN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4236092 | PA      | $3899256.44   | 0.01%             | 2043-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31417AGE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1976134 | PA      | $1943887.90   | 0.01%             | 2031-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31417FPE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5873880 | PA      | $5685265.97   | 0.02%             | 2033-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31418B4F0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11678597 | PA      | $10792287.78  | 0.04%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31418CBM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1474668 | PA      | $1303482.76   | 0.00%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31418CWT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6072332 | PA      | $5830624.56   | 0.02%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31418DUR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  69019580 | PA      | $54454417.90  | 0.18%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31418UEL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    240410 | PA      | $246337.45    | 0.00%             | 2040-06-01      | Fixed         | 5.00%                 | 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        |   1860509 | PA      | $669797.46    | 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: 32052WAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1015982 | PA      | $345124.75    | 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        |  10085368 | PA      | $3082731.75   | 0.01%             | 2037-06-25      | Fixed         | 6.00%                 | 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      | $22686375.64  | 0.07%             | 2038-04-14      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae II Pool                                                               | CUSIP: 3622ABEK4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11623748 | PA      | $10078481.48  | 0.03%             | 2051-08-20      | Fixed         | 2.50%                 | 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        |    935695 | PA      | $781648.88    | 0.00%             | 2037-10-25      | Floating      | 16.07%                | 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        |    667187 | PA      | $392210.84    | 0.00%             | 2037-08-25      | Fixed         | 6.00%                 | 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      | $21140492.20  | 0.07%             | 2057-11-15      | Variable      | 5.89%                 | 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        |   8028003 | PA      | $1894925.76   | 0.01%             | 2037-02-25      | Variable      | 6.13%                 | 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        |  20338667 | PA      | $5180553.43   | 0.02%             | 2036-05-25      | Fixed         | 7.00%                 | 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      | $261885.96    | 0.00%             | 2036-11-25      | Floating      | 13.28%                | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Series 2010-17R                                                             | CUSIP: 12645BDA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11973367 | PA      | $11699858.01  | 0.04%             | 2037-06-26      | Variable      | 4.00%                 | 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      | $15274837.99  | 0.05%             | 2036-02-25      | Variable      | 5.35%                 | 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        |  10897888 | PA      | $9427858.77   | 0.03%             | 2047-09-25      | Floating      | 4.57%                 | 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        |   3467233 | PA      | $3201465.00   | 0.01%             | 2036-04-15      | Floating      | 6.15%                 | 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        |   5161922 | PA      | $2380924.53   | 0.01%             | 2036-04-25      | Fixed         | 6.00%                 | 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        |  20543763 | PA      | $15946982.71  | 0.05%             | 2047-04-25      | Variable      | 4.37%                 | 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        |    505800 | PA      | $485431.10    | 0.00%             | 2036-04-15      | Floating      | 6.14%                 | 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        |   1943899 | PA      | $1866150.33   | 0.01%             | 2036-04-15      | Floating      | 6.60%                 | 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        |  17382559 | PA      | $10194679.63  | 0.03%             | 2051-09-08      | Variable      | 1.70%                 | 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      | $1505963.82   | 0.00%             | 2037-02-25      | Fixed         | 6.00%                 | 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      | $19131141.80  | 0.06%             | 2037-07-15      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| Extended Stay America Trust    | Extended Stay America Trust 2021-ESH                                             | CUSIP: 30227FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7290121 | PA      | $7295789.18   | 0.02%             | 2038-07-15      | Floating      | 5.34%                 | 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        |   2246306 | PA      | $935653.47    | 0.00%             | 2037-05-25      | 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        |   8051784 | PA      | $3801967.07   | 0.01%             | 2036-03-25      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                                            | CUSIP: 3128MAB73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9313873 | PA      | $9057131.89   | 0.03%             | 2044-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                                            | CUSIP: 3128MJS35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6664007 | PA      | $6135894.41   | 0.02%             | 2043-07-01      | Fixed         | 3.00%                 | 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        |   2471815 | PA      | $2219388.14   | 0.01%             | 2037-10-25      | Variable      | 6.00%                 | 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      | $6719600.94   | 0.02%             | 2042-11-10      | Variable      | 3.42%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                                            | CUSIP: 3128MJW89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10111506 | PA      | $9178228.51   | 0.03%             | 2045-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136ALPL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  26674123 | PA      | $24445545.01  | 0.08%             | 2044-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Series 2005-1R                                                              | CUSIP: 22546MAQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    720377 | PA      | $491274.13    | 0.00%             | 2035-12-26      | Fixed         | 5.75%                 | 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      | $3023572.91   | 0.01%             | 2036-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136AN7C5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  15588849 | PA      | $14994075.09  | 0.05%             | 2044-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136B1M27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  34416467 | PA      | $26498050.39  | 0.09%             | 2048-05-25      | Fixed         | 0.00%                 | 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        |   8195857 | PA      | $6408820.94   | 0.02%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                                            | CUSIP: 3132FCJJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        | 105217531 | PA      | $98165120.43  | 0.32%             | 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        |   1087437 | PA      | $1001499.72   | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                                            | CUSIP: 3132LVVC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        | 123587637 | PA      | $120268324.41 | 0.40%             | 2045-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BGV73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  17342304 | PA      | $14415847.14  | 0.05%             | 2049-06-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BH5A3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  32926533 | PA      | $5218895.03   | 0.02%             | 2051-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                                            | CUSIP: 3132LVVE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  38525608 | PA      | $36358052.03  | 0.12%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                                            | CUSIP: 3132M4EZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2049590 | PA      | $1987364.48   | 0.01%             | 2044-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                                            | CUSIP: 3132M5FU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2065812 | PA      | $2005436.62   | 0.01%             | 2044-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137HLLH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  40089804 | PA      | $40535466.58  | 0.13%             | 2055-06-25      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31395K3S0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1355025 | PA      | $1389443.01   | 0.00%             | 2034-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31397NCG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     84076 | PA      | $83922.72     | 0.00%             | 2029-03-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31397S3P7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2179454 | PA      | $2169560.98   | 0.01%             | 2041-05-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31398FC82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    363766 | PA      | $24076.25     | 0.00%             | 2037-04-25      | Floating      | 1.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BHMM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5638961 | PA      | $4471780.17   | 0.01%             | 2051-05-25      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BKTP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  20078867 | PA      | $17950083.26  | 0.06%             | 2049-03-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31398FKF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3391950 | PA      | $341244.07    | 0.00%             | 2036-01-25      | Floating      | 2.76%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31398MUP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    471029 | PA      | $22965.06     | 0.00%             | 2040-03-25      | Floating      | 0.48%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BLEL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  59800908 | PA      | $36065455.33  | 0.12%             | 2052-02-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BRGX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  54674707 | PA      | $9237100.37   | 0.03%             | 2051-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31398PTX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    486895 | PA      | $26619.38     | 0.00%             | 2040-05-25      | Floating      | 0.48%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31398SJL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    931352 | PA      | $902095.03    | 0.00%             | 2040-11-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BTGY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  62543765 | PA      | $62869017.73  | 0.21%             | 2054-11-25      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BTLF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  47529259 | PA      | $47577872.04  | 0.16%             | 2054-07-25      | Floating      | 5.51%                 | 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        |   1170256 | PA      | $438563.19    | 0.00%             | 2036-05-25      | 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        |    578845 | PA      | $196631.02    | 0.00%             | 2037-08-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BV4H8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  62374265 | PA      | $62811595.73  | 0.21%             | 2055-05-25      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31377U3F8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13714406 | PA      | $13371691.42  | 0.04%             | 2030-08-01      | Fixed         | 3.71%                 | 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        |  17175975 | PA      | $17195672.41  | 0.06%             | 2045-01-25      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae II Pool                                                               | CUSIP: 36179WBY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9044660 | PA      | $7798977.55   | 0.03%             | 2051-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3138A54X7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1535815 | PA      | $1469089.98   | 0.00%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3138A9DP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    352240 | PA      | $350378.97    | 0.00%             | 2031-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae II Pool                                                               | CUSIP: 3617XBD95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  24198607 | PA      | $20558700.03  | 0.07%             | 2052-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae II Pool                                                               | CUSIP: 3622ABC83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  23993370 | PA      | $20690402.64  | 0.07%             | 2051-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3138AVH81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1004220 | PA      | $958084.59    | 0.00%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3138E8PZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1100282 | PA      | $1049729.77   | 0.00%             | 2042-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38373AJ23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    411383 | PA      | $13049.23     | 0.00%             | 2039-04-16      | Floating      | 1.94%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382L2G5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  33580117 | PA      | $5281480.74   | 0.02%             | 2050-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3138ELJ53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  20519686 | PA      | $18875293.81  | 0.06%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3138ETGN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  18039754 | PA      | $16969387.06  | 0.06%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382LQ20<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  56652024 | PA      | $8179039.70   | 0.03%             | 2050-12-20      | 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        |  22649877 | PA      | $3274657.99   | 0.01%             | 2051-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3138W75S9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4942129 | PA      | $4548103.20   | 0.01%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3138WBD93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4730814 | PA      | $4701978.00   | 0.02%             | 2044-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382QBS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  62868760 | PA      | $10721267.32  | 0.04%             | 2051-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382RCM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6990216 | PA      | $6277349.62   | 0.02%             | 2050-08-20      | 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        |  54835420 | PA      | $9424421.07   | 0.03%             | 2051-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Homeward Opportunities Fund I  | Homeward Opportunities Fund I Trust 2020-2                                       | CUSIP: 43789XAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  28994000 | PA      | $30304807.14  | 0.10%             | 2065-05-25      | Variable      | 6.43%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31394L5S7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    102939 | PA      | $100427.64    | 0.00%             | 2033-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31396WSP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1482983 | PA      | $1558074.99   | 0.01%             | 2037-07-25      | Fixed         | 6.00%                 | 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        |   2268550 | PA      | $825075.15    | 0.00%             | 2037-08-25      | Fixed         | 6.00%                 | 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        |   6921640 | PA      | $2884138.16   | 0.01%             | 2037-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31396X2R4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2606054 | PA      | $2650198.97   | 0.01%             | 2035-10-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31398TVD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    776780 | PA      | $774268.39    | 0.00%             | 2040-08-25      | Fixed         | 4.50%                 | 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        |   2302105 | PA      | $2014550.89   | 0.01%             | 2037-03-25      | Variable      | 3.05%                 | 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        |    250595 | PA      | $173663.39    | 0.00%             | 2037-07-25      | Fixed         | 6.00%                 | 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        |   2583806 | PA      | $1692944.24   | 0.01%             | 2047-07-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust      | Morgan Stanley Bank of America Merrill Lynch Trust 2015-C27                      | CUSIP: 61690AAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10286000 | PA      | $9962646.22   | 0.03%             | 2047-12-15      | Variable      | 4.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31410GTZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    368949 | PA      | $377557.03    | 0.00%             | 2035-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31417CR98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5437958 | PA      | $5285789.65   | 0.02%             | 2032-08-01      | Fixed         | 3.00%                 | 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      | $3624013.24   | 0.01%             | 2052-11-15      | Fixed         | 3.49%                 | 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        |  13160131 | PA      | $12782960.74  | 0.04%             | 2036-02-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31417DQD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4342945 | PA      | $4210931.61   | 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        |  25819582 | PA      | $23763598.38  | 0.08%             | 2042-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31418AJZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7073897 | PA      | $6580864.21   | 0.02%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31418CEF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11010421 | PA      | $9957069.99   | 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        |   1296742 | PA      | $1290427.41   | 0.00%             | 2031-09-01      | Fixed         | 4.00%                 | 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      | $12094774.25  | 0.04%             | 2031-07-15      | Floating      | 5.35%                 | 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        |   2792608 | PA      | $2919689.58   | 0.01%             | 2035-01-25      | Fixed         | 6.50%                 | 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        |    316232 | PA      | $233742.84    | 0.00%             | 2035-09-25      | 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        | 104993411 | PA      | $93874.61     | 0.00%             | 2049-01-15      | Variable      | 1.28%                 | 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        |  36384841 | PA      | $548152.19    | 0.00%             | 2050-05-15      | Variable      | 1.39%                 | 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        |   2349526 | PA      | $844929.30    | 0.00%             | 2037-01-25      | Fixed         | 6.00%                 | 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      | $4276942.26   | 0.01%             | 2036-12-25      | Floating      | 4.73%                 | 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      | $21774136.42  | 0.07%             | 2053-02-15      | Fixed         | 3.08%                 | 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        |   2234656 | PA      | $1852559.52   | 0.01%             | 2036-11-25      | Fixed         | 6.25%                 | 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        |   1715896 | PA      | $669281.20    | 0.00%             | 2037-08-25      | Fixed         | 5.50%                 | 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        |   5112559 | PA      | $2194222.02   | 0.01%             | 2037-01-26      | Variable      | 7.00%                 | 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        |   1443687 | PA      | $1154373.38   | 0.00%             | 2036-09-25      | Fixed         | 5.75%                 | 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        |    146486 | PA      | $145068.16    | 0.00%             | 2035-08-25      | Floating      | 4.15%                 | 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        |   1204817 | PA      | $962092.70    | 0.00%             | 2035-09-25      | Floating      | 4.97%                 | 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        |    580169 | PA      | $504626.97    | 0.00%             | 2035-12-25      | Fixed         | 6.00%                 | 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      | $8704226.85   | 0.03%             | 2055-09-15      | Fixed         | 5.52%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2006-1                                                     | CUSIP: 52520MFK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1219875 | PA      | $872471.50    | 0.00%             | 2036-02-25      | Fixed         | 5.50%                 | 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        |   1195123 | PA      | $1004637.98   | 0.00%             | 2035-12-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| SoFi Alternative Trust Consume | Sofi Alternative Consumer Loan Program 2021-2                                    | CUSIP: 78472QAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2105857 | PA      | $2094392.43   | 0.01%             | 2030-08-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2006-5                                                     | CUSIP: 52520TAT5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11382655 | PA      | $1030371.63   | 0.00%             | 2036-09-25      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2007-5                                                     | CUSIP: 52521RBU4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    590881 | PA      | $172372.33    | 0.00%             | 2036-10-25      | Fixed         | 7.50%                 | 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      | $5081556.00   | 0.02%             | 2034-06-25      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| SREIT Trust                    | SREIT Trust 2021-MFP2                                                            | CUSIP: 85236WCE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  16175000 | PA      | $16169262.73  | 0.05%             | 2036-11-15      | Floating      | 5.09%                 | 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        |   7162851 | PA      | $6697456.80   | 0.02%             | 2046-06-25      | Floating      | 4.67%                 | 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        |  22661929 | PA      | $15731798.07  | 0.05%             | 2036-07-25      | Floating      | 4.56%                 | 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      | $5179410.32   | 0.02%             | 2065-05-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust      | MSBAM Commercial Mortgage Securities Trust 2012-CKSV                             | CUSIP: 553514AQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9861910 | PA      | $6344166.88   | 0.02%             | 2030-10-15      | Variable      | 4.30%                 | 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        | 144980275 | PA      | $3077061.35   | 0.01%             | 2052-11-15      | Variable      | 0.71%                 | 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      | $1896547.84   | 0.01%             | 2053-07-15      | Fixed         | 2.70%                 | 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        |  12264041 | PA      | $6491196.12   | 0.02%             | 2036-06-25      | Variable      | 5.10%                 | 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      | $5385232.07   | 0.02%             | 2049-11-15      | Variable      | 4.39%                 | 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        | 283396696 | PA      | $11094697.25  | 0.04%             | 2053-02-15      | Variable      | 1.19%                 | 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        |   2288990 | PA      | $1690583.78   | 0.01%             | 2037-02-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| Pioneer Aircraft Finance Limit | Pioneer Aircraft Finance Ltd                                                     | CUSIP: 72353PAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | IE        |  21420207 | PA      | $21218835.95  | 0.07%             | 2044-06-15      | Fixed         | 3.97%                 | 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      | $16405225.65  | 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      | $24437585.00  | 0.08%             | 2038-10-17      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC              | PRPM 2024-7 LLC                                                                  | CUSIP: 74448LAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  26074720 | PA      | $26102674.57  | 0.09%             | 2029-11-25      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| Project Silver                 | Project Silver                                                                   | CUSIP: 827304AA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | CN        |  22436113 | PA      | $21971910.25  | 0.07%             | 2044-07-15      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31398TXD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    143530 | PA      | $11066.93     | 0.00%             | 2040-08-25      | Floating      | 1.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140NUDV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  27755000 | PA      | $29253154.12  | 0.10%             | 2033-12-01      | Fixed         | 5.27%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae II Pool                                                               | CUSIP: 3622ACDP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  20611475 | PA      | $18126917.29  | 0.06%             | 2052-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381D7S3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        | 150036323 | PA      | $9519279.54   | 0.03%             | 2061-06-16      | Variable      | 0.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381DW22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  14411284 | PA      | $1064954.94   | 0.00%             | 2063-05-16      | Variable      | 0.99%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381E4P0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        | 267031536 | PA      | $11305661.28  | 0.04%             | 2064-06-16      | Variable      | 0.58%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381EDN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        | 176657431 | PA      | $12614859.80  | 0.04%             | 2062-05-16      | Variable      | 0.98%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381LGQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  81897572 | PA      | $5314734.75   | 0.02%             | 2065-08-16      | Variable      | 0.85%                 | No            |                  2 | On Loan: No      |
| Brant Point CLO Ltd            | Brant Point Clo 2024-3 Ltd                                                       | CUSIP: 835937AA1<br>LEI: 254900ONWQ51D1IGDN52 | Long             | ABS-CBDO         | CORP              | US        |  10000000 | PA      | $10034951.00  | 0.03%             | 2037-02-20      | Floating      | 5.80%                 | 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        |   4323614 | PA      | $3316055.62   | 0.01%             | 2032-10-25      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                 | Fannie Mae-Aces                                                                  | CUSIP: 3136B9NV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  72925624 | PA      | $2503376.24   | 0.01%             | 2030-09-25      | Variable      | 1.33%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31397SZH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1207050 | PA      | $1193472.02   | 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        |   3748374 | PA      | $3708775.75   | 0.01%             | 2041-05-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31397UG52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4599411 | PA      | $4518779.75   | 0.01%             | 2041-07-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31398GY86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    536716 | PA      | $535021.43    | 0.00%             | 2040-02-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31398NC93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5071904 | PA      | $198599.53    | 0.00%             | 2040-10-25      | Floating      | 0.03%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31398PKX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    127501 | PA      | $4557.42      | 0.00%             | 2040-04-25      | Floating      | 1.98%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38379GZ34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7946774 | PA      | $816956.99    | 0.00%             | 2044-11-20      | Floating      | 1.35%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38380RJ84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  27759104 | PA      | $1434093.59   | 0.00%             | 2063-04-16      | Variable      | 0.72%                 | 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      | $2405677.99   | 0.01%             | 2036-02-25      | Fixed         | 5.00%                 | 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      | $2288467.59   | 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        |   4382572 | PA      | $1848191.65   | 0.01%             | 2035-10-25      | 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        |   2586082 | PA      | $1452453.44   | 0.00%             | 2035-07-25      | Fixed         | 6.00%                 | 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        |   7407592 | PA      | $3658514.08   | 0.01%             | 2037-06-25      | Fixed         | 6.00%                 | 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        |   3977102 | PA      | $1990160.10   | 0.01%             | 2037-05-25      | Fixed         | 6.00%                 | 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      | $1721912.29   | 0.01%             | 2050-12-15      | Variable      | 4.30%                 | 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      | $273196.51    | 0.00%             | 2052-03-15      | Variable      | 2.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140NUQE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  14016000 | PA      | $13996823.59  | 0.05%             | 2054-02-01      | Fixed         | 5.36%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140QFQZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10442483 | PA      | $9464721.76   | 0.03%             | 2040-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140X8WL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  29703913 | PA      | $24320413.21  | 0.08%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140XCDV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  55087723 | PA      | $47348689.13  | 0.16%             | 2051-03-01      | Fixed         | 2.50%                 | 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      | $648153.85    | 0.00%             | 2052-05-15      | Variable      | 1.61%                 | 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      | $651392.40    | 0.00%             | 2053-03-15      | Variable      | 1.50%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust       | Benchmark 2020-B17 Mortgage Trust                                                | CUSIP: 08162MAZ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  65937523 | PA      | $2760659.02   | 0.01%             | 2053-03-15      | Variable      | 1.49%                 | 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      | $719854.85    | 0.00%             | 2062-12-15      | Variable      | 1.40%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust       | Benchmark 2021-B30 Mortgage Trust                                                | CUSIP: 08163KBH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 361130164 | PA      | $13901886.21  | 0.05%             | 2054-11-15      | Variable      | 0.91%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust       | Benchmark 2024-V12 Mortgage Trust                                                | CUSIP: 081915AC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  76878020 | PA      | $2436718.05   | 0.01%             | 2057-12-15      | Variable      | 1.07%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust       | Benchmark 2024-V11 Mortgage Trust                                                | CUSIP: 081921BA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 168345000 | PA      | $3584216.56   | 0.01%             | 2057-11-15      | Variable      | 0.77%                 | No            |                  2 | On Loan: No      |
| BMO Mortgage Trust             | BMO 2024-5C7 Mortgage Trust                                                      | CUSIP: 09660WAV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 111911076 | PA      | $3804170.84   | 0.01%             | 2057-11-15      | Variable      | 1.14%                 | No            |                  2 | On Loan: No      |
| BX Trust                       | BX Trust 2021-RISE                                                               | CUSIP: 12434EAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2746474 | PA      | $2744140.01   | 0.01%             | 2036-11-15      | Floating      | 5.51%                 | 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        |   4100465 | PA      | $1951567.38   | 0.01%             | 2037-06-25      | Fixed         | 6.00%                 | 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        |   1056604 | PA      | $490371.60    | 0.00%             | 2037-05-25      | Fixed         | 5.75%                 | 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        |   1780674 | PA      | $1611751.50   | 0.01%             | 2037-01-25      | Fixed         | 6.00%                 | 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        |   1743433 | PA      | $1544860.90   | 0.01%             | 2037-03-25      | Floating      | 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        |   1572294 | PA      | $1382715.38   | 0.00%             | 2037-03-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| CLI Funding LLC                | CLI Funding IX LLC                                                               | CUSIP: 12571WAG8<br>LEI: 2549008S2Z91ASJFZL83 | Long             | ABS-O            | CORP              | US        |   9063625 | PA      | $9212244.90   | 0.03%             | 2050-06-20      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust            | COMM 2013-CCRE12 Mortgage Trust                                                  | CUSIP: 12591KAF2<br>LEI: 549300MGZ5FI5VFL1177 | Long             | ABS-MBS          | CORP              | US        |  13118101 | PA      | $242.68       | 0.00%             | 2046-10-10      | Variable      | 0.66%                 | 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        |    472500 | PA      | $450549.22    | 0.00%             | 2034-11-25      | Floating      | 4.81%                 | 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      | $18086765.40  | 0.06%             | 2037-01-20      | Floating      | 6.98%                 | No            |                  2 | On Loan: No      |
| Capital Four US CLO            | Capital Four US CLO I Ltd                                                        | CUSIP: 14016TAA7<br>LEI: 549300NMXY8VXHO96C52 | Long             | ABS-CBDO         | CORP              | US        |  16500000 | PA      | $16536927.00  | 0.05%             | 2035-01-18      | Floating      | 5.80%                 | 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      | $28243829.95  | 0.09%             | 2037-07-20      | Floating      | 5.82%                 | 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        |   5348427 | PA      | $4114699.12   | 0.01%             | 2036-10-25      | Floating      | 4.52%                 | 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      | $6028080.00   | 0.02%             | 2037-04-20      | Floating      | 6.43%                 | 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        |    390670 | PA      | $124476.67    | 0.00%             | 2037-07-25      | Floating      | 4.77%                 | 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        |   1044423 | PA      | $1017576.74   | 0.00%             | 2040-05-25      | Fixed         | 3.32%                 | 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        |   7422504 | PA      | $6321347.97   | 0.02%             | 2037-03-25      | Variable      | 4.08%                 | 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      | $7821624.69   | 0.03%             | 2050-02-20      | Fixed         | 5.91%                 | 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      | $4858596.37   | 0.02%             | 2049-05-10      | Variable      | 4.20%                 | 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        |   1341520 | PA      | $77127.05     | 0.00%             | 2035-11-25      | Floating      | 1.03%                 | 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        |  10460121 | PA      | $10661718.55  | 0.04%             | 2044-05-30      | Fixed         | 7.08%                 | No            |                  2 | On Loan: No      |
| ECAF LTD                       | ECAF I Ltd                                                                       | CUSIP: 26827EAC9<br>LEI: 635400SSRNQERTYCWK57 | Long             | ABS-O            | CORP              | US        |  13038995 | PA      | $11731236.34  | 0.04%             | 2040-06-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                                            | CUSIP: 3128ME6H9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6670513 | PA      | $6512102.50   | 0.02%             | 2032-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                                            | CUSIP: 3128MJVG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11989772 | PA      | $10981128.83  | 0.04%             | 2044-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                                            | CUSIP: 3128MJVQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  18604063 | PA      | $16957262.98  | 0.06%             | 2045-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                                            | CUSIP: 3128MJXJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  49198151 | PA      | $44636839.97  | 0.15%             | 2045-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                                            | CUSIP: 3128P7TC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9641814 | PA      | $9486220.75   | 0.03%             | 2032-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                                            | CUSIP: 3128S15N9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5740479 | PA      | $5346918.18   | 0.02%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                 | CUSIP: 3132A5H32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5626215 | PA      | $5072119.41   | 0.02%             | 2048-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                 | CUSIP: 3132AEA48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12460892 | PA      | $11269240.12  | 0.04%             | 2047-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                 | CUSIP: 3132DSKF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  25310969 | PA      | $26923486.57  | 0.09%             | 2054-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                 | CUSIP: 3132DSQS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  45077934 | PA      | $46138516.44  | 0.15%             | 2054-02-01      | Fixed         | 5.50%                 | 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        |   2967984 | PA      | $1516737.49   | 0.00%             | 2037-03-25      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                 | CUSIP: 3132DSWA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  14274846 | PA      | $14708744.41  | 0.05%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                 | CUSIP: 3132DTGL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  29865091 | PA      | $30567787.49  | 0.10%             | 2054-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                 | CUSIP: 3132DTTZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  21354305 | PA      | $22111936.33  | 0.07%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                                            | CUSIP: 3132WHQ32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  20045206 | PA      | $18149522.14  | 0.06%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136B2N40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7930205 | PA      | $7178978.38   | 0.02%             | 2048-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                 | Fannie Mae-Aces                                                                  | CUSIP: 3136B56P5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        | 456012965 | PA      | $8993214.09   | 0.03%             | 2029-08-25      | Variable      | 0.83%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                 | Fannie Mae-Aces                                                                  | CUSIP: 3136B7FZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        | 192561410 | PA      | $8646700.52   | 0.03%             | 2031-03-25      | Variable      | 1.28%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                 | Fannie Mae-Aces                                                                  | CUSIP: 3136B9DV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        | 343975171 | PA      | $18766115.83  | 0.06%             | 2030-12-25      | Variable      | 1.84%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BU2R0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  45417428 | PA      | $45647567.19  | 0.15%             | 2055-03-25      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137A5VL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2984617 | PA      | $2367264.04   | 0.01%             | 2041-01-15      | Floating      | 0.53%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137A6XX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10340851 | PA      | $10672622.22  | 0.04%             | 2034-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137AFQJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2729577 | PA      | $2746648.80   | 0.01%             | 2041-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137BCZY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1083039 | PA      | $1032727.58   | 0.00%             | 2044-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137BL5L8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4046536 | PA      | $3272163.29   | 0.01%             | 2045-08-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137BMPU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  24512115 | PA      | $23661297.28  | 0.08%             | 2044-04-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137F4ZU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  24117859 | PA      | $21788479.32  | 0.07%             | 2048-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137F52B4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3882613 | PA      | $2980647.64   | 0.01%             | 2048-05-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FDKT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  21534000 | PA      | $19240107.88  | 0.06%             | 2048-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137H1NF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  60457647 | PA      | $12921219.88  | 0.04%             | 2051-08-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137H2HG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  29138619 | PA      | $5504442.45   | 0.02%             | 2051-09-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137H2WR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  37089365 | PA      | $5114486.14   | 0.02%             | 2051-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137H3XN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  19638847 | PA      | $14274947.93  | 0.05%             | 2050-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137H4TQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  22768211 | PA      | $3719984.23   | 0.01%             | 2052-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137H5AN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  13602072 | PA      | $12144647.14  | 0.04%             | 2049-10-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137HHCN9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  43644241 | PA      | $43751056.32  | 0.14%             | 2054-11-25      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3138AVSV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1204585 | PA      | $1149253.76   | 0.00%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3138ELYJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3298190 | PA      | $3205795.74   | 0.01%             | 2043-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3138WBYP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3137965 | PA      | $3116252.48   | 0.01%             | 2044-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3138WCRX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6825959 | PA      | $6542560.00   | 0.02%             | 2034-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3138WDMK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  23757786 | PA      | $21698454.69  | 0.07%             | 2044-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3138WDTL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9764722 | PA      | $8897178.75   | 0.03%             | 2044-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31396WMD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    667539 | PA      | $709235.40    | 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        |   1065229 | PA      | $1065126.40   | 0.00%             | 2038-04-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31397LWC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2126369 | PA      | $2169427.13   | 0.01%             | 2034-06-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31397NV51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    491561 | PA      | $43781.37     | 0.00%             | 2039-06-25      | Floating      | 1.53%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31397SPS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     92453 | PA      | $92013.28     | 0.00%             | 2026-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31398FJM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1070275 | PA      | $1067175.93   | 0.00%             | 2039-10-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31398P6F1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2767138 | PA      | $2761225.22   | 0.01%             | 2040-05-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31398RXA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    269423 | PA      | $267312.88    | 0.00%             | 2040-06-25      | Floating      | 0.98%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31398S5D1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       342 | PA      | $0.52         | 0.00%             | 2026-01-25      | Floating      | 2.18%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31398TQ79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2468123 | PA      | $2457912.80   | 0.01%             | 2040-09-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31398TQ95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4356682 | PA      | $174683.34    | 0.00%             | 2040-09-25      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140NXMK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  16000000 | PA      | $16448273.44  | 0.05%             | 2030-02-01      | Fixed         | 5.26%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140QQYT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  58764625 | PA      | $58694677.71  | 0.19%             | 2052-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140QUBG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  38121510 | PA      | $38907519.49  | 0.13%             | 2054-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140QVEL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  49397004 | PA      | $50505907.62  | 0.17%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140QVEV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  96703034 | PA      | $98978479.24  | 0.33%             | 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        |  21667288 | PA      | $22043218.49  | 0.07%             | 2054-12-01      | Fixed         | 5.50%                 | 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        |   3360492 | PA      | $411576.61    | 0.00%             | 2037-04-25      | Floating      | 1.38%                 | No            |                  2 | On Loan: No      |
| CoreVest American Finance Ltd  | CAFL 2021-RTL1 Issuer LLC                                                        | CUSIP: 12468RAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2122319 | PA      | $2122318.71   | 0.01%             | 2029-03-28      | Variable      | 5.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140XATW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4261852 | PA      | $3542826.14   | 0.01%             | 2041-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31418AHQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7230807 | PA      | $7129317.83   | 0.02%             | 2032-08-01      | Fixed         | 3.50%                 | 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        |   2868273 | PA      | $2343366.08   | 0.01%             | 2037-04-25      | Floating      | 4.60%                 | 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        |   3037682 | PA      | $2696267.07   | 0.01%             | 2037-04-25      | Fixed         | 5.75%                 | 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        |   2716226 | PA      | $2081027.14   | 0.01%             | 2047-04-25      | Floating      | 4.54%                 | 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        |    395862 | PA      | $366999.57    | 0.00%             | 2037-05-25      | Fixed         | 6.00%                 | 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        |   1966966 | PA      | $84146.40     | 0.00%             | 2036-01-25      | Floating      | 0.43%                 | 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      | $162818.58    | 0.00%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ChaseFlex Trust                | ChaseFlex Trust Series 2007-1                                                    | CUSIP: 16165VAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3141683 | PA      | $1041643.50   | 0.00%             | 2037-02-25      | Fixed         | 6.50%                 | 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        |   8388120 | PA      | $3013463.12   | 0.01%             | 2036-05-25      | Variable      | 6.66%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage  | Citigroup Commercial Mortgage Trust 2015-GC27                                    | CUSIP: 17323CAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2183382 | PA      | $2111394.07   | 0.01%             | 2048-02-10      | Variable      | 4.54%                 | 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        |  36314449 | PA      | $397708.58    | 0.00%             | 2050-04-14      | Variable      | 1.23%                 | 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        | 141408587 | PA      | $118562049.87 | 0.39%             | 2064-04-25      | Variable      | 3.56%                 | 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      | $2373952.14   | 0.01%             | 2055-06-15      | Variable      | 2.54%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136A4GN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7490763 | PA      | $7139337.60   | 0.02%             | 2042-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136A4UV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3056365 | PA      | $2973746.79   | 0.01%             | 2042-03-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136A7EN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6209611 | PA      | $6146371.94   | 0.02%             | 2042-07-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136AQJ43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2162689 | PA      | $1945998.77   | 0.01%             | 2046-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136AXPA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11009943 | PA      | $9716592.88   | 0.03%             | 2057-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                 | Fannie Mae-Aces                                                                  | CUSIP: 3136B9MX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        | 443664189 | PA      | $26783119.77  | 0.09%             | 2031-09-25      | Variable      | 1.56%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                 | Fannie Mae-Aces                                                                  | CUSIP: 3136BHNT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11067582 | PA      | $10204985.51  | 0.03%             | 2033-05-25      | Variable      | 2.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BJH65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  19044212 | PA      | $17003070.69  | 0.06%             | 2049-05-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                 | Fannie Mae-Aces                                                                  | CUSIP: 3136BK6Z0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        | 696686667 | PA      | $12862368.58  | 0.04%             | 2032-01-25      | Variable      | 0.47%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BLGM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        | 120108578 | PA      | $107675670.61 | 0.35%             | 2047-11-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BPPT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13859737 | PA      | $2023449.47   | 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        |  82894344 | PA      | $14103975.27  | 0.05%             | 2052-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BQPY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  64872178 | PA      | $12695070.03  | 0.04%             | 2053-04-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                | Fannie Mae Interest Strip                                                        | CUSIP: 31422M2P0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  35902358 | PA      | $5514684.38   | 0.02%             | 2050-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                | Fannie Mae Interest Strip                                                        | CUSIP: 31423X2A8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        | 101672217 | PA      | $15642927.31  | 0.05%             | 2052-12-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BVZE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  46594100 | PA      | $47308144.76  | 0.16%             | 2054-06-25      | Floating      | 6.01%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3138A1U90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2071321 | PA      | $2020809.65   | 0.01%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3138LJCS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4051716 | PA      | $3801306.69   | 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      | $176327291.33 | 0.58%             | 2047-11-01      | Fixed         | 3.37%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3138WDVE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5259722 | PA      | $5014837.56   | 0.02%             | 2035-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31393DJL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    323238 | PA      | $332447.75    | 0.00%             | 2033-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31393YR31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     88274 | PA      | $358.81       | 0.00%             | 2034-03-25      | Floating      | 1.53%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31394FU78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1360380 | PA      | $117459.71    | 0.00%             | 2035-10-25      | Floating      | 2.23%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31396AL36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    730198 | PA      | $60056.34     | 0.00%             | 2035-09-15      | Floating      | 1.61%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31396HX53<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    285103 | PA      | $285469.57    | 0.00%             | 2036-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31396QYL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    197142 | PA      | $19234.42     | 0.00%             | 2039-09-25      | Floating      | 1.33%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31396TQY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    976024 | PA      | $996693.32    | 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        |    108371 | PA      | $8464.70      | 0.00%             | 2037-04-25      | Floating      | 1.64%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31396WKM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    821834 | PA      | $89275.12     | 0.00%             | 2036-10-25      | Floating      | 2.15%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31397AQY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1074930 | PA      | $104991.21    | 0.00%             | 2036-08-15      | Floating      | 2.01%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31397UJU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7426830 | PA      | $7365253.76   | 0.02%             | 2041-06-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31398CYE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     60139 | PA      | $58987.70     | 0.00%             | 2039-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31398GW62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1529207 | PA      | $164844.49    | 0.00%             | 2040-02-25      | Floating      | 1.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31398MUE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    964385 | PA      | $981708.10    | 0.00%             | 2040-03-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31398N4N1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    517459 | PA      | $514657.61    | 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        |    627974 | PA      | $607135.69    | 0.00%             | 2040-10-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140F5AD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13179176 | PA      | $11918370.00  | 0.04%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140HRMF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9000000 | PA      | $8161184.16   | 0.03%             | 2038-10-01      | Fixed         | 3.89%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140LDNT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  34043000 | PA      | $28646477.77  | 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      | $15498923.53  | 0.05%             | 2036-09-01      | Fixed         | 2.03%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140LDY52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12048000 | PA      | $10038663.48  | 0.03%             | 2033-11-01      | Fixed         | 1.83%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140LESP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  46000000 | PA      | $41264750.80  | 0.14%             | 2031-12-01      | Fixed         | 2.32%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140LEUB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  20366154 | PA      | $17992634.08  | 0.06%             | 2031-12-01      | Fixed         | 1.94%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140LEY84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12000000 | PA      | $9971833.32   | 0.03%             | 2034-01-01      | Fixed         | 2.01%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140LEYC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  51025000 | PA      | $44122941.12  | 0.15%             | 2032-01-01      | Fixed         | 1.92%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140QUUS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  49255309 | PA      | $50414275.52  | 0.17%             | 2054-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31417FK80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3541128 | PA      | $3428892.95   | 0.01%             | 2033-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31417GAW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6683654 | PA      | $6307146.35   | 0.02%             | 2038-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31417GN36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2611073 | PA      | $2525050.40   | 0.01%             | 2033-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31418CGD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13965004 | PA      | $12628881.46  | 0.04%             | 2047-02-01      | Fixed         | 3.00%                 | 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        |   3720474 | PA      | $838285.37    | 0.00%             | 2036-11-25      | Variable      | 6.18%                 | 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        |   1793923 | PA      | $767254.89    | 0.00%             | 2036-02-25      | Fixed         | 6.00%                 | 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        |   3468605 | PA      | $61727.30     | 0.00%             | 2035-09-25      | Variable      | 0.00%                 | 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        |    634605 | PA      | $613679.11    | 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        |  13823093 | PA      | $11881260.91  | 0.04%             | 2036-08-25      | Floating      | 4.57%                 | 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        |  51614723 | PA      | $1472340.95   | 0.00%             | 2052-02-10      | Variable      | 1.17%                 | 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      | $806630.40    | 0.00%             | 2052-11-10      | Variable      | 1.13%                 | 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        |  80022518 | PA      | $73670850.50  | 0.24%             | 2060-05-25      | Variable      | 1.75%                 | 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      | $10251713.34  | 0.03%             | 2060-05-25      | Variable      | 2.25%                 | 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        |  31705733 | PA      | $27948191.38  | 0.09%             | 2060-05-25      | Floating      | 5.97%                 | 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        |   4015909 | PA      | $2216396.76   | 0.01%             | 2036-07-25      | Fixed         | 6.00%                 | 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      | $7045970.33   | 0.02%             | 2036-11-25      | Floating      | 4.51%                 | 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        |   6485479 | PA      | $4958517.38   | 0.02%             | 2036-12-25      | Variable      | 4.03%                 | 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        |  15503252 | PA      | $6086854.40   | 0.02%             | 2037-11-25      | Fixed         | 6.25%                 | 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        |   1605512 | PA      | $1410975.51   | 0.00%             | 2037-07-25      | Variable      | 3.67%                 | 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        |  12758969 | PA      | $3653575.42   | 0.01%             | 2038-02-25      | Fixed         | 6.25%                 | 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        |  81712592 | PA      | $3131283.73   | 0.01%             | 2052-06-13      | Variable      | 1.59%                 | 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        |  12471548 | PA      | $3246390.12   | 0.01%             | 2037-01-25      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| MF1 Multifamily Housing Mortga | MF1 Multifamily Housing Mortgage Loan Trust                                      | CUSIP: 55282XAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5227676 | PA      | $5244901.52   | 0.02%             | 2036-07-15      | Floating      | 5.46%                 | 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        |   1284848 | PA      | $740047.24    | 0.00%             | 2036-05-25      | Fixed         | 5.75%                 | 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        |  12734469 | PA      | $1641264.25   | 0.01%             | 2037-03-25      | Floating      | 2.41%                 | 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        |   9601770 | PA      | $3393710.94   | 0.01%             | 2037-04-25      | Floating      | 4.69%                 | 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        |  13308166 | PA      | $4707130.30   | 0.02%             | 2037-04-25      | Floating      | 4.91%                 | 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        |   1550820 | PA      | $1485198.06   | 0.00%             | 2035-12-25      | Variable      | 5.23%                 | 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        |    956301 | PA      | $901069.86    | 0.00%             | 2036-02-25      | Fixed         | 5.75%                 | 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        |  15894782 | PA      | $6856864.46   | 0.02%             | 2036-09-25      | Floating      | 4.59%                 | 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        |   4870373 | PA      | $1715707.85   | 0.01%             | 2047-01-25      | Variable      | 6.36%                 | 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        |   2840191 | PA      | $1461677.66   | 0.00%             | 2037-10-25      | Fixed         | 6.00%                 | 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        |   9234350 | PA      | $1804271.05   | 0.01%             | 2036-07-25      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| Octagon 75 Ltd                 | Octagon 75 Ltd                                                                   | CUSIP: 67579EAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  10000000 | PA      | $10014846.00  | 0.03%             | 2038-01-22      | Floating      | 5.53%                 | 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        |    764452 | PA      | $665785.21    | 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 2006-AR4 Trust | CUSIP: 939345AB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4653171 | PA      | $3509049.07   | 0.01%             | 2046-06-25      | Floating      | 5.10%                 | 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        |   2839175 | PA      | $2768570.50   | 0.01%             | 2035-08-25      | Floating      | 5.72%                 | 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        |   1392835 | PA      | $1009137.62   | 0.00%             | 2037-06-25      | Floating      | 4.62%                 | 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        |    208730 | PA      | $187133.03    | 0.00%             | 2037-06-25      | Floating      | 4.77%                 | 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        |  69337379 | PA      | $3163663.53   | 0.01%             | 2058-05-15      | Variable      | 1.35%                 | 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        | 131582918 | PA      | $1636628.33   | 0.01%             | 2051-03-15      | Variable      | 0.72%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                | Fannie Mae Interest Strip                                                        | CUSIP: 31423YJR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  28743035 | PA      | $4306065.40   | 0.01%             | 2050-04-25      | Fixed         | 3.00%                 | 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        |   2502247 | PA      | $1081427.84   | 0.00%             | 2035-05-25      | Variable      | 5.00%                 | 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        |  64404843 | PA      | $4742714.68   | 0.02%             | 2058-02-15      | Variable      | 1.24%                 | No            |                  2 | On Loan: No      |
| WENDYS FUNDING LLC             | Wendy's Funding LLC                                                              | CUSIP: 95058XAH1<br>LEI: 5493009DRVSTWJOXUL48 | Long             | ABS-O            | CORP              | US        |  18530550 | PA      | $18108345.90  | 0.06%             | 2049-06-15      | Fixed         | 4.08%                 | 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        |   3155911 | PA      | $1424761.89   | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Firstkey Homes Trust           | FirstKey Homes 2020-SFR2 Trust                                                   | CUSIP: 33767JAG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  18000000 | PA      | $17913627.00  | 0.06%             | 2037-10-19      | Fixed         | 1.97%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae II Pool                                                               | CUSIP: 3622ABDN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  45386722 | PA      | $39084980.11  | 0.13%             | 2051-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38374BXU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3015234 | PA      | $19992.81     | 0.00%             | 2033-08-20      | Floating      | 2.85%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38374JVV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1481450 | PA      | $74139.77     | 0.00%             | 2034-10-20      | Floating      | 1.83%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38374M4Z9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    278753 | PA      | $361482.62    | 0.00%             | 2036-05-20      | Floating      | 8.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38375YFD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    482626 | PA      | $10034.08     | 0.00%             | 2036-11-16      | Floating      | 2.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38376JBZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2523218 | PA      | $2512749.83   | 0.01%             | 2039-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38377QPD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2203581 | PA      | $1995241.23   | 0.01%             | 2040-12-20      | Floating      | 1.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38378PFE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  14749674 | PA      | $13302129.21  | 0.04%             | 2043-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38380RE71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  31688659 | PA      | $1953399.86   | 0.01%             | 2063-02-16      | Variable      | 0.82%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38380RTF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        | 230674040 | PA      | $16024787.13  | 0.05%             | 2063-03-16      | Variable      | 0.96%                 | 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      | $10215031.44  | 0.03%             | 2036-04-25      | Floating      | 4.61%                 | 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        |   2223112 | PA      | $919856.03    | 0.00%             | 2037-02-25      | Floating      | 5.01%                 | 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        |   9193668 | PA      | $5570969.13   | 0.02%             | 2037-01-25      | Floating      | 4.51%                 | 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        |   3390703 | PA      | $3068013.76   | 0.01%             | 2036-08-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust       | Benchmark 2020-B19 Mortgage Trust                                                | CUSIP: 08162WBF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 204334445 | PA      | $10112736.44  | 0.03%             | 2053-09-15      | Variable      | 1.78%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust       | Benchmark 2021-B24 Mortgage Trust                                                | CUSIP: 08163CBE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 230716044 | PA      | $9250998.15   | 0.03%             | 2054-03-15      | Variable      | 1.25%                 | 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      | $2356003.75   | 0.01%             | 2054-09-15      | Variable      | 0.81%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust       | Benchmark 2023-V3 Mortgage Trust                                                 | CUSIP: 08163VAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1909000 | PA      | $2020133.58   | 0.01%             | 2056-07-15      | Variable      | 7.10%                 | 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      | $22865925.59  | 0.08%             | 2057-08-15      | Fixed         | 5.60%                 | 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        |   1229179 | PA      | $561371.82    | 0.00%             | 2037-06-25      | Fixed         | 5.75%                 | 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        |   4280763 | PA      | $1772263.51   | 0.01%             | 2038-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                                            | CUSIP: 31322YVB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    941472 | PA      | $879269.96    | 0.00%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381D6B1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  55968985 | PA      | $3909002.62   | 0.01%             | 2063-11-16      | Variable      | 0.92%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381DGR5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        | 301886868 | PA      | $15561332.18  | 0.05%             | 2063-03-16      | Variable      | 0.69%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381DKS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        | 113816729 | PA      | $7821633.56   | 0.03%             | 2063-06-16      | Variable      | 0.97%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381E2A5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        | 119659547 | PA      | $5131611.65   | 0.02%             | 2063-10-16      | Variable      | 0.59%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381ET24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  76490526 | PA      | $3824969.94   | 0.01%             | 2064-06-16      | Variable      | 0.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381LA77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        | 195295137 | PA      | $10804058.96  | 0.04%             | 2064-06-16      | Variable      | 0.74%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382LNV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        | 110928405 | PA      | $16092683.26  | 0.05%             | 2050-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                | Lehman XS Trust 2006-5                                                           | CUSIP: 525221JY4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12534 | PA      | $17726.75     | 0.00%             | 2036-04-25      | Variable      | 6.39%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                 | CUSIP: 3132DMX42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  27448088 | PA      | $22748083.27  | 0.07%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                                            | CUSIP: 3132J72E1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  30768727 | PA      | $28346467.34  | 0.09%             | 2043-03-01      | Fixed         | 3.00%                 | 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        |  45056800 | PA      | $13372141.86  | 0.04%             | 2046-05-25      | Floating      | 4.63%                 | 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        |  13816058 | PA      | $13823877.93  | 0.05%             | 2031-10-30      | Fixed         | 5.87%                 | No            |                  2 | On Loan: No      |
| M360 Ltd.                      | M360 2021-CRE3 Ltd                                                               | CUSIP: 55379AAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1468286 | PA      | $1470494.22   | 0.00%             | 2038-11-22      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| Marble Point CLO XXV Ltd       | Marble Point Clo XXV Ltd                                                         | CUSIP: 565923AU3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  11400000 | PA      | $11415273.72  | 0.04%             | 2036-10-20      | Floating      | 7.18%                 | 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        |   1924062 | PA      | $1733090.02   | 0.01%             | 2035-03-25      | Variable      | 4.27%                 | No            |                  2 | On Loan: No      |
| ROCC Trust                     | ROCK Trust 2024-CNTR                                                             | CUSIP: 74970WAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  46015000 | PA      | $47449292.15  | 0.16%             | 2041-11-13      | Fixed         | 5.39%                 | 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        |   1111845 | PA      | $985503.00    | 0.00%             | 2035-10-25      | Fixed         | 6.00%                 | 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        |    961633 | PA      | $836421.92    | 0.00%             | 2035-12-25      | Fixed         | 6.00%                 | 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        |    485735 | PA      | $483201.12    | 0.00%             | 2036-01-25      | Floating      | 10.10%                | 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      | $6050964.78   | 0.02%             | 2060-05-25      | Variable      | 3.56%                 | 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        |   2893930 | PA      | $2918597.61   | 0.01%             | 2065-05-25      | Variable      | 6.05%                 | No            |                  2 | On Loan: No      |
| Sapphire Aviation Finance I Li | SAPPHIRE AVIATION FINANCE II LTD                                                 | CUSIP: 80307AAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  24855206 | PA      | $23992879.01  | 0.08%             | 2040-03-15      | Fixed         | 3.23%                 | 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        |    995757 | PA      | $982306.46    | 0.00%             | 2030-05-25      | Variable      | 9.72%                 | 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      | $3506540.91   | 0.01%             | 2034-02-27      | Fixed         | 5.42%                 | 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      | $4455505.70   | 0.01%             | 2030-11-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| Tricon Residential             | Tricon Residential 2021-SFR1 Trust                                               | CUSIP: 89614YAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11300000 | PA      | $11148030.82  | 0.04%             | 2038-07-17      | Fixed         | 3.69%                 | No            |                  2 | On Loan: No      |
| Tricon Residential             | Tricon Residential 2025-SFR2 Trust                                               | CUSIP: 89617FAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  14527000 | PA      | $14779729.12  | 0.05%             | 2044-08-17      | Fixed         | 5.42%                 | 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      | $1062517.87   | 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        |  69693451 | PA      | $1117409.04   | 0.00%             | 2050-06-15      | Variable      | 1.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                                            | CUSIP: 3132L7P94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6012205 | PA      | $5579189.69   | 0.02%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137ACSU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1665195 | PA      | $146630.91    | 0.00%             | 2041-07-15      | Floating      | 1.48%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3138EPA38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  18356346 | PA      | $16877412.05  | 0.06%             | 2044-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3138ERP79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9383025 | PA      | $9191577.88   | 0.03%             | 2031-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3138LLH65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9891938 | PA      | $9223652.37   | 0.03%             | 2032-11-01      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3138M8KB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9235421 | PA      | $8591698.77   | 0.03%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140HR6G3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  43362892 | PA      | $38575678.34  | 0.13%             | 2048-12-01      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140LCX63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5592000 | PA      | $5036271.96   | 0.02%             | 2030-06-01      | Fixed         | 1.81%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140LEVF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12500000 | PA      | $10375813.50  | 0.03%             | 2036-12-01      | Fixed         | 2.46%                 | 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        |   1591415 | PA      | $1388262.64   | 0.00%             | 2037-07-25      | Variable      | 5.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140XFNS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11941854 | PA      | $10687234.84  | 0.04%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31417BWS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2713313 | PA      | $2665173.60   | 0.01%             | 2032-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31417D2K8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  20277376 | PA      | $18666953.39  | 0.06%             | 2042-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381D5J5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  67241161 | PA      | $4548481.29   | 0.01%             | 2061-12-16      | Variable      | 0.89%                 | 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        |   4604111 | PA      | $3780804.00   | 0.01%             | 2035-09-25      | Variable      | 4.05%                 | 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      | $8949547.37   | 0.03%             | 2037-03-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136AQZU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  29343535 | PA      | $28367495.32  | 0.09%             | 2044-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136AREC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5719328 | PA      | $5511700.95   | 0.02%             | 2046-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136B1RS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13537148 | PA      | $10328991.45  | 0.03%             | 2048-04-25      | Fixed         | 0.00%                 | 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        | 125985226 | PA      | $1875516.86   | 0.01%             | 2050-06-15      | Variable      | 1.45%                 | 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        |   1387931 | PA      | $614143.03    | 0.00%             | 2036-06-25      | Fixed         | 6.00%                 | 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        |    214494 | PA      | $203380.16    | 0.00%             | 2047-01-25      | Variable      | 6.12%                 | 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        |   2848709 | PA      | $985426.82    | 0.00%             | 2047-01-25      | Variable      | 6.46%                 | 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        |   3407388 | PA      | $3302930.04   | 0.01%             | 2046-05-15      | Variable      | 3.71%                 | 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        |   7390146 | PA      | $7048351.95   | 0.02%             | 2046-08-15      | Variable      | 4.21%                 | 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        |  21115358 | PA      | $20786389.02  | 0.07%             | 2026-07-25      | Fixed         | 3.10%                 | 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        |    611260 | PA      | $652890.04    | 0.00%             | 2034-11-25      | Floating      | 5.25%                 | 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        |   8650000 | PA      | $8724525.81   | 0.03%             | 2033-03-15      | Fixed         | 5.44%                 | 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        |    986379 | PA      | $901844.33    | 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        |   1514700 | PA      | $1399011.19   | 0.00%             | 2037-03-25      | 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        |   2482518 | PA      | $2292909.25   | 0.01%             | 2037-03-25      | Fixed         | 6.00%                 | 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        |  58158721 | PA      | $2174920.98   | 0.01%             | 2052-05-15      | Variable      | 1.57%                 | 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      | $4511661.50   | 0.01%             | 2052-10-15      | Variable      | 3.58%                 | 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        |  68160441 | PA      | $3207241.85   | 0.01%             | 2052-08-15      | Variable      | 1.71%                 | 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        | 162053728 | PA      | $8691638.27   | 0.03%             | 2054-11-15      | Variable      | 1.47%                 | 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        | 118294267 | PA      | $4035703.56   | 0.01%             | 2057-07-15      | Variable      | 1.26%                 | 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        |  13930000 | PA      | $14218916.56  | 0.05%             | 2055-02-15      | Fixed         | 5.64%                 | No            |                  2 | On Loan: No      |
| (Sunnova) Aurora I Issuer, LLC | Sunnova Helios VII Issuer LLC                                                    | CUSIP: 86745RAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5580790 | PA      | $3813700.79   | 0.01%             | 2048-10-20      | Fixed         | 2.33%                 | 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      | $10746892.38  | 0.04%             | 2036-09-25      | Floating      | 4.56%                 | 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        |   1468031 | PA      | $598412.62    | 0.00%             | 2037-03-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| ACREC 2021-FL1 Ltd.            | ACREC 2021-FL1 Ltd                                                               | CUSIP: 00500RAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4624709 | PA      | $4640937.20   | 0.02%             | 2036-10-16      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136AMXK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2631940 | PA      | $2595479.13   | 0.01%             | 2034-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BBSK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11134231 | PA      | $10152292.02  | 0.03%             | 2040-08-25      | Fixed         | 3.00%                 | 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        |    160773 | PA      | $164137.17    | 0.00%             | 2036-05-25      | Fixed         | 5.50%                 | 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        |  13079446 | PA      | $5561413.30   | 0.02%             | 2037-08-25      | 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        |   1842804 | PA      | $806172.84    | 0.00%             | 2037-06-25      | Fixed         | 5.50%                 | 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        |   3806582 | PA      | $1652146.06   | 0.01%             | 2037-07-25      | Fixed         | 6.00%                 | 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      | $15144620.15  | 0.05%             | 2052-06-15      | Fixed         | 3.88%                 | 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      | $2469289.91   | 0.01%             | 2036-05-25      | Fixed         | 6.00%                 | 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      | $5751159.27   | 0.02%             | 2065-05-25      | Variable      | 2.83%                 | 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      | $2125679.46   | 0.01%             | 2037-09-26      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Series 2010-7R                                                              | CUSIP: 12643RBJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8084300 | PA      | $4246847.54   | 0.01%             | 2037-01-26      | Variable      | 6.00%                 | 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      | $4607410.50   | 0.02%             | 2039-11-13      | Fixed         | 2.87%                 | 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        |   1748730 | PA      | $1035289.58   | 0.00%             | 2035-10-25      | Fixed         | 5.50%                 | 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        |   6227434 | PA      | $3098442.97   | 0.01%             | 2036-03-25      | Fixed         | 6.00%                 | 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        |    431272 | PA      | $255808.45    | 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: 225470RW5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4592828 | PA      | $4010267.45   | 0.01%             | 2036-01-25      | Fixed         | 5.25%                 | 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      | $17575024.25  | 0.06%             | 2037-04-20      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136A9FV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1507781 | PA      | $1450358.89   | 0.00%             | 2041-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137B3MY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  19309604 | PA      | $12873867.46  | 0.04%             | 2043-07-15      | Floating      | 0.04%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137BGJ91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11809048 | PA      | $10458794.09  | 0.03%             | 2045-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137F7MG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  28439783 | PA      | $25196083.44  | 0.08%             | 2050-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FEXJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6685775 | PA      | $6052876.23   | 0.02%             | 2048-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FKRR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  19860917 | PA      | $18808351.57  | 0.06%             | 2049-01-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137H3X23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  39871060 | PA      | $1116892.05   | 0.00%             | 2050-08-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137H4DV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  27123376 | PA      | $23473784.68  | 0.08%             | 2051-01-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31398MZ66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    527246 | PA      | $26639.02     | 0.00%             | 2040-04-25      | Floating      | 0.46%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31398NQ56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    177750 | PA      | $7714.98      | 0.00%             | 2040-10-25      | Floating      | 0.03%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31398NQL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    851809 | PA      | $825550.08    | 0.00%             | 2040-10-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140XCGN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  39944583 | PA      | $38377069.29  | 0.13%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140XDRL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  26066117 | PA      | $21427502.92  | 0.07%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140XH2W6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  14757099 | PA      | $14398901.94  | 0.05%             | 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        |  76498624 | PA      | $64911071.04  | 0.21%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140XPBW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  17328728 | PA      | $17261651.32  | 0.06%             | 2053-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140XRHL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  56751293 | PA      | $55237007.42  | 0.18%             | 2045-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BDEK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  20137139 | PA      | $2661155.12   | 0.01%             | 2051-01-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BFJ20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10953273 | PA      | $9641450.29   | 0.03%             | 2043-07-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31418AFJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    969019 | PA      | $901492.72    | 0.00%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31418AG36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  23923906 | PA      | $22256366.24  | 0.07%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31418AGR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10409356 | PA      | $10226371.45  | 0.03%             | 2032-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31418AHN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  24089705 | PA      | $22410783.26  | 0.07%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31418DAQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8055104 | PA      | $7457471.59   | 0.02%             | 2049-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38374GU91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    820238 | PA      | $830589.80    | 0.00%             | 2034-06-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38374KK93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    381713 | PA      | $383768.62    | 0.00%             | 2035-03-20      | 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        |   2127022 | PA      | $202408.25    | 0.00%             | 2039-02-16      | Floating      | 2.39%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38374UCH2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1471442 | PA      | $1467727.07   | 0.00%             | 2039-05-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38374UV32<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10161 | PA      | $10196.95     | 0.00%             | 2039-06-16      | 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        |   1271216 | PA      | $8491.47      | 0.00%             | 2037-04-20      | Floating      | 0.44%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38375QHY8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2900355 | PA      | $347167.54    | 0.00%             | 2038-05-16      | Floating      | 3.43%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38377ELF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1440623 | PA      | $1479155.39   | 0.00%             | 2039-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38377FGS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    347050 | PA      | $21059.19     | 0.00%             | 2039-09-20      | Floating      | 2.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38377FHZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4450953 | PA      | $411485.74    | 0.00%             | 2040-05-20      | Floating      | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38377VE69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    653146 | PA      | $525694.34    | 0.00%             | 2041-05-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38379HDC6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7522962 | PA      | $735370.25    | 0.00%             | 2044-11-20      | Floating      | 1.35%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381DNK2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  40131798 | PA      | $1695957.76   | 0.01%             | 2061-05-16      | Variable      | 0.58%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381E6D5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        | 243187154 | PA      | $13766532.95  | 0.05%             | 2064-08-16      | Variable      | 0.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381EGK8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  83287515 | PA      | $5664192.36   | 0.02%             | 2063-11-16      | Variable      | 0.89%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382M7D5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  79969706 | PA      | $11766134.75  | 0.04%             | 2051-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382MF61<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  98338380 | PA      | $14471623.44  | 0.05%             | 2051-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382MJ42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  71320013 | PA      | $8799234.94   | 0.03%             | 2051-01-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382QU24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  87057161 | PA      | $2510328.06   | 0.01%             | 2051-05-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BGQG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  21042222 | PA      | $2031165.70   | 0.01%             | 2051-07-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BGXT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  25007365 | PA      | $84769.96     | 0.00%             | 2051-09-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382THS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  40287420 | PA      | $33616314.38  | 0.11%             | 2051-05-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382TQ72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  95392982 | PA      | $16352703.86  | 0.05%             | 2051-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Willowbrook Mall               | NJ 2025-WBRK                                                                     | CUSIP: 65486BAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  14239000 | PA      | $14798399.05  | 0.05%             | 2035-03-05      | Variable      | 5.87%                 | 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        |   1030385 | PA      | $844569.29    | 0.00%             | 2036-06-25      | Fixed         | 6.00%                 | 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        |   1217690 | PA      | $972110.82    | 0.00%             | 2036-11-25      | Fixed         | 6.00%                 | 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        |   1019686 | PA      | $891656.32    | 0.00%             | 2036-10-25      | Fixed         | 6.50%                 | 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        |   5224986 | PA      | $1919311.01   | 0.01%             | 2037-06-25      | Fixed         | 6.75%                 | 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        |  18211571 | PA      | $15228302.98  | 0.05%             | 2037-09-25      | Fixed         | 6.50%                 | 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        |   1818078 | PA      | $1502536.92   | 0.00%             | 2037-04-25      | Fixed         | 5.75%                 | 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        |  10572997 | PA      | $8739748.97   | 0.03%             | 2037-07-25      | Fixed         | 6.50%                 | 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      | $4059090.46   | 0.01%             | 2035-05-25      | Floating      | 6.07%                 | 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      | $3004065.63   | 0.01%             | 2035-08-10      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Vericrest Opportunity Loan Tra | VOLT CV LLC                                                                      | CUSIP: 91835GAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8367692 | PA      | $8370764.42   | 0.03%             | 2051-11-27      | Variable      | 5.49%                 | 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        |   1126056 | PA      | $1114936.95   | 0.00%             | 2047-11-25      | Variable      | 3.07%                 | 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        |   7263725 | PA      | $7095978.44   | 0.02%             | 2047-08-15      | Variable      | 4.21%                 | No            |                  2 | On Loan: No      |
| WHARF Commercial Mortgage Trus | WHARF Commercial Mortgage Trust 2025-DC                                          | CUSIP: 92987LAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2650000 | PA      | $2720868.95   | 0.01%             | 2040-07-15      | Variable      | 5.53%                 | No            |                  2 | On Loan: No      |
| Wingstop Funding LLC           | Wingstop Funding LLC                                                             | CUSIP: 974153AB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10342500 | PA      | $9996127.61   | 0.03%             | 2050-12-05      | Fixed         | 2.84%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BHPV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  21848336 | PA      | $19525008.21  | 0.06%             | 2051-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BTJ20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  15678382 | PA      | $15818866.17  | 0.05%             | 2054-12-25      | Floating      | 5.81%                 | 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      | $3153720.11   | 0.01%             | 2054-02-15      | Variable      | 1.11%                 | No            |                  2 | On Loan: No      |
| BCAP LLC Trust                 | BCAP LLC 2010-RR6 Trust                                                          | CUSIP: 05533CDQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6202542 | PA      | $2316686.87   | 0.01%             | 2037-02-26      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S | BBCMS Trust 2018-CBM                                                             | CUSIP: 05549RAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9807000 | PA      | $7569605.52   | 0.02%             | 2037-07-15      | Floating      | 8.00%                 | 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        |   1874356 | PA      | $1765206.60   | 0.01%             | 2036-11-28      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31394V6A3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    221740 | PA      | $229044.32    | 0.00%             | 2036-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31396LHY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1239087 | PA      | $156303.33    | 0.00%             | 2036-10-25      | Floating      | 2.11%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31396PF48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2047626 | PA      | $257222.57    | 0.00%             | 2037-03-25      | Floating      | 2.34%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31397SWA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3072807 | PA      | $2974374.23   | 0.01%             | 2041-02-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140XTBM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  33306501 | PA      | $27123828.05  | 0.09%             | 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        |   3290342 | PA      | $3200895.17   | 0.01%             | 2043-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31417BUJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1122627 | PA      | $1103502.41   | 0.00%             | 2032-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31417YJJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    362519 | PA      | $364719.56    | 0.00%             | 2029-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38378Y2X6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  13738655 | PA      | $1431589.87   | 0.00%             | 2044-02-20      | Floating      | 1.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38380R3P3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        | 223341966 | PA      | $14651433.95  | 0.05%             | 2063-08-16      | Variable      | 0.87%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38380RQU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  64279034 | PA      | $4773084.65   | 0.02%             | 2063-05-16      | Variable      | 0.99%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381DND8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        | 126544969 | PA      | $8560007.89   | 0.03%             | 2063-11-16      | Variable      | 0.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381DZY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        | 108454999 | PA      | $7529857.07   | 0.02%             | 2063-10-16      | Variable      | 0.97%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381E2N7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  57593159 | PA      | $3258747.64   | 0.01%             | 2064-01-16      | Variable      | 0.71%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381EF45<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        | 401342621 | PA      | $19543218.38  | 0.06%             | 2064-01-16      | Variable      | 0.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381EP36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  88278401 | PA      | $3829852.50   | 0.01%             | 2063-10-16      | Variable      | 0.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381EQ92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  64134912 | PA      | $3287677.47   | 0.01%             | 2064-03-16      | Variable      | 0.76%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381HTD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        | 129708769 | PA      | $9297044.62   | 0.03%             | 2062-01-16      | Variable      | 0.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381JMN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        | 435334269 | PA      | $15462724.96  | 0.05%             | 2059-08-16      | Variable      | 0.68%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381JZQ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        | 415046790 | PA      | $17535062.79  | 0.06%             | 2063-09-16      | Variable      | 0.61%                 | 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        |   1527661 | PA      | $1219794.21   | 0.00%             | 2036-11-25      | Fixed         | 6.00%                 | 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        |    889935 | PA      | $746365.41    | 0.00%             | 2036-12-25      | Fixed         | 6.00%                 | 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        |   1001566 | PA      | $414320.52    | 0.00%             | 2036-09-25      | Fixed         | 6.50%                 | 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        |    600323 | PA      | $522156.64    | 0.00%             | 2035-12-25      | Fixed         | 6.00%                 | 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        |    870047 | PA      | $824819.04    | 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: 94985JBM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    530669 | PA      | $503063.57    | 0.00%             | 2037-06-25      | Fixed         | 6.00%                 | 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        |  56849600 | PA      | $3315514.15   | 0.01%             | 2058-10-15      | Variable      | 1.58%                 | 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      | $16146234.55  | 0.05%             | 2042-08-18      | Floating      | 5.45%                 | 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        |  67941034 | PA      | $19590817.61  | 0.06%             | 2036-11-25      | Floating      | 4.55%                 | 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        |   2535886 | PA      | $1049335.95   | 0.00%             | 2037-02-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| ACRE COMMERCIAL MORTGAGE TRUST | ACRE Commercial Mortgage 2021-FL4 Ltd                                            | CUSIP: 00489TAE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    602432 | PA      | $598452.51    | 0.00%             | 2037-12-18      | Floating      | 6.15%                 | 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        |   3340628 | PA      | $2331161.23   | 0.01%             | 2035-11-25      | Variable      | 4.78%                 | 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        |  16472248 | PA      | $8331626.59   | 0.03%             | 2036-02-25      | Variable      | 5.05%                 | 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        |    617792 | PA      | $602660.64    | 0.00%             | 2034-06-25      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                     | AMSR 2021-SFR3 Trust                                                             | CUSIP: 00180UAG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  18500000 | PA      | $18052429.50  | 0.06%             | 2038-10-17      | Fixed         | 3.23%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae II Pool                                                               | CUSIP: 3622ABFV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10575519 | PA      | $9092737.67   | 0.03%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae II Pool                                                               | CUSIP: 3622ABG22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  46429426 | PA      | $41208422.21  | 0.14%             | 2051-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38377DBR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3116716 | PA      | $82640.96     | 0.00%             | 2040-03-20      | Floating      | 1.80%                 | 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        |    670306 | PA      | $553121.21    | 0.00%             | 2037-01-25      | Fixed         | 6.00%                 | 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        |    385643 | PA      | $37182.71     | 0.00%             | 2037-05-25      | Floating      | 1.23%                 | 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        |   2480184 | PA      | $2367009.66   | 0.01%             | 2046-09-25      | Floating      | 4.65%                 | 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      | $295275.15    | 0.00%             | 2036-06-25      | Variable      | 7.10%                 | 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      | $1055728.93   | 0.00%             | 2037-01-25      | Variable      | 6.60%                 | 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        |   8952206 | PA      | $8965929.89   | 0.03%             | 2037-01-15      | Floating      | 5.82%                 | 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      | $595419.92    | 0.00%             | 2054-10-15      | Variable      | 0.60%                 | 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        |  19240000 | PA      | $19270957.16  | 0.06%             | 2035-06-15      | Floating      | 5.90%                 | No            |                  2 | On Loan: No      |
| Asset Backed Funding Certifica | ABFC 2007-WMC1 Trust                                                             | CUSIP: 04545EAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  77522749 | PA      | $55366305.26  | 0.18%             | 2037-06-25      | Floating      | 5.52%                 | 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        |   3209323 | PA      | $3148411.44   | 0.01%             | 2037-03-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| BPR Trust                      | BPR Trust 2021-TY                                                                | CUSIP: 05592AAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10166000 | PA      | $10162549.66  | 0.03%             | 2038-09-15      | Floating      | 5.32%                 | 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      | $2771185.29   | 0.01%             | 2041-12-09      | Variable      | 0.32%                 | No            |                  2 | On Loan: No      |
| BX Trust                       | BX Trust 2021-VIEW                                                               | CUSIP: 05606GAQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3450000 | PA      | $3383307.02   | 0.01%             | 2036-06-15      | Floating      | 8.19%                 | No            |                  2 | On Loan: No      |
| BXP Trust                      | BXP Trust 2017-GM                                                                | CUSIP: 056083AG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9818000 | PA      | $9565301.37   | 0.03%             | 2039-06-13      | Variable      | 3.54%                 | No            |                  2 | On Loan: No      |
| BX Trust                       | BX Trust 2021-ARIA                                                               | CUSIP: 05608RAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1069000 | PA      | $1069144.96   | 0.00%             | 2036-10-15      | Floating      | 5.91%                 | No            |                  2 | On Loan: No      |
| BX Trust                       | BX Commercial Mortgage Trust 2021-XL2                                            | CUSIP: 05609KAL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2724400 | PA      | $2724092.14   | 0.01%             | 2038-10-15      | Floating      | 6.51%                 | 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        |    146292 | PA      | $148154.63    | 0.00%             | 2034-11-25      | Variable      | 5.34%                 | 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        |   4701666 | PA      | $4032837.13   | 0.01%             | 2035-04-25      | Variable      | 5.75%                 | 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      | $871306.29    | 0.00%             | 2072-12-15      | Variable      | 1.08%                 | 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      | $4576328.79   | 0.02%             | 2043-09-15      | Variable      | 0.61%                 | 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      | $2973201.55   | 0.01%             | 2054-08-15      | Variable      | 1.07%                 | 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      | $1001725.26   | 0.00%             | 2054-12-15      | Variable      | 1.26%                 | 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      | $9084770.23   | 0.03%             | 2058-09-15      | Fixed         | 5.07%                 | 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      | $13556575.80  | 0.04%             | 2037-10-20      | Floating      | 5.74%                 | 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      | $4833100.74   | 0.02%             | 2057-02-15      | Fixed         | 5.74%                 | No            |                  2 | On Loan: No      |
| BMO Mortgage Trust             | BMO 2024-5C8 Mortgage Trust                                                      | CUSIP: 09661XAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 113576601 | PA      | $4275454.85   | 0.01%             | 2057-12-15      | Variable      | 1.24%                 | No            |                  2 | On Loan: No      |
| BFLD Trust                     | BFLD Trust 2025-EWEST                                                            | CUSIP: 05494JAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4860000 | PA      | $4889869.56   | 0.02%             | 2042-06-15      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| BMO Mortgage Trust             | BMO 2025-5C10 Mortgage Trust                                                     | CUSIP: 05615BAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1608000 | PA      | $1674078.19   | 0.01%             | 2058-05-15      | Variable      | 5.95%                 | 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        |    918955 | PA      | $291154.44    | 0.00%             | 2036-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust       | Benchmark 2018-B8 Mortgage Trust                                                 | CUSIP: 08162UAY6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  26862320 | PA      | $410810.83    | 0.00%             | 2052-01-15      | Variable      | 0.78%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust       | Benchmark 2020-B22 Mortgage Trust                                                | CUSIP: 08163BBF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  70184442 | PA      | $4394732.15   | 0.01%             | 2054-01-15      | Variable      | 1.61%                 | No            |                  2 | On Loan: No      |
| Bridge Street CLO Ltd          | Bridge Street CLO V Ltd                                                          | CUSIP: 107921AA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  10000000 | PA      | $10017386.00  | 0.03%             | 2038-04-20      | Floating      | 5.55%                 | 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        |  13005618 | PA      | $4018032.39   | 0.01%             | 2036-12-25      | Variable      | 6.23%                 | 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        |   1949183 | PA      | $1717372.71   | 0.01%             | 2036-05-25      | Variable      | 3.76%                 | 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        |   3098782 | PA      | $1127031.56   | 0.00%             | 2037-08-25      | Fixed         | 6.00%                 | 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      | $7681764.31   | 0.03%             | 2058-07-15      | Fixed         | 5.94%                 | No            |                  2 | On Loan: No      |
| BX Trust                       | BX Trust 2022-LBA6                                                               | CUSIP: 12433EAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5320000 | PA      | $5321324.15   | 0.02%             | 2039-01-15      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| BX Trust                       | BX Trust 2022-LBA6                                                               | CUSIP: 12433EAN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  17820000 | PA      | $17823152.36  | 0.06%             | 2039-01-15      | Floating      | 6.85%                 | No            |                  2 | On Loan: No      |
| CBAM CLO Management            | CBAM 2017-2 Ltd                                                                  | CUSIP: 12481KAU2<br>LEI: 254900JYLIAZT0YFW632 | Long             | ABS-CBDO         | CORP              | US        |  11000000 | PA      | $11022328.90  | 0.04%             | 2034-07-17      | Floating      | 6.43%                 | 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        |  36960087 | PA      | $473491.97    | 0.00%             | 2050-11-13      | Variable      | 1.06%                 | 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      | $5467031.96   | 0.02%             | 2050-11-13      | Variable      | 3.91%                 | No            |                  2 | On Loan: No      |
| CENT Trust                     | CENT 2025-CITY                                                                   | CUSIP: 12517TAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  35800000 | PA      | $36243461.76  | 0.12%             | 2040-07-10      | Variable      | 5.09%                 | 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      | $467474.16    | 0.00%             | 2053-01-15      | Variable      | 1.21%                 | 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        |  49221962 | PA      | $168132.38    | 0.00%             | 2058-05-10      | Variable      | 1.69%                 | 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      | $7078731.99   | 0.02%             | 2058-05-10      | Variable      | 5.02%                 | 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        |   3489068 | PA      | $3221788.69   | 0.01%             | 2036-11-25      | Floating      | 6.00%                 | 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        | 215740214 | PA      | $6850420.60   | 0.02%             | 2052-12-15      | Variable      | 1.12%                 | 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        | 193101971 | PA      | $6995794.77   | 0.02%             | 2053-03-15      | Variable      | 1.21%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Trust 2013-9R                                                               | CUSIP: 12647LAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7349034 | PA      | $6641488.84   | 0.02%             | 2043-05-27      | Variable      | 3.00%                 | 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      | $605393.25    | 0.00%             | 2032-11-10      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC 2021-B33                                                                    | CUSIP: 12658WAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5216575 | PA      | $4980117.60   | 0.02%             | 2043-10-10      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC 2021-RPL9 Trust                                                             | CUSIP: 12658XAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  23199610 | PA      | $23104101.80  | 0.08%             | 2061-02-25      | Variable      | 3.87%                 | 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        |    229096 | PA      | $132503.55    | 0.00%             | 2035-10-25      | Floating      | 4.97%                 | 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        |    346747 | PA      | $188049.01    | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | 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        |   2095086 | PA      | $1029184.70   | 0.00%             | 2035-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CAL Funding IV Ltd             | CAL Funding IV Ltd                                                               | CUSIP: 12807CAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9972950 | PA      | $9519864.92   | 0.03%             | 2045-09-25      | Fixed         | 2.22%                 | 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        |  26410749 | PA      | $14834151.76  | 0.05%             | 2052-11-21      | Fixed         | 0.23%                 | No            |                  2 | On Loan: No      |
| Castlelake Aircraft Securitiza | Castlelake Aircraft Structured Trust 2017-1R                                     | CUSIP: 14856JAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1122134 | PA      | $1105507.34   | 0.00%             | 2041-08-15      | Fixed         | 2.74%                 | 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      | $39239465.79  | 0.13%             | 2037-07-20      | Floating      | 5.75%                 | 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        |  13205288 | PA      | $5295220.09   | 0.02%             | 2036-12-25      | Fixed         | 6.00%                 | 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        |   6456199 | PA      | $2343364.54   | 0.01%             | 2036-10-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage  | Citigroup Commercial Mortgage Trust 2016-GC37                                    | CUSIP: 17290XAY6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  28120458 | PA      | $10567.67     | 0.00%             | 2049-04-10      | Variable      | 1.76%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust  | Citigroup Mortgage Loan Trust Inc                                                | CUSIP: 17312EAE6<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |   1329081 | PA      | $1166489.63   | 0.00%             | 2037-03-25      | Floating      | 4.62%                 | 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        |    508233 | PA      | $254555.54    | 0.00%             | 2036-10-25      | Variable      | 6.50%                 | 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        |  79992424 | PA      | $456612.75    | 0.00%             | 2049-10-10      | Variable      | 1.51%                 | 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      | $709422.70    | 0.00%             | 2072-12-15      | Variable      | 1.30%                 | 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        |  78005148 | PA      | $66248446.14  | 0.22%             | 2065-03-25      | Variable      | 5.54%                 | No            |                  2 | On Loan: No      |
| BX Trust                       | BX Commercial Mortgage Trust 2021-XL2                                            | CUSIP: 05609KAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3633000 | PA      | $3630865.25   | 0.01%             | 2038-10-15      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| BX Trust                       | BX Commercial Mortgage Trust 2021-VOLT                                           | CUSIP: 05609VAN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5109600 | PA      | $5102916.68   | 0.02%             | 2036-09-15      | Floating      | 6.26%                 | 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      | $11545936.91  | 0.04%             | 2042-08-15      | Floating      | 5.53%                 | 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      | $61844260.45  | 0.20%             | 2026-01-25      | Variable      | 4.45%                 | 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      | $62492955.52  | 0.21%             | 2026-10-25      | Variable      | 3.85%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                                            | CUSIP: 3128E54G1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3656445 | PA      | $3599455.62   | 0.01%             | 2032-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                                            | CUSIP: 3128MAAA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4293816 | PA      | $4154207.75   | 0.01%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                                            | CUSIP: 3128MADJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10392218 | PA      | $10129489.74  | 0.03%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC               | COLT 2022-4 Mortgage Loan Trust                                                  | CUSIP: 19685GAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9113843 | PA      | $9088519.58   | 0.03%             | 2067-03-25      | Variable      | 4.30%                 | 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        |    454447 | PA      | $282135.23    | 0.00%             | 2036-04-25      | Fixed         | 5.50%                 | 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      | $10039970.00  | 0.03%             | 2038-07-20      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| Crown City CLO                 | Crown City CLO III                                                               | CUSIP: 22824DAJ8<br>LEI: 5493000O0QFX9SMPY639 | Long             | ABS-CBDO         | CORP              | US        |   2750000 | PA      | $2754592.23   | 0.01%             | 2034-07-20      | Floating      | 6.31%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                                            | CUSIP: 3128P7RY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4589918 | PA      | $4517480.20   | 0.01%             | 2032-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136A7QB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  14719212 | PA      | $13952977.08  | 0.05%             | 2042-08-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136AHF39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  17741637 | PA      | $16074453.90  | 0.05%             | 2044-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136AK4F7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  38833641 | PA      | $35088800.41  | 0.12%             | 2044-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                 | Fannie Mae-Aces                                                                  | CUSIP: 3136BLQ78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13724367 | PA      | $13109285.85  | 0.04%             | 2030-05-25      | Variable      | 2.54%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140LEZZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  17599332 | PA      | $15598774.01  | 0.05%             | 2032-01-01      | Fixed         | 1.99%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140LGHN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10900431 | PA      | $10502209.50  | 0.03%             | 2032-06-01      | Fixed         | 3.72%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140LJ3Y0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10467000 | PA      | $10691513.70  | 0.04%             | 2033-03-01      | Fixed         | 4.84%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140LJGU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7863000 | PA      | $8226413.00   | 0.03%             | 2033-01-01      | Fixed         | 5.48%                 | 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        |    830707 | PA      | $658541.24    | 0.00%             | 2036-06-25      | Variable      | 5.12%                 | 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        |   6595597 | PA      | $2989596.92   | 0.01%             | 2036-07-25      | Fixed         | 6.00%                 | 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      | $37907.42     | 0.00%             | 2036-08-25      | Fixed         | 6.00%                 | 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      | $329644.98    | 0.00%             | 2036-05-25      | Fixed         | 6.00%                 | 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        |   1532553 | PA      | $555143.58    | 0.00%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Firstkey Homes Trust           | FirstKey Homes 2021-SFR1 Trust                                                   | CUSIP: 33767WAJ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  16350000 | PA      | $15966703.68  | 0.05%             | 2038-08-17      | Fixed         | 2.39%                 | No            |                  2 | On Loan: No      |
| Firstkey Homes Trust           | FirstKey Homes 2021-SFR1 Trust                                                   | CUSIP: 33767WAL7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11500000 | PA      | $11230456.10  | 0.04%             | 2038-08-17      | Fixed         | 2.49%                 | 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      | $33980784.53  | 0.11%             | 2038-12-17      | Fixed         | 2.44%                 | 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      | $28796450.25  | 0.09%             | 2038-12-17      | Fixed         | 2.54%                 | 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        |   2622009 | PA      | $172089.79    | 0.00%             | 2035-07-25      | Floating      | 0.73%                 | 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        |   1520121 | PA      | $203898.26    | 0.00%             | 2037-03-25      | Floating      | 2.43%                 | 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      | $4062588.02   | 0.01%             | 2066-05-25      | Variable      | 2.17%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                 | CUSIP: 3132DSGJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  35836470 | PA      | $37082677.23  | 0.12%             | 2054-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                 | Fannie Mae-Aces                                                                  | CUSIP: 3136B9DK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  52534836 | PA      | $2143799.56   | 0.01%             | 2031-03-25      | Variable      | 1.33%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                 | Fannie Mae-Aces                                                                  | CUSIP: 3136BAST2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  99533539 | PA      | $2517680.96   | 0.01%             | 2031-03-25      | Variable      | 0.91%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137F5NR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6321518 | PA      | $4855455.82   | 0.02%             | 2048-05-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137F7C60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  27744203 | PA      | $4995793.29   | 0.02%             | 2050-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137F86C2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  22296193 | PA      | $3471936.34   | 0.01%             | 2051-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137F8UA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5414675 | PA      | $4089332.67   | 0.01%             | 2051-01-25      | Fixed         | 1.25%                 | 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        |   8896203 | PA      | $8332865.07   | 0.03%             | 2037-08-25      | Floating      | 4.87%                 | 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        |   1302866 | PA      | $1171434.03   | 0.00%             | 2034-07-25      | Variable      | 5.57%                 | 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      | $1504365.95   | 0.00%             | 2036-08-25      | 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        |   1742961 | PA      | $872185.55    | 0.00%             | 2037-05-25      | 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      | $2529342.75   | 0.01%             | 2031-10-20      | Floating      | 6.39%                 | No            |                  2 | On Loan: No      |
| SEB Funding LLC                | SEB Funding LLC                                                                  | CUSIP: 78433DAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  17705625 | PA      | $17524634.56  | 0.06%             | 2052-01-30      | Fixed         | 4.97%                 | 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        |   3284754 | PA      | $1093727.88   | 0.00%             | 2036-09-25      | Floating      | 4.57%                 | 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      | $2795551.64   | 0.01%             | 2052-06-15      | Variable      | 3.84%                 | 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        |   6756698 | PA      | $5934090.02   | 0.02%             | 2045-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137H0TY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  16026472 | PA      | $2587969.17   | 0.01%             | 2051-03-25      | Fixed         | 3.00%                 | 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      | $454617.57    | 0.00%             | 2052-10-15      | Variable      | 1.61%                 | 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      | $1654141.14   | 0.01%             | 2053-02-15      | Variable      | 0.92%                 | 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      | $6834509.90   | 0.02%             | 2057-07-15      | Fixed         | 5.93%                 | 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        | 126315374 | PA      | $1541211.77   | 0.01%             | 2050-06-15      | Variable      | 1.20%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trus | CSAIL 2015-C4 Commercial Mortgage Trust                                          | CUSIP: 12635RBD9<br>LEI: 54930025J96YEH8FQE77 | Long             | ABS-MBS          | CORP              | US        |   2299000 | PA      | $2292504.18   | 0.01%             | 2048-11-15      | Variable      | 4.93%                 | 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        |   2370019 | PA      | $1224969.32   | 0.00%             | 2036-05-25      | Floating      | 6.00%                 | 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      | $10485021.98  | 0.03%             | 2049-11-15      | Variable      | 4.46%                 | 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        |   6266430 | PA      | $3103911.11   | 0.01%             | 2037-08-25      | Fixed         | 5.75%                 | 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        |   1517233 | PA      | $899904.00    | 0.00%             | 2037-09-25      | Fixed         | 6.25%                 | 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        |  34103515 | PA      | $14702393.56  | 0.05%             | 2038-02-25      | Fixed         | 6.25%                 | 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      | $5067409.89   | 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 2005-6                  | CUSIP: 251510KF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4098320 | PA      | $3476364.34   | 0.01%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                                            | CUSIP: 3128E53J6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1698425 | PA      | $1671950.66   | 0.01%             | 2032-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                                            | CUSIP: 3128MJYM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  16796040 | PA      | $15211236.07  | 0.05%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                                            | CUSIP: 3128P7SA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4578416 | PA      | $4508608.56   | 0.01%             | 2031-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137H2DS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  22919306 | PA      | $4066162.24   | 0.01%             | 2051-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137H2YU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  19634316 | PA      | $16380495.97  | 0.05%             | 2049-04-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                                            | CUSIP: 3128S1NH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    901238 | PA      | $860889.69    | 0.00%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                                            | CUSIP: 31292K2X4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1582168 | PA      | $1587772.74   | 0.01%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137H4A83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  27367496 | PA      | $5120335.25   | 0.02%             | 2050-08-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3138WJFK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13571380 | PA      | $12273036.43  | 0.04%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                 | CUSIP: 3132DVMN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  18614781 | PA      | $19072338.51  | 0.06%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                 | CUSIP: 3132DWCD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2703711 | PA      | $2388539.08   | 0.01%             | 2051-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                 | CUSIP: 3132XFLB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10500000 | PA      | $10690163.82  | 0.04%             | 2029-12-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                 | CUSIP: 3132XG2M7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  13881000 | PA      | $14071261.04  | 0.05%             | 2029-03-01      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                 | CUSIP: 3133BBG78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9061581 | PA      | $8046289.67   | 0.03%             | 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        |  14248418 | PA      | $11276687.25  | 0.04%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31397WHP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    127559 | PA      | $9823.30      | 0.00%             | 2038-06-15      | Floating      | 1.57%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31398QG35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    253001 | PA      | $21194.31     | 0.00%             | 2040-05-15      | Floating      | 1.96%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31398TVG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1553556 | PA      | $1548533.20   | 0.01%             | 2040-08-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140HY3U0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  36378754 | PA      | $29331569.44  | 0.10%             | 2035-07-01      | Fixed         | 1.76%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136A7VC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34889 | PA      | $34588.69     | 0.00%             | 2042-04-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136A8UD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10690020 | PA      | $9883829.22   | 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        |  13092469 | PA      | $12557723.84  | 0.04%             | 2042-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136AHV23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  22977674 | PA      | $21798361.03  | 0.07%             | 2039-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140J1FK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  31335916 | PA      | $24714749.83  | 0.08%             | 2035-09-01      | Fixed         | 1.51%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140J93H2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  15382524 | PA      | $13911526.90  | 0.05%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136B1TS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8196066 | PA      | $1408626.66   | 0.00%             | 2048-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BD5W4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  27846867 | PA      | $23487924.48  | 0.08%             | 2051-03-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BKTQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  20078867 | PA      | $17950083.26  | 0.06%             | 2049-03-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BLDB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2186730 | PA      | $1982278.49   | 0.01%             | 2033-08-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BPUX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        | 101665924 | PA      | $16814181.56  | 0.06%             | 2051-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BQBG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  17086139 | PA      | $11991773.44  | 0.04%             | 2050-11-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 3136BWLP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  55840395 | PA      | $56553727.96  | 0.19%             | 2055-06-25      | Floating      | 5.91%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137A1B77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    963023 | PA      | $1091519.99   | 0.00%             | 2040-08-15      | Floating      | 2.65%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137A7PG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1208882 | PA      | $1198796.69   | 0.00%             | 2041-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137AFUM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    540112 | PA      | $522814.63    | 0.00%             | 2041-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137AKAE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1403903 | PA      | $1319665.78   | 0.00%             | 2042-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137HF3R4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  24092366 | PA      | $24158193.42  | 0.08%             | 2054-08-25      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| Apollo Aviation Securitization | AASET 2024-1                                                                     | CUSIP: 00255JAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6164399 | PA      | $6409631.60   | 0.02%             | 2049-05-16      | Fixed         | 6.26%                 | 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      | $5079148.37   | 0.02%             | 2070-06-25      | Fixed         | 6.35%                 | 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      | $15474776.85  | 0.05%             | 2031-04-15      | Fixed         | 5.08%                 | 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        |     57737 | PA      | $57419.24     | 0.00%             | 2036-03-25      | Floating      | 9.98%                 | No            |                  2 | On Loan: No      |
| Bank                           | BANK 2020-BNK30                                                                  | CUSIP: 06541UCC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  62007000 | PA      | $1961479.83   | 0.01%             | 2053-12-15      | Variable      | 0.83%                 | 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        |    531923 | PA      | $502579.53    | 0.00%             | 2037-07-25      | Floating      | 4.71%                 | 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      | $2494508.31   | 0.01%             | 2036-11-25      | Variable      | 4.17%                 | 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        |   8880875 | PA      | $6285091.25   | 0.02%             | 2036-05-25      | Variable      | 4.46%                 | 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        |  17896200 | PA      | $16651075.88  | 0.05%             | 2037-05-25      | Floating      | 4.49%                 | 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        |   4268713 | PA      | $3706858.77   | 0.01%             | 2047-01-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137HHMR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  23119659 | PA      | $23293930.06  | 0.08%             | 2054-12-25      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137HHQ46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  29730487 | PA      | $29933588.09  | 0.10%             | 2054-12-25      | Floating      | 5.86%                 | 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        |  18162074 | PA      | $14765122.88  | 0.05%             | 2035-09-25      | Variable      | 5.11%                 | 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        |   1526793 | PA      | $1470036.88   | 0.00%             | 2035-04-25      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31393FCL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    245180 | PA      | $252001.05    | 0.00%             | 2032-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31394RHM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    580528 | PA      | $590962.50    | 0.00%             | 2034-02-15      | Fixed         | 5.00%                 | 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        |   2763971 | PA      | $1880032.38   | 0.01%             | 2046-08-25      | Variable      | 4.65%                 | 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        |   2196594 | PA      | $1896894.20   | 0.01%             | 2047-02-25      | Variable      | 5.72%                 | 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        |    653855 | PA      | $636470.17    | 0.00%             | 2047-02-25      | Variable      | 4.54%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust       | Benchmark 2020-B16 Mortgage Trust                                                | CUSIP: 08161NAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  72527716 | PA      | $2188603.61   | 0.01%             | 2053-02-15      | Variable      | 0.91%                 | 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      | $760543.14    | 0.00%             | 2062-03-15      | Variable      | 2.04%                 | No            |                  2 | On Loan: No      |
| Bridge Street CLO Ltd          | Bridge Street CLO I Ltd                                                          | CUSIP: 10805YAL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        | 166500000 | PA      | $167399616.15 | 0.55%             | 2037-07-20      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31396QKB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    193607 | PA      | $193319.29    | 0.00%             | 2039-07-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31397RVH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    583913 | PA      | $42731.61     | 0.00%             | 2038-03-15      | Floating      | 1.16%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31397WSE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     59959 | PA      | $4795.31      | 0.00%             | 2038-07-15      | Floating      | 1.58%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140NWL94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  21450000 | PA      | $21518390.32  | 0.07%             | 2029-10-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140QLZN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2820313 | PA      | $2232136.23   | 0.01%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140QP2Z9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  46102039 | PA      | $44983034.60  | 0.15%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140QUZK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  68732531 | PA      | $70349782.98  | 0.23%             | 2054-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140QUZR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  64709053 | PA      | $66944716.94  | 0.22%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140QVEM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  25542872 | PA      | $26041777.19  | 0.09%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140X8N78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  22779062 | PA      | $19524340.00  | 0.06%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                 | CUSIP: 31427MK26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  24348834 | PA      | $25448523.07  | 0.08%             | 2055-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Firstkey Homes Trust           | FirstKey Homes 2021-SFR2 Trust                                                   | CUSIP: 33767TAJ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8000000 | PA      | $7765130.40   | 0.03%             | 2038-09-17      | Fixed         | 2.26%                 | 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        |     13231 | PA      | $12916.58     | 0.00%             | 2035-07-25      | Floating      | 4.77%                 | 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        |   1631088 | PA      | $604615.25    | 0.00%             | 2035-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381JNP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  50202904 | PA      | $2474114.59   | 0.01%             | 2065-05-16      | Variable      | 0.65%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381JPN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  42570564 | PA      | $2813884.47   | 0.01%             | 2064-03-16      | Variable      | 0.87%                 | 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      | $1126584.18   | 0.00%             | 2042-08-15      | Floating      | 6.80%                 | 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        |  67040687 | PA      | $859247.07    | 0.00%             | 2050-05-10      | Variable      | 1.37%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140X8KE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  40741394 | PA      | $34911958.26  | 0.11%             | 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        |  53322603 | PA      | $45898974.21  | 0.15%             | 2051-09-01      | Fixed         | 2.50%                 | 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      | $497338.97    | 0.00%             | 2052-11-15      | Variable      | 1.56%                 | No            |                  2 | On Loan: No      |
| CLI Funding LLC                | CLI Funding VI LLC                                                               | CUSIP: 12563LAN7<br>LEI: 549300NQLBWJD5AREU05 | Long             | ABS-O            | CORP              | US        |   3709896 | PA      | $3476422.54   | 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        |   4012197 | PA      | $312005.32    | 0.00%             | 2037-03-25      | Floating      | 1.13%                 | 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      | $11594421.83  | 0.04%             | 2066-11-26      | Variable      | 3.26%                 | 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      | $15883411.95  | 0.05%             | 2048-02-10      | Variable      | 4.43%                 | 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        |  21319552 | PA      | $15125842.76  | 0.05%             | 2035-02-25      | Fixed         | 6.00%                 | 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        |   1038563 | PA      | $10.39        | 0.00%             | 2037-05-25      | Fixed         | 5.50%                 | 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        |   4394546 | PA      | $3744543.27   | 0.01%             | 2037-08-25      | Variable      | 4.26%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140XTDM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10231585 | PA      | $9681418.90   | 0.03%             | 2047-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31417ADT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    195295 | PA      | $193462.78    | 0.00%             | 2031-10-01      | Fixed         | 4.00%                 | 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        |  86592706 | PA      | $317492.16    | 0.00%             | 2049-05-10      | Variable      | 1.98%                 | 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        |   1578136 | PA      | $1379331.40   | 0.00%             | 2047-08-25      | Variable      | 3.69%                 | 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        |   9018816 | PA      | $8779659.98   | 0.03%             | 2062-02-27      | Variable      | 2.75%                 | 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        | 218997630 | PA      | $198769541.66 | 0.65%             | 2065-03-25      | Variable      | 1.75%                 | 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      | $7865623.80   | 0.03%             | 2053-08-15      | Variable      | 2.95%                 | 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        |  18846528 | PA      | $19347845.64  | 0.06%             | 2044-08-25      | Fixed         | 7.15%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31418ABT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9252095 | PA      | $9099427.67   | 0.03%             | 2032-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31418AGC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1772544 | PA      | $1691119.88   | 0.01%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FRTKL                          | FRTKL 2021-SFR1                                                                  | CUSIP: 30322DAS8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7750000 | PA      | $7529679.13   | 0.02%             | 2038-09-17      | Fixed         | 2.37%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip               | Freddie Mac Strips                                                               | CUSIP: 3128HX2L8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  27231436 | PA      | $25155826.01  | 0.08%             | 2042-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381MLT5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  20335422 | PA      | $19331928.33  | 0.06%             | 2067-05-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382LAD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  25107171 | PA      | $19269005.69  | 0.06%             | 2050-11-20      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31418AKX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12164269 | PA      | $11316369.69  | 0.04%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31418AUQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2981089 | PA      | $2881823.24   | 0.01%             | 2033-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip               | Freddie Mac Strips                                                               | CUSIP: 3128HXUQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6819975 | PA      | $6233405.58   | 0.02%             | 2042-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                 | Fannie Mae-Aces                                                                  | CUSIP: 3136B7FY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        | 252434209 | PA      | $8158850.35   | 0.03%             | 2029-03-25      | Variable      | 1.36%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382LNE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  34958292 | PA      | $5018710.25   | 0.02%             | 2050-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382LVP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  25045708 | PA      | $3571104.73   | 0.01%             | 2050-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137B2SU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  40143373 | PA      | $28092136.05  | 0.09%             | 2043-06-15      | Floating      | 0.04%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137F4TC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7043882 | PA      | $6423837.95   | 0.02%             | 2048-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137FFGH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10428278 | PA      | $1853902.77   | 0.01%             | 2051-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137H0RN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6805314 | PA      | $19706.83     | 0.00%             | 2051-06-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137H2S47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  14453721 | PA      | $2000354.48   | 0.01%             | 2043-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137H2WW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12706062 | PA      | $10504340.49  | 0.03%             | 2051-10-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31418BK47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4219061 | PA      | $3914261.95   | 0.01%             | 2044-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31418CDL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  34153855 | PA      | $30886450.98  | 0.10%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137HAEZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12371346 | PA      | $8877247.34   | 0.03%             | 2050-09-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137HAF50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  33553204 | PA      | $23345326.06  | 0.08%             | 2050-09-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137HC3J9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  17349740 | PA      | $17398318.77  | 0.06%             | 2054-04-25      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31396QLH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    297743 | PA      | $301532.12    | 0.00%             | 2039-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31397L3D9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    219558 | PA      | $17332.53     | 0.00%             | 2037-02-25      | Floating      | 1.53%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31397QGM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2609532 | PA      | $2543091.67   | 0.01%             | 2041-02-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382LVR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  41917530 | PA      | $6096963.42   | 0.02%             | 2050-12-20      | 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        |  63594336 | PA      | $7418768.96   | 0.02%             | 2051-02-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31398NWB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    676287 | PA      | $63270.32     | 0.00%             | 2050-10-25      | Floating      | 1.48%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31398RFU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    133872 | PA      | $136695.30    | 0.00%             | 2039-10-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31398RMZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2105699 | PA      | $103840.03    | 0.00%             | 2040-01-25      | Floating      | 0.53%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31398SBU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    178693 | PA      | $167204.98    | 0.00%             | 2040-11-25      | Floating      | 1.59%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31418FDH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  51461936 | PA      | $52864184.28  | 0.17%             | 2044-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                | Fannie Mae Interest Strip                                                        | CUSIP: 31423XPX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  49625514 | PA      | $7614690.16   | 0.03%             | 2047-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31398TWK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2071114 | PA      | $2063411.33   | 0.01%             | 2040-08-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31412PNV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    247763 | PA      | $252302.37    | 0.00%             | 2039-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382NXY8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  18461953 | PA      | $2728654.57   | 0.01%             | 2051-02-20      | Fixed         | 2.50%                 | 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        |   1989863 | PA      | $318378.11    | 0.00%             | 2025-04-28      | Floating      | 9.58%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31417AH44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    640242 | PA      | $612421.31    | 0.00%             | 2041-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31417ATZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7217159 | PA      | $7095520.67   | 0.02%             | 2032-01-01      | Fixed         | 3.50%                 | 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      | $3555081.57   | 0.01%             | 2039-10-19      | Fixed         | 3.02%                 | 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        |    664081 | PA      | $414030.34    | 0.00%             | 2036-09-25      | Variable      | 4.29%                 | 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        |    231709 | PA      | $227208.40    | 0.00%             | 2020-11-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae II Pool                                                               | CUSIP: 3617WRPK3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7039279 | PA      | $5980397.74   | 0.02%             | 2052-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ReRemic Trust   | Morgan Stanley Reremic Trust                                                     | CUSIP: 61761NAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6453272 | PA      | $4970155.81   | 0.02%             | 2036-08-26      | Floating      | 2.99%                 | 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      | $6650365.56   | 0.02%             | 2070-06-25      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38374T4F8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1088440 | PA      | $1090328.45   | 0.00%             | 2039-06-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38376VQP5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  17113471 | PA      | $1926800.57   | 0.01%             | 2040-02-20      | Floating      | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38377VE44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6295475 | PA      | $512471.80    | 0.00%             | 2041-05-20      | Floating      | 1.10%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382KQD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  88696484 | PA      | $12544893.67  | 0.04%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382KVZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  40403091 | PA      | $5526944.93   | 0.02%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382LAK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  46702077 | PA      | $6868166.21   | 0.02%             | 2050-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                | Fannie Mae Interest Strip                                                        | CUSIP: 31423XPZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  79003532 | PA      | $13082113.48  | 0.04%             | 2049-10-25      | Fixed         | 3.00%                 | 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        |  19559192 | PA      | $9350684.29   | 0.03%             | 2037-03-25      | Floating      | 4.57%                 | 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        |  14344631 | PA      | $11558140.21  | 0.04%             | 2059-11-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR            | Freddie Mac STACR REMIC Trust 2024-DNA3                                          | CUSIP: 35564NEZ2<br>LEI: 529900P3PHNE8PW64Z68 | Long             | ABS-MBS          | CORP              | US        |   1418019 | PA      | $1417911.18   | 0.00%             | 2044-10-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382LS36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  42482457 | PA      | $6211343.08   | 0.02%             | 2050-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382LX22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4796586 | PA      | $705915.95    | 0.00%             | 2050-12-20      | Fixed         | 2.50%                 | 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      | $13798781.31  | 0.05%             | 2045-01-25      | Floating      | 5.71%                 | 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      | $3712624.80   | 0.01%             | 2046-07-10      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382LX97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  84377893 | PA      | $13075122.37  | 0.04%             | 2050-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                     | AMSR 2021-SFR4 Trust                                                             | CUSIP: 66982FAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10500000 | PA      | $10216674.30  | 0.03%             | 2038-12-17      | Fixed         | 2.97%                 | 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        |   9329615 | PA      | $3192962.77   | 0.01%             | 2036-10-25      | Fixed         | 6.50%                 | 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        |   1569342 | PA      | $186940.46    | 0.00%             | 2035-07-25      | Floating      | 2.63%                 | 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        |   1158195 | PA      | $1093716.56   | 0.00%             | 2043-12-21      | Fixed         | 4.37%                 | 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        |   7128457 | PA      | $6682032.57   | 0.02%             | 2044-02-22      | Fixed         | 4.20%                 | 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        |   3468605 | PA      | $2985003.38   | 0.01%             | 2035-09-25      | Floating      | 4.62%                 | 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      | $3087929.87   | 0.01%             | 2037-07-25      | Floating      | 4.83%                 | 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      | $949527.85    | 0.00%             | 2033-03-10      | Variable      | 5.07%                 | 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      | $550353.83    | 0.00%             | 2031-07-15      | Floating      | 6.05%                 | No            |                  2 | On Loan: No      |
| NBC Funding LLC                | NBC Funding LLC                                                                  | CUSIP: 62878YAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  16566750 | PA      | $16966500.71  | 0.06%             | 2054-07-30      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Neighborly Issuer LLC          | Neighborly Issuer LLC                                                            | CUSIP: 64016NAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  14123125 | PA      | $13398773.93  | 0.04%             | 2051-04-30      | Fixed         | 3.58%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust   | GS Mortgage Securities Trust 2015-GS1                                            | CUSIP: 36252AAE6<br>LEI: 549300WZ62L3Y22NOZ64 | Long             | ABS-MBS          | CORP              | US        |   9439002 | PA      | $124.59       | 0.00%             | 2048-11-10      | Variable      | 0.64%                 | 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        |  15997849 | PA      | $5289797.56   | 0.02%             | 2036-06-25      | Fixed         | 6.50%                 | 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      | $157300.15    | 0.00%             | 2035-08-25      | Floating      | 4.93%                 | 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        |    156635 | PA      | $146104.38    | 0.00%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partne | Pret 2025-NPL7 LLC                                                               | CUSIP: 740934AA2<br>LEI: 2549001J36X6SUZ41Q96 | Long             | ABS-MBS          | CORP              | US        |  42156292 | PA      | $42313088.07  | 0.14%             | 2055-07-25      | Variable      | 5.66%                 | 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        |    481892 | PA      | $384705.93    | 0.00%             | 2036-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381HFS5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        | 197547682 | PA      | $7370938.62   | 0.02%             | 2064-06-16      | Variable      | 0.48%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38381JFG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  54218846 | PA      | $2957366.97   | 0.01%             | 2065-04-16      | Variable      | 0.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382KN90<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  37297689 | PA      | $5235502.73   | 0.02%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382M3D9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        | 200599663 | PA      | $29461029.43  | 0.10%             | 2051-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382NTW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10091981 | PA      | $1547270.24   | 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        |  39561330 | PA      | $5092405.58   | 0.02%             | 2049-03-20      | Fixed         | 2.50%                 | 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        |   2509016 | PA      | $2169700.66   | 0.01%             | 2037-03-25      | 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        |   1714780 | PA      | $108653.41    | 0.00%             | 2036-07-25      | Floating      | 1.03%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382TEA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9968237 | PA      | $1825267.87   | 0.01%             | 2051-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382TL51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  59337987 | PA      | $282241.13    | 0.00%             | 2051-03-20      | Floating      | 0.00%                 | 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      | $11441361.87  | 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        |   3279514 | PA      | $3150668.55   | 0.01%             | 2039-06-15      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| Suntrust Adjustable Rate Mortg | STARM Mortgage Loan Trust 2007-2                                                 | CUSIP: 78473TAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3354262 | PA      | $1251232.54   | 0.00%             | 2037-04-25      | Variable      | 6.42%                 | 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        |  13136891 | PA      | $8046095.12   | 0.03%             | 2037-05-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382UL33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  38404972 | PA      | $610750.44    | 0.00%             | 2051-06-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38383V3J5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        | 182729741 | PA      | $26778221.30  | 0.09%             | 2051-02-20      | Fixed         | 2.50%                 | 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        |   2280733 | PA      | $1126991.14   | 0.00%             | 2036-02-25      | Floating      | 4.81%                 | 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      | $14523566.12  | 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        |  11320608 | PA      | $11210383.60  | 0.04%             | 2037-01-25      | Floating      | 4.80%                 | 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      | $5059382.35   | 0.02%             | 2065-05-25      | Variable      | 4.52%                 | 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        |   8320088 | PA      | $4150322.63   | 0.01%             | 2035-04-25      | Fixed         | 6.00%                 | 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        |    783326 | PA      | $700102.70    | 0.00%             | 2036-09-25      | Variable      | 4.77%                 | 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        |    155461 | PA      | $143910.32    | 0.00%             | 2035-12-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| TAL Advantage VII LLC          | TAL Advantage VII LLC                                                            | CUSIP: 87407RAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9500000 | PA      | $9038330.40   | 0.03%             | 2045-09-20      | Fixed         | 2.05%                 | 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      | $218854104.07 | 0.72%             | 2040-11-15      | Fixed         | 1.38%                 | 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      | $17549081.43  | 0.06%             | 2035-06-20      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust   | Upstart Securitization Trust 2021-3                                              | CUSIP: 91679LAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    909047 | PA      | $904066.15    | 0.00%             | 2031-07-20      | Fixed         | 3.28%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38384K3X7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  13522040 | PA      | $13532343.35  | 0.04%             | 2054-03-20      | Floating      | 5.39%                 | 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      | $10144328.00  | 0.03%             | 2059-10-27      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Greystone Commercial Real Esta | Greystone CRE Notes 2021-FL3 Ltd                                                 | CUSIP: 39809PAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    500235 | PA      | $501749.69    | 0.00%             | 2039-07-15      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| HERO Funding Trust             | HERO Funding Trust 2016-4A                                                       | CUSIP: 40417QAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3890032 | PA      | $3753887.04   | 0.01%             | 2047-09-20      | Fixed         | 4.29%                 | 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        |  17921277 | PA      | $5593734.04   | 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        |   1418247 | PA      | $1353589.52   | 0.00%             | 2042-09-20      | Fixed         | 3.91%                 | 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        |   7299317 | PA      | $2883230.37   | 0.01%             | 2037-07-25      | Floating      | 4.65%                 | 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        |   8028320 | PA      | $7008612.46   | 0.02%             | 2037-09-25      | Floating      | 4.75%                 | 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        |   8081232 | PA      | $7205337.68   | 0.02%             | 2057-01-25      | Variable      | 2.45%                 | 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      | $663562.18    | 0.00%             | 2035-11-25      | Floating      | 4.82%                 | 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        |  10763501 | PA      | $5013956.42   | 0.02%             | 2037-10-25      | Fixed         | 6.50%                 | 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        |  18348130 | PA      | $4105999.52   | 0.01%             | 2037-10-25      | Fixed         | 7.00%                 | 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        |  28492916 | PA      | $16354.93     | 0.00%             | 2049-01-15      | Variable      | 0.98%                 | 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        |   4417850 | PA      | $2919390.20   | 0.01%             | 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        |   2765957 | PA      | $731008.92    | 0.00%             | 2036-07-25      | Variable      | 6.91%                 | 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      | $1546492.17   | 0.01%             | 2050-03-15      | Variable      | 3.89%                 | 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      | $9301950.00   | 0.03%             | 2037-01-16      | Fixed         | 3.97%                 | 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        |   5300815 | PA      | $4656173.28   | 0.02%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC              | PRPM 2025-4 LLC                                                                  | CUSIP: 69382KAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  43825148 | PA      | $43961015.00  | 0.14%             | 2030-06-25      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC              | PRPM 2025-6 LLC                                                                  | CUSIP: 69395KAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  34288792 | PA      | $34726659.49  | 0.11%             | 2028-08-25      | Variable      | 5.77%                 | 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      | $10033540.00  | 0.03%             | 2038-10-20      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| Prime Mortgage Trust           | Prime Mortgage Trust 2006-DR1                                                    | CUSIP: 74159UAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2105820 | PA      | $1804760.86   | 0.01%             | 2035-05-25      | Fixed         | 6.00%                 | 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        |    190694 | PA      | $152235.36    | 0.00%             | 2036-11-25      | Fixed         | 6.00%                 | 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        |   1909184 | PA      | $1562580.99   | 0.01%             | 2036-09-25      | Fixed         | 6.25%                 | 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        |    916805 | PA      | $786659.75    | 0.00%             | 2036-06-25      | Fixed         | 6.00%                 | 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        |   3064193 | PA      | $2494709.57   | 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        |    408238 | PA      | $540926.04    | 0.00%             | 2037-04-25      | Floating      | 19.40%                | 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      | $5549504.62   | 0.02%             | 2036-11-25      | Variable      | 5.59%                 | 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        |   3260080 | PA      | $2947559.99   | 0.01%             | 2036-03-25      | 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        |   4461870 | PA      | $4136467.38   | 0.01%             | 2046-01-25      | Floating      | 11.31%                | 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        |   7757610 | PA      | $2824524.24   | 0.01%             | 2037-07-25      | 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        |  34122954 | PA      | $12424071.96  | 0.04%             | 2037-07-25      | Fixed         | 6.00%                 | 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      | $10039410.00  | 0.03%             | 2037-04-20      | Floating      | 5.94%                 | No            |                  2 | On Loan: No      |
| Sierra Receivables Funding Co  | Sierra Timeshare 2021-2 Receivables Funding LLC                                  | CUSIP: 82652RAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    697209 | PA      | $687896.97    | 0.00%             | 2038-09-20      | Fixed         | 1.95%                 | 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      | $20104312.00  | 0.07%             | 2037-07-20      | Floating      | 5.87%                 | 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        |  16885359 | PA      | $12411797.57  | 0.04%             | 2037-09-25      | Floating      | 5.27%                 | 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      | $11796793.20  | 0.04%             | 2037-10-20      | Floating      | 5.72%                 | 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        |   3538380 | PA      | $1147942.10   | 0.00%             | 2037-02-25      | Variable      | 3.69%                 | 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        |   1020116 | PA      | $801348.71    | 0.00%             | 2036-05-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust            | COMM 2016-DC2 Mortgage Trust                                                     | CUSIP: 12594CBJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1180000 | PA      | $1172673.03   | 0.00%             | 2049-02-10      | Variable      | 4.84%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust            | COMM 2015-DC1 Mortgage Trust                                                     | CUSIP: 12629NAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  26085651 | PA      | $399.11       | 0.00%             | 2048-02-10      | Variable      | 0.71%                 | 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        |   1758919 | PA      | $1203023.42   | 0.00%             | 2035-10-25      | Fixed         | 5.50%                 | 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        |   4780094 | PA      | $2565130.10   | 0.01%             | 2035-08-25      | 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      | $339489.64    | 0.00%             | 2035-08-25      | Fixed         | 6.00%                 | 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        |   3768983 | PA      | $3359010.13   | 0.01%             | 2035-12-25      | Fixed         | 5.50%                 | 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        |   7556024 | PA      | $7583127.28   | 0.02%             | 2037-01-17      | Floating      | 5.93%                 | 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      | $11524215.10  | 0.04%             | 2046-01-25      | Floating      | 4.95%                 | 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        |  12723650 | PA      | $4520611.00   | 0.01%             | 2046-03-25      | Floating      | 4.85%                 | 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        |   7445959 | PA      | $1950431.04   | 0.01%             | 2037-03-25      | Floating      | 4.59%                 | 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        |   9972149 | PA      | $2622854.66   | 0.01%             | 2037-06-25      | Floating      | 4.77%                 | 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        |   7169043 | PA      | $1492823.50   | 0.00%             | 2037-07-25      | Floating      | 4.47%                 | 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        |  43144331 | PA      | $33622597.17  | 0.11%             | 2037-03-25      | Floating      | 4.77%                 | 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      | $632848.95    | 0.00%             | 2052-11-15      | Variable      | 1.25%                 | No            |                  2 | On Loan: No      |
| MSILF Government Portfolio     | MSILF Government Portfolio                                                       | CUSIP: 61747C707<br>LEI: 549300BI6Y5SI6BYPB26 | Long             | STIV             | RF                | US        | 376902421 | NS      | $376902421.06 | 1.24%             |  |  |  | No            |                  1 | 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        |    552513 | PA      | $325894.55    | 0.00%             | 2035-12-25      | Floating      | 4.97%                 | 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        |   1384323 | PA      | $896429.86    | 0.00%             | 2035-12-25      | Fixed         | 5.75%                 | 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        |   1405040 | PA      | $621714.71    | 0.00%             | 2036-06-25      | Fixed         | 6.00%                 | 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        |   1707248 | PA      | $396825.48    | 0.00%             | 2046-10-25      | Variable      | 6.08%                 | 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        |   1812044 | PA      | $467529.01    | 0.00%             | 2046-09-25      | Variable      | 6.58%                 | 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        |   5519276 | PA      | $2436619.82   | 0.01%             | 2037-02-25      | Floating      | 4.40%                 | 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        |   2665792 | PA      | $2836447.16   | 0.01%             | 2036-06-26      | Variable      | 2.86%                 | 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        |   5129665 | PA      | $4623199.26   | 0.02%             | 2036-10-26      | Variable      | 3.93%                 | 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        |   5084708 | PA      | $4874830.88   | 0.02%             | 2051-01-26      | Variable      | 4.16%                 | 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        |  71540134 | PA      | $2007895.47   | 0.01%             | 2052-03-15      | Variable      | 1.16%                 | 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      | $615204.23    | 0.00%             | 2053-02-15      | Variable      | 1.29%                 | 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      | $11666507.82  | 0.04%             | 2038-12-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Navigator Aircraft ABS LLC     | Navigator Aircraft ABS Ltd                                                       | CUSIP: 63943BAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | AE        |   9094188 | PA      | $8694971.68   | 0.03%             | 2046-11-15      | Variable      | 3.57%                 | 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      | $17354671.94  | 0.06%             | 2035-09-25      | Floating      | 5.29%                 | 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      | $11816301.25  | 0.04%             | 2036-05-25      | Floating      | 4.83%                 | 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        |  14392328 | PA      | $2508882.16   | 0.01%             | 2036-10-25      | Variable      | 6.30%                 | 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        |   2524009 | PA      | $453801.15    | 0.00%             | 2036-05-25      | Variable      | 6.41%                 | 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      | $6089244.42   | 0.02%             | 2061-07-25      | Variable      | 2.33%                 | 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        |  27361077 | PA      | $12015556.80  | 0.04%             | 2036-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Cologix Data Centers Issuer LL | Cologix Data Centers US Issuer LLC                                               | CUSIP: 19521UAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8725000 | PA      | $8519459.94   | 0.03%             | 2051-12-26      | Fixed         | 3.30%                 | 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      | $4440045.00   | 0.01%             | 2066-10-25      | Variable      | 2.35%                 | 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      | $3267356.56   | 0.01%             | 2066-10-25      | Variable      | 3.11%                 | 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      | $3268999.08   | 0.01%             | 2066-10-25      | Variable      | 3.86%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC               | COLT 2025-6 Mortgage Loan Trust                                                  | CUSIP: 19689BAC7<br>LEI: 213800IXUWCX6RHIO921 | Long             | ABS-MBS          | CORP              | US        |   2969765 | PA      | $2991072.90   | 0.01%             | 2070-08-25      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip               | Freddie Mac Strips                                                               | CUSIP: 3128HXRT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9709482 | PA      | $8944216.21   | 0.03%             | 2042-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip               | Freddie Mac Strips                                                               | CUSIP: 31325YB80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  82558283 | PA      | $14284249.86  | 0.05%             | 2052-03-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip               | Freddie Mac Strips                                                               | CUSIP: 31325YCM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        | 152488970 | PA      | $25243627.99  | 0.08%             | 2051-08-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137HAHW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  23453588 | PA      | $17453880.96  | 0.06%             | 2050-12-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137HKV68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  19181361 | PA      | $19221637.88  | 0.06%             | 2054-09-25      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3138WCCB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1670049 | PA      | $1658815.07   | 0.01%             | 2044-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3138WHQP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  23129009 | PA      | $20444231.25  | 0.07%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31396PTY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    158873 | PA      | $10582.80     | 0.00%             | 2037-03-25      | Floating      | 2.18%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31396QCR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    152416 | PA      | $13825.48     | 0.00%             | 2039-07-25      | Floating      | 1.48%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31396QFB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    198829 | PA      | $11078.94     | 0.00%             | 2039-07-25      | Floating      | 1.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31396X6V1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    331983 | PA      | $27830.11     | 0.00%             | 2037-05-25      | Floating      | 1.78%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31397L3Y3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    203813 | PA      | $9546.47      | 0.00%             | 2038-07-25      | Floating      | 1.53%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                                | CUSIP: 31397LWE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    218760 | PA      | $18104.21     | 0.00%             | 2037-06-25      | Floating      | 1.53%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140HYLV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6194164 | PA      | $4851509.39   | 0.02%             | 2050-05-01      | Fixed         | 2.66%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140J1CB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  40000000 | PA      | $33440028.00  | 0.11%             | 2032-09-01      | Fixed         | 1.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140JBQ90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  42350438 | PA      | $33517894.30  | 0.11%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140LC2N0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3000000 | PA      | $2552748.00   | 0.01%             | 2033-08-01      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140LDQR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2592604 | PA      | $2322755.92   | 0.01%             | 2030-08-01      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140LDVG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  16125000 | PA      | $13525193.18  | 0.04%             | 2033-10-01      | Fixed         | 1.83%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140LEXB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  19738776 | PA      | $17397637.70  | 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        |  26742164 | PA      | $21126662.99  | 0.07%             | 2039-01-01      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140LKTP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8333000 | PA      | $8591168.67   | 0.03%             | 2030-06-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140NUCR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10550000 | PA      | $11085720.98  | 0.04%             | 2034-01-01      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140Q75Y9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6489981 | PA      | $6055861.89   | 0.02%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140QFUP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  17955296 | PA      | $16147521.99  | 0.05%             | 2040-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140QNPA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  61033291 | PA      | $54328041.88  | 0.18%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140QPXV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  82045760 | PA      | $81956564.77  | 0.27%             | 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        |  40625239 | PA      | $41073618.57  | 0.14%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140QTCJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  34574670 | PA      | $35747902.81  | 0.12%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140QU6Y7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  51361948 | PA      | $52514946.33  | 0.17%             | 2054-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 3140XMG42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13304594 | PA      | $13701677.83  | 0.05%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31417EUA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8084283 | PA      | $7436386.62   | 0.02%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31417FZY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2701000 | PA      | $2617557.07   | 0.01%             | 2033-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31417Y7J0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    934651 | PA      | $891721.40    | 0.00%             | 2041-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31417YMB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1308987 | PA      | $1317192.16   | 0.00%             | 2030-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31417YQW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     64055 | PA      | $63308.97     | 0.00%             | 2040-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31418AEM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1455701 | PA      | $1357871.71   | 0.00%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                  | CUSIP: 31418BQA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8964962 | PA      | $7979892.61   | 0.03%             | 2045-04-01      | Fixed         | 3.00%                 | 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        | 101772711 | PA      | $60294123.04  | 0.20%             | 2036-11-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| GCAT                           | GCAT 2021-NQM6 Trust                                                             | CUSIP: 36167KAH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8405000 | PA      | $6904779.78   | 0.02%             | 2066-08-25      | Variable      | 4.42%                 | 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        |     59095 | PA      | $284783.35    | 0.00%             | 2037-01-25      | Fixed         | 5.50%                 | 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        |  15230007 | PA      | $8536728.24   | 0.03%             | 2036-09-26      | Floating      | 4.10%                 | 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      | $1248476.25   | 0.00%             | 2031-07-15      | Floating      | 6.55%                 | 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        |  30137794 | PA      | $12794870.80  | 0.04%             | 2036-08-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382XFW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  13026534 | PA      | $2195531.14   | 0.01%             | 2051-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38383A3Z5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  69382725 | PA      | $11936832.99  | 0.04%             | 2051-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38383ALM4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  24689179 | PA      | $4389237.28   | 0.01%             | 2051-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38383CQM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  40892155 | PA      | $6061272.38   | 0.02%             | 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        |  61671843 | PA      | $8890292.16   | 0.03%             | 2051-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38383HGF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  71832978 | PA      | $13604289.74  | 0.04%             | 2052-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38384NS97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  24583771 | PA      | $24676633.44  | 0.08%             | 2054-05-20      | Floating      | 5.64%                 | 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        |  13819454 | PA      | $12087631.45  | 0.04%             | 2047-04-25      | Floating      | 4.75%                 | 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      | $10069792.00  | 0.03%             | 2037-07-20      | Floating      | 5.85%                 | 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        |   5118770 | PA      | $4708223.89   | 0.02%             | 2046-02-19      | Floating      | 4.67%                 | 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        |   4959602 | PA      | $2461133.43   | 0.01%             | 2046-05-19      | Floating      | 4.63%                 | 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      | $4772687.93   | 0.02%             | 2035-11-05      | Fixed         | 2.83%                 | 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        |     94564 | PA      | $62780.29     | 0.00%             | 2035-09-25      | Variable      | 5.07%                 | 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      | $906661.95    | 0.00%             | 2033-03-10      | Variable      | 5.07%                 | 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        | 234455658 | PA      | $1191573.99   | 0.00%             | 2049-10-10      | Variable      | 1.28%                 | 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        |  35785009 | PA      | $45207.20     | 0.00%             | 2049-05-10      | Variable      | 1.86%                 | 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      | $3778623.25   | 0.01%             | 2039-10-19      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partne | Pret 2025-NPL2 LLC                                                               | CUSIP: 69392JAA7<br>LEI: 254900S0KCA0ULKWBW61 | Long             | ABS-MBS          | CORP              | US        |  63325973 | PA      | $63636257.41  | 0.21%             | 2055-03-25      | Variable      | 5.84%                 | 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      | $9548072.85   | 0.03%             | 2037-01-20      | Floating      | 7.08%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust | Pagaya AI Debt Trust 2024-1                                                      | CUSIP: 69548AAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1722102 | PA      | $1733588.90   | 0.01%             | 2031-07-15      | Fixed         | 6.66%                 | 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      | $21036409.80  | 0.07%             | 2038-04-25      | Floating      | 5.47%                 | 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      | $23342346.08  | 0.08%             | 2038-10-17      | Fixed         | 2.53%                 | 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        | 170213400 | PA      | $2405574.92   | 0.01%             | 2050-08-10      | Variable      | 1.17%                 | 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        |  14886371 | PA      | $15016296.59  | 0.05%             | 2065-06-25      | Variable      | 5.65%                 | 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      | $19488836.15  | 0.06%             | 2038-10-17      | Fixed         | 3.18%                 | 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      | $11794074.50  | 0.04%             | 2042-07-17      | Fixed         | 3.39%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC              | PRPM 2024-6 LLC                                                                  | CUSIP: 74390PAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  24320807 | PA      | $24352336.13  | 0.08%             | 2029-11-25      | Variable      | 5.70%                 | 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      | $6510941.25   | 0.02%             | 2037-01-25      | Variable      | 5.68%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382XA21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  34372209 | PA      | $5806768.75   | 0.02%             | 2051-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382XAX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  66689304 | PA      | $7308033.96   | 0.02%             | 2051-08-20      | Floating      | 2.05%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382XU86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  40452099 | PA      | $6918174.66   | 0.02%             | 2051-09-20      | Fixed         | 3.00%                 | 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      | $453983.30    | 0.00%             | 2052-06-13      | Variable      | 1.91%                 | 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      | $2223315.01   | 0.01%             | 2037-04-25      | Variable      | 5.91%                 | 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      | $6196137.61   | 0.02%             | 2037-06-25      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust Series 2024-NQM1                                        | CUSIP: 465983AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  20437107 | PA      | $20611987.78  | 0.07%             | 2064-02-25      | Variable      | 5.59%                 | 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        |   1966095 | PA      | $913436.53    | 0.00%             | 2036-03-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Research-Driven Pagaya Motor A | Research-Driven Pagaya Motor Asset Trust 2025-1                                  | CUSIP: 76089YAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7750000 | PA      | $7796630.20   | 0.03%             | 2033-06-27      | Fixed         | 5.49%                 | 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        |  58263335 | PA      | $32949028.89  | 0.11%             | 2036-12-25      | Floating      | 4.59%                 | 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        |   7073753 | PA      | $1479035.52   | 0.00%             | 2036-08-25      | Floating      | 4.65%                 | 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        |   7073753 | PA      | $965128.76    | 0.00%             | 2036-08-25      | Floating      | 2.85%                 | 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        |   6670358 | PA      | $6528497.82   | 0.02%             | 2036-12-25      | Floating      | 4.61%                 | 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        |  20800000 | PA      | $7633167.36   | 0.03%             | 2036-07-25      | Floating      | 4.89%                 | 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        |   5641226 | PA      | $2020708.42   | 0.01%             | 2037-01-25      | Fixed         | 6.00%                 | 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        |   4001325 | PA      | $1700829.20   | 0.01%             | 2037-08-25      | Fixed         | 6.00%                 | 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      | $2500717.71   | 0.01%             | 2039-12-15      | Floating      | 6.14%                 | 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        |  20590187 | PA      | $20662108.94  | 0.07%             | 2039-02-15      | Floating      | 5.79%                 | 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        |    282627 | PA      | $0.42         | 0.00%             | 2051-02-12      | Variable      | 0.00%                 | 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      | $7056625.40   | 0.02%             | 2037-09-27      | Variable      | 7.00%                 | 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      | $5436024.00   | 0.02%             | 2048-02-15      | Variable      | 4.45%                 | 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        |   1859802 | PA      | $1837287.91   | 0.01%             | 2048-10-15      | Variable      | 4.43%                 | No            |                  2 | On Loan: No      |
| TAL Advantage VII LLC          | TAL Advantage VII LLC                                                            | CUSIP: 87407RAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2018750 | PA      | $1932387.67   | 0.01%             | 2045-09-20      | Fixed         | 3.29%                 | 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        |   1052566 | PA      | $761567.79    | 0.00%             | 2037-03-25      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| Jersey Mike's Funding, LLC     | Jersey Mike's Funding LLC                                                        | CUSIP: 476681AA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4531000 | PA      | $4528186.70   | 0.01%             | 2050-02-15      | Fixed         | 4.43%                 | No            |                  2 | On Loan: No      |
| LCM Ltd Partnership            | LCM XVII LP                                                                      | CUSIP: 50190AAP7<br>LEI: 549300K6S4MWQOINB710 | Long             | ABS-CBDO         | CORP              | US        |   3554387 | PA      | $3559839.41   | 0.01%             | 2031-10-15      | Floating      | 5.73%                 | 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      | $20039420.00  | 0.07%             | 2035-01-18      | Floating      | 5.80%                 | 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      | $7741979.72   | 0.03%             | 2052-10-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| LFT CRE LLC                    | LFT CRE 2021-FL1 Ltd                                                             | CUSIP: 50203JAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  10800000 | PA      | $10800108.00  | 0.04%             | 2039-06-15      | Floating      | 6.01%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2007-4                                                     | CUSIP: 52521LAM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10853329 | PA      | $957398.21    | 0.00%             | 2037-05-25      | Floating      | 2.40%                 | 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        |   4593019 | PA      | $1363466.09   | 0.00%             | 2046-05-25      | Floating      | 4.81%                 | 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        |   7663618 | PA      | $7543345.15   | 0.02%             | 2045-02-15      | Fixed         | 3.38%                 | 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        |    979726 | PA      | $545598.59    | 0.00%             | 2036-06-25      | Floating      | 6.00%                 | 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      | $6885191.70   | 0.02%             | 2038-05-20      | Fixed         | 5.69%                 | 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      | $35566485.50  | 0.12%             | 2038-11-20      | Fixed         | 4.91%                 | 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        |     33051 | PA      | $32169.87     | 0.00%             | 2025-07-25      | Fixed         | 5.50%                 | 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        |   1002141 | PA      | $481409.86    | 0.00%             | 2036-07-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partne | PRET 2021-RN4 LLC                                                                | CUSIP: 69359QAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  22835691 | PA      | $22854073.46  | 0.08%             | 2051-10-25      | Variable      | 5.49%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC              | PRPM 2024-NQM4 Trust                                                             | CUSIP: 69381UAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  19853306 | PA      | $20024433.83  | 0.07%             | 2069-12-26      | Variable      | 5.67%                 | 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        |   2509005 | PA      | $2519719.03   | 0.01%             | 2032-01-15      | Fixed         | 5.46%                 | No            |                  2 | On Loan: No      |
| Prose                          | Primrose Funding LLC                                                             | CUSIP: 74166YAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5775000 | PA      | $5970218.10   | 0.02%             | 2055-07-30      | Fixed         | 6.46%                 | 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      | $6842878.00   | 0.02%             | 2038-07-17      | Fixed         | 2.21%                 | 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      | $121398571.07 | 0.40%             | 2040-08-15      | Fixed         | 1.12%                 | 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        | 118247252 | PA      | $120167851.27 | 0.40%             | 2027-10-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC              | PRPM 2024-8 LLC                                                                  | CUSIP: 74448KAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  90074172 | PA      | $90075324.65  | 0.30%             | 2029-12-25      | Variable      | 5.90%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC              | PRPM 2025-3                                                                      | CUSIP: 74449DAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  28881860 | PA      | $28968924.46  | 0.10%             | 2030-05-25      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| Vericrest Opportunity Loan Tra | VOLT XCVII LLC                                                                   | CUSIP: 91835EAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1412815 | PA      | $1413635.14   | 0.00%             | 2051-04-25      | Variable      | 6.24%                 | No            |                  2 | On Loan: No      |
| VCAT Asset Securitization, LLC | VCAT 2025-NPL1 LLC                                                               | CUSIP: 921962AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  58950224 | PA      | $59120613.86  | 0.19%             | 2055-01-25      | Variable      | 5.88%                 | 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        |   1109462 | PA      | $917496.85    | 0.00%             | 2037-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| RBSSP Resecuritization Trust   | RBSSP Resecuritization Trust 2010-4                                              | CUSIP: 74927DAQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2893607 | PA      | $1364599.00   | 0.00%             | 2037-07-26      | 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        |  15106976 | PA      | $14577029.33  | 0.05%             | 2049-03-25      | Variable      | 3.76%                 | No            |                  2 | On Loan: No      |
| Vibrant CLO Ltd                | Vibrant Clo XR Ltd                                                               | CUSIP: 92563MAA5<br>LEI: 254900WDQ070GAG88491 | Long             | ABS-CBDO         | CORP              | US        |  60500000 | PA      | $60780308.60  | 0.20%             | 2036-04-20      | Floating      | 6.03%                 | 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        |   4888341 | PA      | $1469434.34   | 0.00%             | 2035-09-25      | Fixed         | 6.00%                 | 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        |   1195123 | PA      | $63882.78     | 0.00%             | 2035-12-25      | Floating      | 0.88%                 | 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        |   6386686 | PA      | $5701833.25   | 0.02%             | 2037-05-25      | Variable      | 4.15%                 | 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        |    403138 | PA      | $363491.22    | 0.00%             | 2036-08-25      | Variable      | 4.44%                 | 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        |  13841060 | PA      | $11656434.20  | 0.04%             | 2055-11-01      | Fixed         | 2.73%                 | No            |                  2 | On Loan: No      |
| TLWND 2019-1                   | GAIA Aviation Ltd                                                                | CUSIP: 87404LAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | IE        |   8190912 | PA      | $8039708.25   | 0.03%             | 2044-12-15      | Variable      | 3.97%                 | 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        |   3000000 | PA      | $2825913.90   | 0.01%             | 2058-09-15      | Variable      | 4.84%                 | 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        |  42246006 | PA      | $1635503.42   | 0.01%             | 2052-06-15      | Variable      | 1.41%                 | No            |                  2 | On Loan: No      |
| Terwin Mortgage Trust          | Terwin Mortgage Trust 2006-7                                                     | CUSIP: 88156PAZ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10126838 | PA      | $4392599.00   | 0.01%             | 2037-08-25      | Floating      | 4.81%                 | 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      | $3416218.20   | 0.01%             | 2037-03-25      | Floating      | 5.63%                 | 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      | $13738620.57  | 0.05%             | 2052-12-15      | Variable      | 3.38%                 | 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      | $191304462.45 | 0.63%             | 2040-05-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip               | Freddie Mac Strips                                                               | CUSIP: 31325X3F5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  29106942 | PA      | $4890884.30   | 0.02%             | 2050-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                 | CUSIP: 3132DVLQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  13933803 | PA      | $12002102.19  | 0.04%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                 | CUSIP: 3132DVMM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  20419240 | PA      | $20561105.96  | 0.07%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip               | Freddie Mac Strips                                                               | CUSIP: 3132HT3B0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4134115 | PA      | $3805676.53   | 0.01%             | 2044-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip               | Freddie Mac Strips                                                               | CUSIP: 3132HTCE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4953388 | PA      | $4621139.71   | 0.02%             | 2042-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                 | CUSIP: 3132XGR99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  23230000 | PA      | $23649178.15  | 0.08%             | 2030-01-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                 | CUSIP: 3133JL2B4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12830794 | PA      | $10154608.11  | 0.03%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                 | CUSIP: 3133KKVK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  18190637 | PA      | $15559369.55  | 0.05%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                 | CUSIP: 3133KYVB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  73724698 | PA      | $62368612.85  | 0.21%             | 2041-05-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 3137A3UK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1109694 | PA      | $1111048.63   | 0.00%             | 2030-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                                               | CUSIP: 31397RK54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    132268 | PA      | $10522.06     | 0.00%             | 2038-02-15      | Floating      | 1.69%                 | No            |                  2 | On Loan: No      |
| Firstkey Homes Trust           | FirstKey Homes 2020-SFR2 Trust                                                   | CUSIP: 33767JAJ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  26225000 | PA      | $26108345.96  | 0.09%             | 2037-10-19      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| Firstkey Homes Trust           | FirstKey Homes 2021-SFR2 Trust                                                   | CUSIP: 33767TAL4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8000000 | PA      | $7753985.60   | 0.03%             | 2038-09-17      | Fixed         | 2.36%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae II Pool                                                               | CUSIP: 3617UMG26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7839152 | PA      | $6749911.38   | 0.02%             | 2051-03-20      | Fixed         | 2.50%                 | 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        |   1493694 | PA      | $638847.26    | 0.00%             | 2036-02-25      | Fixed         | 6.00%                 | 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      | $4472491.70   | 0.01%             | 2046-08-25      | Floating      | 4.45%                 | 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        |    222597 | PA      | $536970.64    | 0.00%             | 2037-07-25      | Fixed         | 5.00%                 | 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        |  14973992 | PA      | $14364736.52  | 0.05%             | 2040-10-17      | Fixed         | 2.17%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382LWE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  26505353 | PA      | $3838584.77   | 0.01%             | 2050-12-20      | Floating      | 2.05%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382NQW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  29437152 | PA      | $23167400.34  | 0.08%             | 2051-02-20      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                         | CUSIP: 38382RJW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  89867812 | PA      | $15117608.30  | 0.05%             | 2050-12-20      | Fixed         | 3.00%                 | 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        |   2948918 | PA      | $2604074.96   | 0.01%             | 2036-11-19      | Floating      | 4.43%                 | 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      | $1978596.62   | 0.01%             | 2046-01-25      | Fixed         | 6.00%                 | 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        | 100185928 | PA      | $283345.84    | 0.00%             | 2049-06-15      | Variable      | 1.62%                 | 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      | $246248.48    | 0.00%             | 2036-08-25      | Fixed         | 6.00%                 | 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        |   5557129 | PA      | $1465326.60   | 0.00%             | 2037-01-25      | Floating      | 4.65%                 | 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        |    544332 | PA      | $408088.91    | 0.00%             | 2037-04-25      | Variable      | 5.46%                 | 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        |   1877869 | PA      | $1666140.52   | 0.01%             | 2037-05-25      | Variable      | 5.02%                 | 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        |   3510146 | PA      | $1491975.67   | 0.00%             | 2037-08-25      | Fixed         | 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        | 102340124 | PA      | $91357821.24  | 0.30%             | 2058-06-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                | Lehman XS Trust 2006-5                                                           | CUSIP: 525221JT5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5787434 | PA      | $5054317.51   | 0.02%             | 2036-04-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                | Lehman XS Trust 2007-1                                                           | CUSIP: 525241AF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3421184 | PA      | $3531978.23   | 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        |   8095342 | PA      | $7318943.80   | 0.02%             | 2047-08-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| LoanCore Issuer, Ltd.          | LoanCore 2025 2025-CRE8 Issuer LLC                                               | CUSIP: 53947FAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  26610000 | PA      | $26706860.40  | 0.09%             | 2042-08-17      | Floating      | 5.53%                 | 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        |   1221922 | PA      | $952490.83    | 0.00%             | 2048-01-20      | Fixed         | 2.84%                 | 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        |  14476507 | PA      | $6886758.28   | 0.02%             | 2036-06-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| MASTR Resecuritization Trust   | Mastr Resecuritization Trust 2008-4                                              | CUSIP: 55292FAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5559891 | PA      | $4570748.15   | 0.02%             | 2036-06-27      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| M360 Ltd.                      | M360 2021-CRE3 Ltd                                                               | CUSIP: 55379AAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   7162000 | PA      | $7183163.71   | 0.02%             | 2038-11-22      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| Marble Point CLO XXV Ltd       | Marble Point Clo XXV Ltd                                                         | CUSIP: 565923AQ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  20000000 | PA      | $20043296.00  | 0.07%             | 2036-10-20      | Floating      | 6.26%                 | 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        |   6380818 | PA      | $2835475.97   | 0.01%             | 2035-08-25      | Fixed         | 5.75%                 | 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        |   2780054 | PA      | $1089075.44   | 0.00%             | 2047-04-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust | Morgan Stanley Capital I Trust 2015-UBS8                                         | CUSIP: 61691ABP7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7137000 | PA      | $6877720.64   | 0.02%             | 2048-12-15      | Variable      | 4.32%                 | 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      | $4458459.51   | 0.01%             | 2050-12-15      | Variable      | 4.46%                 | 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      | $526225.35    | 0.00%             | 2036-05-15      | Floating      | 6.42%                 | 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      | $232599.13    | 0.00%             | 2036-12-15      | Floating      | 6.07%                 | 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      | $9035767.30   | 0.03%             | 2054-06-15      | Variable      | 3.55%                 | 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        |   4427461 | PA      | $738955.14    | 0.00%             | 2036-08-25      | Variable      | 6.73%                 | 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        |   5028012 | PA      | $2954719.33   | 0.01%             | 2037-01-25      | Floating      | 4.55%                 | 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        |  44981220 | PA      | $40279062.91  | 0.13%             | 2037-07-25      | Floating      | 4.46%                 | 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        |   2473446 | PA      | $2172646.19   | 0.01%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Prime Mortgage Trust           | Prime Mortgage Trust 2006-DR1                                                    | CUSIP: 74159UAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3493674 | PA      | $3289345.95   | 0.01%             | 2035-05-25      | Fixed         | 5.50%                 | 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        |   6294257 | PA      | $514242.08    | 0.00%             | 2037-01-25      | Floating      | 1.18%                 | 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        |   1999938 | PA      | $1677135.28   | 0.01%             | 2037-01-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Research-Driven Pagaya Motor A | Research-Driven Pagaya Motor Asset Trust 2025-3                                  | CUSIP: 76090QAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8495000 | PA      | $8569421.30   | 0.03%             | 2034-02-27      | Fixed         | 5.15%                 | 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        |   7195944 | PA      | $2345705.11   | 0.01%             | 2036-12-25      | Fixed         | 6.25%                 | 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        |   4934414 | PA      | $1467871.66   | 0.00%             | 2036-09-25      | Fixed         | 6.50%                 | 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        |    696203 | PA      | $798480.48    | 0.00%             | 2037-04-25      | Floating      | 13.63%                | 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      | $462351.11    | 0.00%             | 2037-06-25      | Variable      | 6.57%                 | 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        |   7235571 | PA      | $3758900.67   | 0.01%             | 2036-02-25      | Variable      | 4.79%                 | No            |                  2 | On Loan: No      |
| Switch ABS Issuer, LLC         | Switch ABS Issuer LLC                                                            | CUSIP: 871044AE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  27500000 | PA      | $27656420.00  | 0.09%             | 2054-06-25      | Fixed         | 5.44%                 | 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      | $6503469.10   | 0.02%             | 2051-08-25      | Fixed         | 2.54%                 | No            |                  2 | On Loan: No      |
| Textainer Marine Containers Li | Textainer Marine Containers VII Ltd                                              | CUSIP: 88315LAE8<br>LEI: 549300X48KLHDDGPK024 | Long             | ABS-O            | CORP              | US        |   5680454 | PA      | $5470419.62   | 0.02%             | 2045-08-21      | Fixed         | 2.73%                 | 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        |   4195879 | PA      | $3639882.36   | 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 2005-9 Trust   | CUSIP: 93934FEN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4434316 | PA      | $4126695.19   | 0.01%             | 2035-11-25      | 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        |    656408 | PA      | $620943.88    | 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        |   1754255 | PA      | $1542442.91   | 0.01%             | 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: 93934NAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2186999 | PA      | $1569143.65   | 0.01%             | 2036-07-25      | 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        |   5219089 | PA      | $1099777.34   | 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        |   3421044 | PA      | $1687594.36   | 0.01%             | 2036-12-25      | Floating      | 4.47%                 | 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        |   2574944 | PA      | $2286626.85   | 0.01%             | 2037-04-25      | Fixed         | 6.00%                 | 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        |     94162 | PA      | $109496.15    | 0.00%             | 2037-06-25      | Floating      | 13.37%                | 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        |     60510 | PA      | $56807.97     | 0.00%             | 2037-06-25      | Fixed         | 5.75%                 | 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        |  18484509 | PA      | $16689348.77  | 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      | $4121657.45   | 0.01%             | 2058-05-15      | Fixed         | 5.67%                 | 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        | 176292512 | PA      | $2806964.63   | 0.01%             | 2050-09-15      | Variable      | 1.22%                 | 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        |  43973330 | PA      | $700116.97    | 0.00%             | 2050-12-15      | Variable      | 0.98%                 | 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        | 131700415 | PA      | $6010253.79   | 0.02%             | 2053-06-15      | Variable      | 1.38%                 | 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      | $653212.87    | 0.00%             | 2054-11-15      | Variable      | 1.53%                 | 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      | $4518230.88   | 0.01%             | 2058-10-15      | Variable      | 5.58%                 | 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        |  21020000 | PA      | $21046275.00  | 0.07%             | 2041-04-13      | Variable      | 5.06%                 | No            |                  2 | On Loan: No      |
| BX Trust                       | BX 2021-MFM1                                                                     | CUSIP: 05608VAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4641000 | PA      | $4641776.90   | 0.02%             | 2034-01-15      | Floating      | 6.51%                 | 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        |    379681 | PA      | $332858.35    | 0.00%             | 2046-06-25      | Floating      | 6.00%                 | 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        |  13486882 | PA      | $7877507.26   | 0.03%             | 2036-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CALIFORNIA HSG FIN AGY MUNI CT | California Housing Finance Agency                                                | CUSIP: 13033DAH8<br>LEI: 549300BOPCVLBA552Z14 | Long             | DBT              | MUN               | US        |  61372823 | PA      | $2450003.08   | 0.01%             | 2035-03-25      | Variable      | 0.83%                 | 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      | $48072340.80  | 0.16%             | 2038-04-15      | Floating      | 5.52%                 | 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      | $10816346.54  | 0.04%             | 2030-11-11      | Fixed         | 4.53%                 | No            |                  2 | On Loan: No      |
| Cedar Funding Ltd              | Cedar Funding XV CLO Ltd                                                         | CUSIP: 15032QAC6<br>LEI: 5493002XZZZCKFWQIL45 | Long             | ABS-CBDO         | CORP              | US        |   2000000 | PA      | $2006439.80   | 0.01%             | 2035-04-20      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| ChaseFlex Trust                | ChaseFlex Trust Series 2006-2                                                    | CUSIP: 16165MAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1801010 | PA      | $1518106.95   | 0.00%             | 2036-09-25      | Floating      | 4.47%                 | 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      | $362875.79    | 0.00%             | 2056-08-10      | Variable      | 0.97%                 | 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      | $2610351.62   | 0.01%             | 2036-03-25      | Fixed         | 6.00%                 | 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        |   1409707 | PA      | $1066880.17   | 0.00%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage  | Citigroup Commercial Mortgage Trust 2015-GC33                                    | CUSIP: 29425AAK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3499525 | PA      | $25.90        | 0.00%             | 2058-09-10      | Variable      | 0.60%                 | 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        |  78753290 | PA      | $268139.20    | 0.00%             | 2049-04-15      | Variable      | 1.81%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-11-25

**Name of Applicant:** DoubleLine Funds Trust

**Signature:** /s/ Ana Alcantara

**Name of Signer:** DoubleLine Funds Trust

**Title:** Vice President