# EDGAR Filing Document

**Accession Number:** 0001517936
**File Stem:** 0000940400-26-024890
**Filing Date:** 2026-6
**Character Count:** 524463
**Document Hash:** 32fe05af20baa033e39240b0abb8c8a2
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000940400-26-024890.hdr.sgml**: 20260622

**ACCESSION NUMBER**: 0000940400-26-024890

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20260430

**FILED AS OF DATE**: 20260622

**DATE AS OF CHANGE**: 20260622

**PERIOD START**: 20261031

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** FIRST TRUST EXCHANGE-TRADED FUND IV
- **CENTRAL INDEX KEY:** 0001517936

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** MA

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-22559
- **FILM NUMBER:** 261107131

**BUSINESS ADDRESS:**
- **STREET 1:** 120 EAST LIBERTY DRIVE, SUITE 400
- **CITY:** WHEATON
- **STATE:** IL
- **ZIP:** 60187
- **BUSINESS PHONE:** 630-765-8000

**MAIL ADDRESS:**
- **STREET 1:** 120 EAST LIBERTY DRIVE, SUITE 400
- **CITY:** WHEATON
- **STATE:** IL
- **ZIP:** 60187

## Series and Classes Contracts Data

### First Trust Low Duration Opportunities ETF (Series ID: S000046204)

| Class ID   | Class Name                                 | Ticker Symbol   |
|:---|:---|:---|
| C000144500 | First Trust Low Duration Opportunities ETF | LMBS            |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** First Trust Exchange-Traded Fund IV

- **b. Investment Company Act file number:** 811-22559

- **c. CIK number of Registrant:** 0001517936

- **d. LEI of Registrant:** 5493006CBTW7P2B31B80

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

  - **Street Address 1:** 120 East Liberty Drive

  - **City:** Wheaton

  - **State:** IL

  - **Foreign country:** US

  - **Zip / Postal Code:** 60187

  - **Telephone number:** 630-765-8000

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

- **a. Name of Series:** First Trust Low Duration Opportunities ETF

- **b. EDGAR series identifier (if any):** S000046204

- **c. LEI of Series:** 549300ZVBPE1RKOPM784

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

- **a. Date of fiscal year-end:** 2026-10-31

- **b. Date as of which information is reported:** 2026-04-30

**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:** $9016307844.75

**Total Liabilities:** $2853464205.50

**Net Assets:** $6162843639.25

**Stand-by Commitments:** $1768042464.86

**Cash Not Reported:** $302505.25

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 1189.11206000 | **1-Year:** 178433.85490000 | **5-Year:** 1606434.19231000 | **10-Year:** 880355.29416000 | **30-Year:** 160470.24080000

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

- **3-Month:** 121.22455000 | **1-Year:** 18357.32496000 | **5-Year:** 51378.40297000 | **10-Year:** 30613.88647000 | **30-Year:** 772.01654000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000144500 | 0.90%                | -0.83%               | 0.50%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $1430317.75              | $79047384.08                               |
| Month 2  | $1817705.31              | $-92228338.88                              |
| Month 3  | $3229079.52              | $-9278499.69                               |

**Designated Index Information**

- **Index Name:** The Fund's Designated Reference Portfolio is the Fund's Securities Portfolio.

- **Index Identifier:** N/A

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| CHICAGO BOARD OF TRADE                                                 | Ultra U.S. Treasury Bond Options                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -18 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                 | U.S. Treasury Bond Options                                  | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -277 | NC      | $-463109.38   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 4000 PY                                                 | CUSIP: 3137ALYJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   1878000 | PA      | $1753130.28   | 0.03%             | 2042-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Farm Mortgage Trust 2024-2                                             | FARM 2024-2 A                                               | CUSIP: 307910AC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5362910 | PA      | $5237627.14   | 0.08%             | 2054-08-01      | Variable      | 5.17%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2004-49 MZ                                              | CUSIP: 38374GV41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    303196 | PA      | $303504.79    | 0.00%             | 2034-06-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2011-10 AY                                              | CUSIP: 31397QQC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   1507000 | PA      | $1551869.42   | 0.03%             | 2041-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2016-37 PY                                              | CUSIP: 3136ASPG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   8774460 | PA      | $7334328.94   | 0.12%             | 2046-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | G2 748939                                                   | CUSIP: 3620C5BG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    425948 | PA      | $404487.47    | 0.01%             | 2040-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GN 781824                                                   | CUSIP: 36241KAZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    121907 | PA      | $124216.48    | 0.00%             | 2034-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN MORTGAGE TRUST 2019-1                                      | JPMMT 2019-1 A5                                             | CUSIP: 46650HAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1008850 | PA      | $943027.85    | 0.02%             | 2049-05-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | G2 AC0197                                                   | CUSIP: 36178YGE9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1618780 | PA      | $1547662.51   | 0.03%             | 2042-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2015-164 MZ                                             | CUSIP: 38379FDE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |  28942439 | PA      | $22564526.76  | 0.37%             | 2045-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COREVEST AMERICAN FINANCE 2020-3 TRUST                                 | CAFL 2020-3 A                                               | CUSIP: 21873CAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    772154 | PA      | $768288.05    | 0.01%             | 2053-08-15      | Fixed         | 1.36%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FN MA1222                                                   | CUSIP: 31418ALC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14601 | PA      | $14436.22     | 0.00%             | 2032-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHMS K738 XAM                                               | CUSIP: 3137FTFW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |  38645000 | PA      | $391276.76    | 0.01%             | 2027-03-25      | Variable      | 1.49%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                       | FHMR 2020-RR09 BX                                           | CUSIP: 3137FTG84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |  47500000 | PA      | $2456937.50   | 0.04%             | 2029-02-25      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2020-84 IM                                              | CUSIP: 38382FT46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   7097422 | PA      | $1455460.53   | 0.02%             | 2050-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| SANTANDER MORTGAGE ASSET RECEIVABLE TRUST 2026-NQM3                    | SAN 2026-NQM3 A1                                            | CUSIP: 802929AC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4333126 | PA      | $4332958.23   | 0.07%             | 2066-03-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2017-23 Z                                               | CUSIP: 38379RMR1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   3476482 | PA      | $2029818.46   | 0.03%             | 2059-05-16      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNS 345 14                                                  | CUSIP: 3136FCCR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    104440 | PA      | $11798.77     | 0.00%             | 2034-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT                   | T 4.5 04/15/27                                              | CUSIP: 91282CKJ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4000000 | PA      | $4027718.20   | 0.07%             | 2027-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 3322 NF                                                 | CUSIP: 31397HM70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    114789 | PA      | $101514.00    | 0.00%             | 2037-05-15      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FN 995097                                                   | CUSIP: 31416BNN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8060 | PA      | $8570.30      | 0.00%             | 2037-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| COREVEST AMERICAN FINANCE 2021-1 TRUST                                 | CAFL 2021-1 A                                               | CUSIP: 21873LAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1922884 | PA      | $1891097.55   | 0.03%             | 2053-04-15      | Fixed         | 1.57%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHMS K130 XAM                                               | CUSIP: 3137H1YZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |  41565013 | PA      | $2357837.71   | 0.04%             | 2031-07-25      | Variable      | 1.32%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHS 243 11                                                  | CUSIP: 31282YWM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     69853 | PA      | $6796.57      | 0.00%             | 2036-08-15      | Variable      | 7.27%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT                   | S 0 05/15/35                                                | CUSIP: 912833X88<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  63205000 | PA      | $42497338.63  | 0.69%             | 2035-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FG G07683                                                   | CUSIP: 3128M92Q4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    213187 | PA      | $205777.41    | 0.00%             | 2044-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | G2 BL6909                                                   | CUSIP: 3617JKVA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    255053 | PA      | $255359.54    | 0.00%             | 2049-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FG A47937                                                   | CUSIP: 3128K8ZA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     78296 | PA      | $79952.91     | 0.00%             | 2035-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2009-85 J                                               | CUSIP: 31398FDQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   1734005 | PA      | $1730102.56   | 0.03%             | 2039-10-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2017-130 LS                                             | CUSIP: 38380GAD6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   3027559 | PA      | $298160.08    | 0.00%             | 2047-08-16      | Floating      | 2.42%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT                   | T 2.5 02/15/45                                              | CUSIP: 912810RK6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10000000 | PA      | $6948437.50   | 0.11%             | 2045-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2024-20 QZ                                              | CUSIP: 3136BRT64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |  12122937 | PA      | $10930506.42  | 0.18%             | 2045-10-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2006-5 2A2                                              | CUSIP: 31394VL57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     19542 | PA      | $19915.06     | 0.00%             | 2035-02-25      | Floating      | 3.90%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 2102 Z                                                  | CUSIP: 3133THHD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |       878 | PA      | $891.15       | 0.00%             | 2028-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2004-60 AC                                              | CUSIP: 31394AWK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     62333 | PA      | $62264.16     | 0.00%             | 2034-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JPMCC COMMERCIAL MORTGAGE SECURITIES TRUST 2017-JP5                    | JPMCC 2017-JP5 A4                                           | CUSIP: 46647TAR9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1462209 | PA      | $1459693.67   | 0.02%             | 2050-03-17      | Fixed         | 3.46%                 | No            |                  2 | On Loan: No      |
| HILTON USA TRUST 2016-HHV                                              | HILT 2016-HHV A                                             | CUSIP: 43300LAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4250000 | PA      | $4232923.93   | 0.07%             | 2038-11-05      | Fixed         | 3.72%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2013-136 DZ                                             | CUSIP: 3136AHVZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |  17373181 | PA      | $15890951.62  | 0.26%             | 2044-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2011-52 GB                                              | CUSIP: 31397S7M0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    187805 | PA      | $189784.79    | 0.00%             | 2041-06-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT                   | S 0 11/15/35                                                | CUSIP: 912833X96<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  13500000 | PA      | $8839604.12   | 0.14%             | 2035-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FR ZS2492                                                   | CUSIP: 3132A2XV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    733196 | PA      | $760728.98    | 0.01%             | 2035-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| PROGRESS RESIDENTIAL 2025-SFR3 TRUST                                   | PROG 2025-SFR3 A                                            | CUSIP: 74334BAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4341000 | PA      | $4104598.26   | 0.07%             | 2042-07-17      | Fixed         | 3.39%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED PASS THROUGH CERTIFICATES                       | SCRT 2018-4 MA                                              | CUSIP: 35563PHF9<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |  24530512 | PA      | $23786074.43  | 0.39%             | 2058-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 2907 DZ                                                 | CUSIP: 31395KL92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    188378 | PA      | $184991.72    | 0.00%             | 2034-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PMT LOAN TRUST 2025-INV2                                               | PMTLT 2025-CNF2 A26                                         | CUSIP: 729911BE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  13227500 | PA      | $13287205.91  | 0.22%             | 2057-01-25      | Variable      | 5.06%                 | No            |                  2 | On Loan: No      |
| METLIFE SECURITIZATION TRUST 2017-1                                    | MST 2018-1A A                                               | CUSIP: 59166DAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3365543 | PA      | $3266141.48   | 0.05%             | 2057-03-25      | Variable      | 3.46%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2020-20 KI                                              | CUSIP: 3136B9JR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |  11969763 | PA      | $3527758.48   | 0.06%             | 2050-03-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2018-44 Z                                               | CUSIP: 38380VVB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    998722 | PA      | $752394.26    | 0.01%             | 2047-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2022-63 AZ                                              | CUSIP: 38383RAN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |  35938334 | PA      | $29826329.89  | 0.48%             | 2051-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                       | FR SD4005                                                   | CUSIP: 3132E0NW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8182172 | PA      | $7830751.41   | 0.13%             | 2049-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 5002 FJ                                                 | CUSIP: 3137FUAH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   3748774 | PA      | $3673172.98   | 0.06%             | 2050-07-25      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FHMS K112 XAM                                               | CUSIP: 3137FUZZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |  29273633 | PA      | $1830169.97   | 0.03%             | 2030-05-25      | Variable      | 1.77%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2019-17 GZ                                              | CUSIP: 3136B4CS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   9544227 | PA      | $8572459.20   | 0.14%             | 2056-11-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHMR 2020-RR09 AX                                           | CUSIP: 3137FTG68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |  37600000 | PA      | $1991766.00   | 0.03%             | 2028-11-25      | Variable      | 2.63%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2021-31 IO                                              | CUSIP: 38380RVN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |  27111643 | PA      | $1848319.97   | 0.03%             | 2061-01-16      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMIC TRUST 2019-33                                         | FNR 2019-33 F                                               | CUSIP: 3136B47H5<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |   3172064 | PA      | $3123169.65   | 0.05%             | 2049-07-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHMS K-152 A1                                               | CUSIP: 3137H9M71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    641673 | PA      | $635341.44    | 0.01%             | 2032-01-25      | Fixed         | 3.78%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2016-109 ZM                                             | CUSIP: 38380AAW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1164993 | PA      | $1058009.96   | 0.02%             | 2036-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FG G07329                                                   | CUSIP: 3128M9PN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    207468 | PA      | $200132.37    | 0.00%             | 2043-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| J P MORGAN CHASE COMMERCIAL MORTGAG                                    | JPMCC 2025-PHNY A                                           | CUSIP: 46592UAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6215000 | PA      | $6227443.05   | 0.10%             | 2041-01-15      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FN FM1285                                                   | CUSIP: 3140X4NB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1083852 | PA      | $1043938.00   | 0.02%             | 2043-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT                   | TII 2.125 04/15/29                                          | CUSIP: 91282CKL4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  30000000 | PA      | $32677616.31  | 0.53%             | 2029-04-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT                   | S 0 05/15/34                                                | CUSIP: 9128337V6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  23400000 | PA      | $16554064.88  | 0.27%             | 2034-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2016-78 UI                                              | CUSIP: 38379XQF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    309040 | PA      | $62371.36     | 0.00%             | 2046-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 5270 AL                                                 | CUSIP: 3137H9DF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   7871994 | PA      | $5916230.94   | 0.10%             | 2048-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHMR 2020-RR06 BX                                           | CUSIP: 3137FRV99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        | 150334000 | PA      | $11078458.23  | 0.18%             | 2033-05-27      | Variable      | 1.84%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GN 687833                                                   | CUSIP: 36296DEE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9530 | PA      | $9944.84      | 0.00%             | 2038-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2007-68 AE                                              | CUSIP: 31396WK70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    404313 | PA      | $421863.95    | 0.01%             | 2037-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FN AP7963                                                   | CUSIP: 3138MBZ58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     81958 | PA      | $78880.36     | 0.00%             | 2042-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 4499 CZ                                                 | CUSIP: 3137BKYF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |  14641195 | PA      | $12834129.97  | 0.21%             | 2045-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FN 930562                                                   | CUSIP: 31412NZ33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4960 | PA      | $5023.55      | 0.00%             | 2039-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNGT 2005-T1 A1                                             | CUSIP: 31394C7D8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   1479822 | PA      | $1448018.85   | 0.02%             | 2035-05-25      | Variable      | 4.19%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 2557 HL                                                 | CUSIP: 31393JLU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |     76021 | PA      | $76509.86     | 0.00%             | 2033-01-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2025-PJ10                          | GSMBS 2025-PJ11 A27                                         | CUSIP: 36273RBA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7313365 | PA      | $7324354.31   | 0.12%             | 2056-05-25      | Variable      | 5.01%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GN 784752                                                   | CUSIP: 3622AAEZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2769018 | PA      | $2688097.29   | 0.04%             | 2045-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNS 348 17                                                  | CUSIP: 3136FCEX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19172 | PA      | $1829.55      | 0.00%             | 2033-12-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FN AL9401                                                   | CUSIP: 3138ERNT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9435986 | PA      | $9080951.54   | 0.15%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FN FS2787                                                   | CUSIP: 3140XJCZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6108642 | PA      | $5886603.22   | 0.10%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FN AB2506                                                   | CUSIP: 31416XYC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    748647 | PA      | $757067.81    | 0.01%             | 2041-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2012-108 KB                                             | CUSIP: 38378HPP5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    251623 | PA      | $198309.42    | 0.00%             | 2042-09-16      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2019-7 Z                                                | CUSIP: 38380MC82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |  19987748 | PA      | $12614271.78  | 0.20%             | 2061-01-16      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FN AE0137                                                   | CUSIP: 31419AEK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     96680 | PA      | $95924.11     | 0.00%             | 2036-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT                   | T 2.875 08/15/45                                            | CUSIP: 912810RN0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5000000 | PA      | $3679101.55   | 0.06%             | 2045-08-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FN MA0295                                                   | CUSIP: 31417YKH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10476 | PA      | $10576.02     | 0.00%             | 2030-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COMM 2024-277P MORTGAGE TRUST                                          | COMM 2024-277P X                                            | CUSIP: 12654FAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  41260000 | PA      | $892585.83    | 0.01%             | 2044-08-11      | Variable      | 0.89%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GN 781862                                                   | CUSIP: 36241KB72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4571 | PA      | $4704.45      | 0.00%             | 2035-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT                   | S 0 11/15/34                                                | CUSIP: 9128337W4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  70333000 | PA      | $48489130.19  | 0.79%             | 2034-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNS 320 2                                                   | CUSIP: 3136FAJF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32262 | PA      | $4293.11      | 0.00%             | 2032-04-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                       | FR SL1523                                                   | CUSIP: 31427NVR7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  64209990 | PA      | $59036586.75  | 0.96%             | 2050-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 4098 PE                                                 | CUSIP: 3137AT7D8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   2447000 | PA      | $2269327.25   | 0.04%             | 2042-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2007-42 SB                                              | CUSIP: 38375KYH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    109840 | PA      | $2621.40      | 0.00%             | 2037-07-20      | Floating      | 2.97%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-8 LLC                                                        | PRPM 2024-8 A1                                              | CUSIP: 74448KAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    334341 | PA      | $334454.61    | 0.01%             | 2029-12-25      | Variable      | 5.90%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2019-PJ3                           | GSMBS 2019-PJ3 A1                                           | CUSIP: 36257QAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    215273 | PA      | $202608.08    | 0.00%             | 2050-03-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| ARROYO MORTGAGE TRUST 2019-3                                           | ARRW 2019-3 A3                                              | CUSIP: 04285AAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1214130 | PA      | $1170014.75   | 0.02%             | 2048-10-25      | Variable      | 3.42%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2012-84 SJ                                              | CUSIP: 38375GHS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   6711842 | PA      | $4149900.36   | 0.07%             | 2042-07-16      | Floating      | 0.35%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FN AL2142                                                   | CUSIP: 3138EJLY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38080 | PA      | $40375.20     | 0.00%             | 2038-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2024-20 ZA                                              | CUSIP: 3136BRX93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |  11093679 | PA      | $10007726.50  | 0.16%             | 2045-10-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT                   | S 0 08/15/38                                                | CUSIP: 912834AT5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3833000 | PA      | $2144867.80   | 0.03%             | 2038-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FN FM8218                                                   | CUSIP: 3140XCDY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4995029 | PA      | $4777276.93   | 0.08%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 1996-51 AY                                              | CUSIP: 31359KW45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |       177 | PA      | $1.16         | 0.00%             | 2026-12-18      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2022-65 BZ                                              | CUSIP: 38383P4Q1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |  17556958 | PA      | $13801740.91  | 0.22%             | 2052-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 3340 PF                                                 | CUSIP: 31397JSA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |     25148 | PA      | $24851.01     | 0.00%             | 2037-07-15      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | G2 AI6317                                                   | CUSIP: 36198TAS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    471311 | PA      | $459676.94    | 0.01%             | 2044-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2018-BILT                                                     | BX 2025-GW A                                                | CUSIP: 12433GAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5740000 | PA      | $5752083.85   | 0.09%             | 2042-07-15      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | G2 745478                                                   | CUSIP: 3620C1FT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    195527 | PA      | $196275.22    | 0.00%             | 2040-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FN AL0212                                                   | CUSIP: 3138EGGW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36572 | PA      | $37252.51     | 0.00%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2017-133 JI                                             | CUSIP: 38380HCX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1776097 | PA      | $173129.65    | 0.00%             | 2041-06-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 5228 DZ                                                 | CUSIP: 3137H7UG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   9596249 | PA      | $8576443.18   | 0.14%             | 2052-06-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT                   | B 0 05/19/26                                                | CUSIP: 912797TS6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  50000000 | PA      | $49910356.00  | 0.81%             | 2026-05-19      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GN 725272                                                   | CUSIP: 3620ABW93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     68568 | PA      | $67853.84     | 0.00%             | 2039-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                 | 5-Year T-Note Options                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -45 | NC      | $-44648.46    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2015-151 KW                                             | CUSIP: 38379QT54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     19960 | PA      | $19775.31     | 0.00%             | 2034-04-20      | Variable      | 4.18%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHMR 2021-RR20 X                                            | CUSIP: 3137H4CM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |  55000000 | PA      | $5600947.00   | 0.09%             | 2033-04-27      | Variable      | 1.85%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2020-22 FA                                              | CUSIP: 3136B9HC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   3717586 | PA      | $3639424.82   | 0.06%             | 2050-04-25      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GN 724230                                                   | CUSIP: 3620AAST6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    136708 | PA      | $139202.16    | 0.00%             | 2039-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 3274 B                                                  | CUSIP: 31397F5S7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |     22359 | PA      | $23373.52     | 0.00%             | 2037-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GN 724340                                                   | CUSIP: 3620AAV96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    106822 | PA      | $105700.92    | 0.00%             | 2039-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 5357 OB                                                 | CUSIP: 3137HAXP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   4508131 | PA      | $3576783.39   | 0.06%             | 2053-11-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2019-70 WA                                              | CUSIP: 3136B7LQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |  11930696 | PA      | $10397036.26  | 0.17%             | 2042-11-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2005-3 JZ                                               | CUSIP: 38374KPS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    288722 | PA      | $286918.54    | 0.00%             | 2035-01-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2016-84 DF                                              | CUSIP: 3136AUKR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    142512 | PA      | $139721.57    | 0.00%             | 2046-11-25      | Variable      | 4.20%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT                   | S 0 05/15/42                                                | CUSIP: 912834LK2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5000000 | PA      | $2225026.25   | 0.04%             | 2042-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 4193 AI                                                 | CUSIP: 3137B1GZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    550548 | PA      | $9916.79      | 0.00%             | 2028-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2018-PHH          | JPMCC 2018-PHH A                                            | CUSIP: 46650FAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3561390 | PA      | $2368431.09   | 0.04%             | 2035-06-15      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED PASS THROUGH CERTIFICATES SERIES 2020-K115      | FHMS K115 XAM                                               | CUSIP: 3137FWGB0<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |  55537412 | PA      | $3200576.62   | 0.05%             | 2030-07-25      | Variable      | 1.64%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | G2 769102                                                   | CUSIP: 36176LGK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    584163 | PA      | $577727.95    | 0.01%             | 2041-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FHMS K124 A2                                                | CUSIP: 3137F9CT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   4725000 | PA      | $4212685.26   | 0.07%             | 2030-12-25      | Fixed         | 1.66%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 3667 PL                                                 | CUSIP: 31398QFX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    303945 | PA      | $308517.35    | 0.01%             | 2040-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT                   | B 0 05/12/26                                                | CUSIP: 912797TR8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  75000000 | PA      | $74918202.75  | 1.22%             | 2026-05-12      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2012-122 SD                                             | CUSIP: 3136A94X3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   4895341 | PA      | $494265.91    | 0.01%             | 2042-11-25      | Floating      | 2.34%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2016-55 PB                                              | CUSIP: 38379WTL6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |      8146 | PA      | $8220.35      | 0.00%             | 2031-03-20      | Variable      | 5.38%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2016-73 PI                                              | CUSIP: 3136ATM76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   2194544 | PA      | $365234.95    | 0.01%             | 2046-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FN FS0074                                                   | CUSIP: 3140XFCL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10537323 | PA      | $9643357.78   | 0.16%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| First Trust Exchange-Traded Fund IV                                    | First Trust Structured Credit Income Opportunities ETF      | CUSIP: 33738D770<br>LEI: 2549004N8C03JQQ2OB54 | Long             | EC               | RF                | US        |     22500 | NS      | $464625.00    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHMR 2021-P009 X                                            | CUSIP: 3137H13X2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |  31542633 | PA      | $716042.99    | 0.01%             | 2031-01-25      | Variable      | 1.37%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | G2 MA2897                                                   | CUSIP: 36179RGE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     25052 | PA      | $26344.09     | 0.00%             | 2045-03-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 2891 ZA                                                 | CUSIP: 31395K2B8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    801628 | PA      | $846075.34    | 0.01%             | 2034-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | SLST 2024-2 VF                                              | CUSIP: 35564CSK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |  23026625 | PA      | $23483875.75  | 0.38%             | 2034-10-25      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2012-120 Z                                              | CUSIP: 38378BM63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |  20582078 | PA      | $13415859.28  | 0.22%             | 2055-01-16      | Variable      | 2.46%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 5476 FA                                                 | CUSIP: 3137HHF89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |  13250541 | PA      | $13348107.40  | 0.22%             | 2054-11-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2005-3 KZ                                               | CUSIP: 38374KPT4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    288722 | PA      | $287283.14    | 0.00%             | 2035-01-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2018-4 Z                                                | CUSIP: 38380JLF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   4729826 | PA      | $2581317.44   | 0.04%             | 2059-10-16      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FN AH1141                                                   | CUSIP: 3138A2HT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60996 | PA      | $60514.84     | 0.00%             | 2040-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2012-39 PB                                              | CUSIP: 3136A4N88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    776952 | PA      | $759780.58    | 0.01%             | 2042-04-25      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2014-84 LI                                              | CUSIP: 3136AL2S9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     10791 | PA      | $73.80        | 0.00%             | 2026-12-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FN AE9959                                                   | CUSIP: 31419MB59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    344023 | PA      | $347429.38    | 0.01%             | 2041-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHMS K-154 A1                                               | CUSIP: 3137H9UC1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   4899096 | PA      | $4914468.29   | 0.08%             | 2032-02-25      | Fixed         | 4.36%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FN FA1348                                                   | CUSIP: 3140W1QA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  22185139 | PA      | $21978061.84  | 0.36%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2022-68 ZC                                              | CUSIP: 38383PF22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |  19425507 | PA      | $15258479.28  | 0.25%             | 2052-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED PASS THROUGH CERTIFICATES                       | SCRT 2018-2 MA                                              | CUSIP: 35563PFG9<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |   4068775 | PA      | $3971874.38   | 0.06%             | 2057-11-26      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                       | FR SL3824                                                   | CUSIP: 31427RHA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  19759144 | PA      | $18199613.39  | 0.30%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 2581 LL                                                 | CUSIP: 31393LYD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    465000 | PA      | $472497.10    | 0.01%             | 2033-03-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2007-60 ZS                                              | CUSIP: 31396WSC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    664175 | PA      | $659583.82    | 0.01%             | 2037-07-25      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST 2024-R04                           | CAS 2024-R04 1A1                                            | CUSIP: 20753GAA9<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |   4224650 | PA      | $4230315.77   | 0.07%             | 2044-05-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED PASS THROUGH CERTIFICATES                       | FHMS K047 X3                                                | CUSIP: 3137BKRL6<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |   8120219 | PA      | $812.83       | 0.00%             | 2043-06-25      | Variable      | 4.20%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHMS K131 XAM                                               | CUSIP: 3137H2NA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |  58530863 | PA      | $2605542.34   | 0.04%             | 2031-07-25      | Variable      | 1.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2021-18 JC                                              | CUSIP: 3136BFTY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   5912139 | PA      | $5432309.50   | 0.09%             | 2036-04-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2009-109 PZ                                             | CUSIP: 31398GTS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    325796 | PA      | $308932.77    | 0.01%             | 2040-01-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2017-46 BY                                              | CUSIP: 3136AWC96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    597364 | PA      | $441413.29    | 0.01%             | 2047-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FN 310230                                                   | CUSIP: 31374CST4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  20734012 | PA      | $19054566.57  | 0.31%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2011-63 BI                                              | CUSIP: 38377U2F4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     26668 | PA      | $114.75       | 0.00%             | 2038-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GN 737996                                                   | CUSIP: 3620AR3D1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    110397 | PA      | $105069.02    | 0.00%             | 2041-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CSMC 2020-West                                                         | CSMC 2021-RPL4 A1                                           | CUSIP: 12662GAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    397952 | PA      | $396952.41    | 0.01%             | 2060-12-27      | Variable      | 4.15%                 | No            |                  2 | On Loan: No      |
| PRPM 2026-NQM1 TRUST                                                   | PRPM 2026-NQM1 A1                                           | CUSIP: 74391DAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3409020 | PA      | $3403641.48   | 0.06%             | 2071-02-25      | Variable      | 5.13%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | G2 BF0415                                                   | CUSIP: 3617G6N86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    294491 | PA      | $293582.84    | 0.00%             | 2035-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2013-183 PB                                             | CUSIP: 38378PXC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    688000 | PA      | $656208.90    | 0.01%             | 2043-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2020-38 NF                                              | CUSIP: 3136BACY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   5648051 | PA      | $5533998.89   | 0.09%             | 2050-06-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT                   | B 0 07/23/26                                                | CUSIP: 912797TP2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10000000 | PA      | $9917172.90   | 0.16%             | 2026-07-23      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2011-74 TQ                                              | CUSIP: 3136A0JB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     95115 | PA      | $9469.72      | 0.00%             | 2033-12-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                       | FN FA5146                                                   | CUSIP: 3140W5WG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11501743 | PA      | $11410978.49  | 0.19%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2012-103 HI                                             | CUSIP: 3136A8ZJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    326569 | PA      | $3569.40      | 0.00%             | 2027-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | G2 785020                                                   | CUSIP: 3622AAPD0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    841203 | PA      | $733952.73    | 0.01%             | 2050-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FHMS K129 X1                                                | CUSIP: 3137H13R5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        | 132385811 | PA      | $5193826.32   | 0.08%             | 2031-05-25      | Variable      | 1.13%                 | No            |                  2 | On Loan: No      |
| TRK 2021-INV1 TRUST                                                    | TRK 2021-INV1 A1                                            | CUSIP: 89688WAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2334127 | PA      | $2113701.28   | 0.03%             | 2056-07-25      | Variable      | 1.15%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2024-28 CZ                                              | CUSIP: 3136BRSL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |  13053137 | PA      | $11847662.56  | 0.19%             | 2044-05-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT                   | T 2.875 11/15/46                                            | CUSIP: 912810RU4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3718000 | PA      | $2692500.09   | 0.04%             | 2046-11-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHMS K1522 A1                                               | CUSIP: 3137H4RF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   9251265 | PA      | $7935327.15   | 0.13%             | 2035-11-25      | Fixed         | 1.91%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | G2 BB4769                                                   | CUSIP: 3617AVJN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     82103 | PA      | $77279.89     | 0.00%             | 2047-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2023-44 PO                                              | CUSIP: 3136BQLA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   6484589 | PA      | $5317706.72   | 0.09%             | 2053-10-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT                   | S 0 08/15/40                                                | CUSIP: 912834JB5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  28500000 | PA      | $14103075.38  | 0.23%             | 2040-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2022-68 XA                                              | CUSIP: 38383PD40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |  14712961 | PA      | $14212693.49  | 0.23%             | 2049-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 3117 ZU                                                 | CUSIP: 31396HX79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |     86277 | PA      | $91765.05     | 0.00%             | 2036-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2012-118 IB                                             | CUSIP: 3136A92Y3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     98966 | PA      | $14349.86     | 0.00%             | 2042-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 4512 W                                                  | CUSIP: 3137BLDP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    345402 | PA      | $354024.02    | 0.01%             | 2038-05-15      | Variable      | 5.41%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2003-32 UI                                              | CUSIP: 31393BKD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     32139 | PA      | $4458.14      | 0.00%             | 2033-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 4938 BS                                                 | CUSIP: 3137FQEU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   6459937 | PA      | $756341.75    | 0.01%             | 2049-12-25      | Floating      | 2.24%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2010-115 PO                                             | CUSIP: 31398NNU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     52410 | PA      | $46024.33     | 0.00%             | 2040-04-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2016-2 EZ                                               | CUSIP: 3136ARBM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   4587286 | PA      | $4215938.34   | 0.07%             | 2046-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNMA-30YR                                                   | CUSIP: 01F030678<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4951000 | PA      | $4329318.53   | 0.07%             | 2056-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FN 888163                                                   | CUSIP: 31410FWY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39231 | PA      | $41415.05     | 0.00%             | 2033-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FN FM3003                                                   | CUSIP: 3140X6KR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  67077369 | PA      | $64491031.34  | 1.05%             | 2049-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FN 310211                                                   | CUSIP: 31374CR81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  14111116 | PA      | $12995129.20  | 0.21%             | 2048-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | G2 BB4757                                                   | CUSIP: 3617AVJA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    246858 | PA      | $234798.28    | 0.00%             | 2047-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 4193 PB                                                 | CUSIP: 3137B1HG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    826035 | PA      | $753810.88    | 0.01%             | 2043-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 2025-NQM1               | MSRM 2025-SPL1 A1                                           | CUSIP: 617946AA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3340901 | PA      | $3256736.34   | 0.05%             | 2065-02-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 4097 SA                                                 | CUSIP: 3137ATPL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   1682465 | PA      | $167404.57    | 0.00%             | 2042-08-15      | Floating      | 2.30%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2022-76 PG                                              | CUSIP: 38383RPG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |  10497937 | PA      | $10327017.72  | 0.17%             | 2052-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2008-3 FZ                                               | CUSIP: 31396YJD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    147760 | PA      | $144137.37    | 0.00%             | 2038-02-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                       | FR SD1289                                                   | CUSIP: 3132DNNE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4180191 | PA      | $3759683.54   | 0.06%             | 2050-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2011-61 WS                                              | CUSIP: 38377VQW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   3580195 | PA      | $19437.59     | 0.00%             | 2038-02-20      | Floating      | 2.69%                 | No            |                  2 | On Loan: No      |
| NY COMMERCIAL MORTGAGE TRUST 2025-299P                                 | NY 2025-299P A                                              | CUSIP: 62957FAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3230000 | PA      | $3355405.07   | 0.05%             | 2047-02-12      | Variable      | 5.85%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2018-134 KB                                             | CUSIP: 38381ATW6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |  10000000 | PA      | $9206763.00   | 0.15%             | 2048-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HOMES 2024-AFC1 TRUST                                                  | HOMES 2024-AFC1 A1                                          | CUSIP: 403945AC2<br>LEI: 2549009KYOPIDSS2IL61 | Long             | ABS-O            | CORP              | US        |   3857497 | PA      | $3866716.91   | 0.06%             | 2059-08-25      | Fixed         | 5.22%                 | No            |                  2 | On Loan: No      |
| BANK 2019-BNK23                                                        | BANK 2019-BN23 XA                                           | CUSIP: 06541RBC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7661670 | PA      | $155560.25    | 0.00%             | 2052-12-17      | Variable      | 0.80%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 5201 PF                                                 | CUSIP: 3137H6KT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |  15873717 | PA      | $15473021.16  | 0.25%             | 2052-03-25      | Floating      | 3.95%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT                   | T 2.25 08/15/46                                             | CUSIP: 912810RT7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  15562000 | PA      | $10050255.66  | 0.16%             | 2046-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 3196 ZK                                                 | CUSIP: 31397AM59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   3302830 | PA      | $3404425.98   | 0.06%             | 2032-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2020-47 FA                                              | CUSIP: 3136BATB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |  10938420 | PA      | $10712136.90  | 0.17%             | 2050-07-25      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT                   | S 0 11/15/39                                                | CUSIP: 912834EV6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  22500000 | PA      | $11673448.43  | 0.19%             | 2039-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2013-75 ZG                                              | CUSIP: 3136AFNG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |  13145010 | PA      | $11005582.27  | 0.18%             | 2043-07-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 4213 GZ                                                 | CUSIP: 3137B32M9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |  15831343 | PA      | $14991349.42  | 0.24%             | 2043-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FHMS K129 XAM                                               | CUSIP: 3137H13T1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |  43636000 | PA      | $2346063.36   | 0.04%             | 2031-05-25      | Variable      | 1.32%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 5224 BE                                                 | CUSIP: 3137H7FG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   3438053 | PA      | $3346677.52   | 0.05%             | 2044-08-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HOUSTON GALLERIA MALL TRUST 2025-HGLR                                  | HGMT 2025-HGLR A                                            | CUSIP: 44216XAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5425000 | PA      | $5558222.81   | 0.09%             | 2045-02-07      | Variable      | 5.64%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-RPL4 LLC                                                     | PRPM 2024-RPL4 A1                                           | CUSIP: 74448MAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  14052615 | PA      | $13734584.95  | 0.22%             | 2054-12-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2019-INV2                                     | JPMMT 2019-INV2 A15                                         | CUSIP: 46651DAR7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    824574 | PA      | $747794.65    | 0.01%             | 2050-02-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| STARWOOD MORTGAGE RESIDENTIAL TRUST 2022-2                             | STAR 2022-3 A1                                              | CUSIP: 85571RAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6338685 | PA      | $6323310.92   | 0.10%             | 2067-03-25      | Variable      | 4.16%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2006-61 ZA                                              | CUSIP: 38374NV20<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    231864 | PA      | $231619.05    | 0.00%             | 2036-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 3406 B                                                  | CUSIP: 31397PRT9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    123281 | PA      | $127694.95    | 0.00%             | 2038-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 3054 ZW                                                 | CUSIP: 31396CNQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   1180530 | PA      | $1240912.78   | 0.02%             | 2035-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2009-14 KS                                              | CUSIP: 38374XAM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     22535 | PA      | $628.73       | 0.00%             | 2039-03-20      | Floating      | 2.52%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                 | U.S. Treasury Bond Options                                  | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -72 | NC      | $-40500.00    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| FREDDIE MAC STRUCTURED PASS THROUGH CERTIFICATES SERIES 2020-K115      | FHMS K115 X1                                                | CUSIP: 3137FWG95<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        | 155632205 | PA      | $7137355.16   | 0.12%             | 2030-06-25      | Variable      | 1.41%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2004-37 B                                               | CUSIP: 38374GSA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     52181 | PA      | $52133.81     | 0.00%             | 2034-04-17      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BRAVO RESIDENTIAL FUNDING TRUST 2025-CES1                              | BRAVO 2025-NQM3 A1                                          | CUSIP: 105927AC1<br>LEI: 254900AZU85EXAPTTF77 | Long             | ABS-O            | CORP              | US        |    743320 | PA      | $747962.58    | 0.01%             | 2065-03-25      | Variable      | 5.57%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 3413 B                                                  | CUSIP: 31397RCQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |     68553 | PA      | $70466.38     | 0.00%             | 2037-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FN MA4271                                                   | CUSIP: 31418DW99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11337015 | PA      | $8478729.48   | 0.14%             | 2051-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FG U50165                                                   | CUSIP: 3132GHBH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    116068 | PA      | $114983.03    | 0.00%             | 2032-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GN 782810                                                   | CUSIP: 36241LDP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     27527 | PA      | $27376.65     | 0.00%             | 2039-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 2597 AE                                                 | CUSIP: 31393NTQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |      4089 | PA      | $4109.34      | 0.00%             | 2033-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | G2 BD0483                                                   | CUSIP: 3617BFRC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    210217 | PA      | $204813.49    | 0.00%             | 2047-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2018-79 IO                                              | CUSIP: 38380XDR5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   2774479 | PA      | $320828.03    | 0.01%             | 2048-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2004-28 ZH                                              | CUSIP: 31393YES0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     53507 | PA      | $53470.95     | 0.00%             | 2034-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CIM TRUST 2019-INV1                                                    | CIM 2019-INV1 A11                                           | CUSIP: 12555DAL9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    615565 | PA      | $588638.62    | 0.01%             | 2049-02-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 4546 PZ                                                 | CUSIP: 3137BMNB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    321349 | PA      | $236067.50    | 0.00%             | 2045-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2012-133 KO                                             | CUSIP: 3136AAZM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    435138 | PA      | $224647.69    | 0.00%             | 2042-12-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2011-30 ZB                                              | CUSIP: 31397SMA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    159188 | PA      | $156846.67    | 0.00%             | 2041-04-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2016-69 WI                                              | CUSIP: 38379WN99<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    621305 | PA      | $125562.68    | 0.00%             | 2046-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-RCF2 LLC                                                     | PRPM 2024-RCF2 A2                                           | CUSIP: 693987AB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7840000 | PA      | $7636388.14   | 0.12%             | 2054-03-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 5230 DL                                                 | CUSIP: 3137H7WJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   8917916 | PA      | $7705737.57   | 0.13%             | 2044-09-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2007-25 FB                                              | CUSIP: 31396VCB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |      7542 | PA      | $7447.60      | 0.00%             | 2037-04-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 5255 KZ                                                 | CUSIP: 3137H8VE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   9767374 | PA      | $8885782.43   | 0.14%             | 2052-09-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FN 310208                                                   | CUSIP: 31374CR57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13886070 | PA      | $12246366.33  | 0.20%             | 2048-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2020-62 IC                                              | CUSIP: 38382FJZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   3000000 | PA      | $603095.70    | 0.01%             | 2050-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | CAS 2024-R01 1M1                                            | CUSIP: 20753UAA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   1074802 | PA      | $1075054.97   | 0.02%             | 2044-01-25      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FH 760043                                                   | CUSIP: 31342WBL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    358883 | PA      | $361037.96    | 0.01%             | 2048-12-01      | Variable      | 5.07%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST 2016-P4                            | CGCMT 2016-P4 XA                                            | CUSIP: 29429EAF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  58185054 | PA      | $2938.35      | 0.00%             | 2049-07-12      | Variable      | 1.90%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST 2025-R03                           | CAS 2025-R02 1A1                                            | CUSIP: 20754TAB8<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |   4862956 | PA      | $4872530.84   | 0.08%             | 2045-02-27      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| ARROYO MORTGAGE TRUST 2019-2                                           | ARRW 2019-2 M1                                              | CUSIP: 042858AD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9000000 | PA      | $8732226.60   | 0.14%             | 2049-04-25      | Fixed         | 4.76%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT                   | B 0 05/26/26                                                | CUSIP: 912797TT4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  50000000 | PA      | $49875694.50  | 0.81%             | 2026-05-26      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FN BJ9100                                                   | CUSIP: 3140HBDE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    284072 | PA      | $279526.16    | 0.00%             | 2048-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FR ZS9776                                                   | CUSIP: 3132AA2H6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  20402315 | PA      | $18997677.92  | 0.31%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 4943 NS                                                 | CUSIP: 3137FQPH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   6773872 | PA      | $720068.69    | 0.01%             | 2050-01-25      | Floating      | 2.24%                 | No            |                  2 | On Loan: No      |
| GCAT 2019-NQM3 TRUST                                                   | GCAT 2025-INV5 A28                                          | CUSIP: 36173VBA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10693687 | PA      | $10750081.12  | 0.17%             | 2055-12-25      | Variable      | 5.16%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GN 638704                                                   | CUSIP: 36291URZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     57048 | PA      | $60103.60     | 0.00%             | 2036-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2020-93 NI                                              | CUSIP: 3136BDUX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   9295207 | PA      | $780774.12    | 0.01%             | 2051-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FN FS2925                                                   | CUSIP: 3140XJHB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13673907 | PA      | $12503039.39  | 0.20%             | 2048-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | G2 BB4731                                                   | CUSIP: 3617AVHG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    329469 | PA      | $309651.25    | 0.01%             | 2047-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GN 706855                                                   | CUSIP: 36297BH87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    147393 | PA      | $148402.22    | 0.00%             | 2040-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FN AS7738                                                   | CUSIP: 3138WHS45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  25536458 | PA      | $22909806.47  | 0.37%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                 | 10-Year T-Note Options                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -111 | NC      | $-27750.00    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2017-12 SD                                              | CUSIP: 38376MDW4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1536175 | PA      | $198535.76    | 0.00%             | 2047-01-20      | Floating      | 2.32%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2007-116 PB                                             | CUSIP: 31396X7A6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    158450 | PA      | $162327.01    | 0.00%             | 2035-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BRAVO RESIDENTIAL FUNDING TRUST 2021-NQM1                              | BRAVO 2021-NQM1 A3                                          | CUSIP: 10569TAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1794061 | PA      | $1708039.73   | 0.03%             | 2049-02-25      | Variable      | 1.33%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 3563 ZP                                                 | CUSIP: 31398JGX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    918798 | PA      | $911686.68    | 0.01%             | 2039-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2022-69 QL                                              | CUSIP: 38383P4G3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |  12991946 | PA      | $11355171.27  | 0.18%             | 2052-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHMS K737 X1                                                | CUSIP: 3137FQXL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |  64546758 | PA      | $96781.41     | 0.00%             | 2026-10-25      | Variable      | 0.72%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2010-38 KC                                              | CUSIP: 31398PEC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    193754 | PA      | $192995.61    | 0.00%             | 2040-04-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED PASS THROUGH CERTIFICATES SERIES 2019-K103      | FHMS K103 XAM                                               | CUSIP: 3137FQKS1<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |  59029000 | PA      | $1666952.99   | 0.03%             | 2029-11-25      | Variable      | 1.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2010-45 WB                                              | CUSIP: 31398PMS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    250334 | PA      | $253912.94    | 0.00%             | 2040-05-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GSMS TRUST 2024-FAIR                                                   | GSMS 2024-FAIR A                                            | CUSIP: 36270JAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4025000 | PA      | $4100087.18   | 0.07%             | 2029-07-15      | Variable      | 6.07%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                 | 10-Year T-Note Options                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -244 | NC      | $-3812.50     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2024-26 PO                                              | CUSIP: 3136BRVQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |  25281913 | PA      | $19752422.59  | 0.32%             | 2054-05-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | SLST 2025-2 A2                                              | CUSIP: 35564C2S5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |  29887000 | PA      | $25422808.70  | 0.41%             | 2035-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2020-12 FL                                              | CUSIP: 3136B8D30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |  12175339 | PA      | $11947523.05  | 0.19%             | 2050-03-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2009-115 HZ                                             | CUSIP: 31398GMM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     35490 | PA      | $35930.51     | 0.00%             | 2040-01-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHMS KG05 X1                                                | CUSIP: 3137FFXM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        | 158193872 | PA      | $1928320.02   | 0.03%             | 2031-01-25      | Variable      | 0.40%                 | No            |                  2 | On Loan: No      |
| BRAVO RESIDENTIAL FUNDING TRUST 2021-NQM1                              | BRAVO 2021-NQM1 A2                                          | CUSIP: 10569TAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    717624 | PA      | $683396.25    | 0.01%             | 2049-02-25      | Variable      | 1.26%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNMA-30YR                                                   | CUSIP: 01F042673<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        | -63285000 | PA      | $-60788765.58 | -0.99%            | 2056-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 4316 BZ                                                 | CUSIP: 3137B8YJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |  15872436 | PA      | $14646010.79  | 0.24%             | 2044-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2014-68 GI                                              | CUSIP: 3136ALRP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     44924 | PA      | $1939.82      | 0.00%             | 2043-10-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | G2 754384                                                   | CUSIP: 36230N2R5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     53496 | PA      | $53899.48     | 0.00%             | 2042-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                 | 5-Year T-Note Options                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -586 | NC      | $-155656.25   | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2006-31 PZ                                              | CUSIP: 31395DAL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     33101 | PA      | $34303.18     | 0.00%             | 2036-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FR SD0954                                                   | CUSIP: 3132DNBX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11986182 | PA      | $10972490.48  | 0.18%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHMS K128 XAM                                               | CUSIP: 3137FYUN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |  64367000 | PA      | $2123061.82   | 0.03%             | 2031-03-25      | Variable      | 0.83%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 2613 LL                                                 | CUSIP: 31393RFB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    615000 | PA      | $622316.29    | 0.01%             | 2033-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SKY1 TRUST 2025-LINE                                                   | SKY1 2025-LINE A                                            | CUSIP: 830941AA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1218649 | PA      | $1224108.90   | 0.02%             | 2042-04-15      | Fixed         | 6.92%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT                   | T 2.875 05/15/28                                            | CUSIP: 9128284N7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  18000000 | PA      | $17644570.38  | 0.29%             | 2028-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FN MA3123                                                   | CUSIP: 31418CPH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     80518 | PA      | $80952.03     | 0.00%             | 2047-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNMA-30YR                                                   | CUSIP: 01F052672<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  81494000 | PA      | $81733844.99  | 1.33%             | 2056-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT                   | B 0 07/16/26                                                | CUSIP: 912797TN7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10000000 | PA      | $9924395.80   | 0.16%             | 2026-07-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHMS K-1516 X1                                              | CUSIP: 3137FUZK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |  43943640 | PA      | $4523255.10   | 0.07%             | 2035-05-25      | Variable      | 1.62%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                 | U.S. Treasury Bond Options                                  | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -57 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHMS KJ24 A2                                                | CUSIP: 3137FMD74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   5731303 | PA      | $5667817.07   | 0.09%             | 2027-09-25      | Fixed         | 2.82%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2004-105 KA                                             | CUSIP: 38374KFR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    146485 | PA      | $146198.37    | 0.00%             | 2034-12-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 5232 GO                                                 | CUSIP: 3137H7YC1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   9012171 | PA      | $4082512.43   | 0.07%             | 2051-08-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GN AN4469                                                   | CUSIP: 36186G6E9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     55168 | PA      | $55713.03     | 0.00%             | 2040-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHMS KJ51 A2                                                | CUSIP: 3137HH6L0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |  11475000 | PA      | $11516446.55  | 0.19%             | 2032-01-25      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED PASS THROUGH CERTIFICATES                       | FHMS K735 X1                                                | CUSIP: 3137FMU83<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |  15639970 | PA      | $453.56       | 0.00%             | 2026-05-25      | Variable      | 1.08%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHMS K121 XAM                                               | CUSIP: 3137F83U5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |  24471000 | PA      | $1194652.20   | 0.02%             | 2030-11-25      | Variable      | 1.29%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 2564 AC                                                 | CUSIP: 31393LFT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |     53312 | PA      | $54536.07     | 0.00%             | 2033-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT                   | S 0 02/15/40                                                | CUSIP: 912834FB9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  42024000 | PA      | $21446869.82  | 0.35%             | 2040-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2008-33 XS                                              | CUSIP: 38375QFE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     53332 | PA      | $1732.16      | 0.00%             | 2038-04-16      | Floating      | 3.92%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                 | 10-Year T-Note Futures, Jun-2026,ETH                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |     -3135 | NC      | $6497423.35   | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 5508 FE                                                 | CUSIP: 3137HJGG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |  19981112 | PA      | $20284660.84  | 0.33%             | 2055-02-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHMS K736 X1                                                | CUSIP: 3137FNWZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |  35100281 | PA      | $32457.23     | 0.00%             | 2026-07-25      | Variable      | 1.37%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2020-9 SJ                                               | CUSIP: 3136B8RV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   8148585 | PA      | $964144.68    | 0.02%             | 2050-02-25      | Floating      | 2.24%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | G2 MA1162                                                   | CUSIP: 36179NJF6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     55272 | PA      | $58123.14     | 0.00%             | 2043-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 4030 IL                                                 | CUSIP: 3137APLG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |      6591 | PA      | $35.22        | 0.00%             | 2027-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION II MORTGAGE-BACKED SECURITIES | GN 487108                                                   | CUSIP: 36210BDM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     21898 | PA      | $22084.39     | 0.00%             | 2029-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNMA-30YR                                                   | CUSIP: 01F040677<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  48390000 | PA      | $45291912.51  | 0.73%             | 2056-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2010-21 KO                                              | CUSIP: 31398MUM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     92538 | PA      | $81533.42     | 0.00%             | 2040-03-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2006-117 GF                                             | CUSIP: 31396LC99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    120182 | PA      | $118891.83    | 0.00%             | 2036-12-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2009-25 SE                                              | CUSIP: 38374XSE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     52213 | PA      | $627.92       | 0.00%             | 2038-09-20      | Floating      | 3.82%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                 | Ultra U.S. Treasury Bond Options                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -225 | NC      | $-3515.63     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2016-145 LZ                                             | CUSIP: 38380BHQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    365553 | PA      | $256385.33    | 0.00%             | 2046-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2005-93 PO                                              | CUSIP: 38374MLY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    106338 | PA      | $89875.60     | 0.00%             | 2035-06-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 5004 FG                                                 | CUSIP: 3137FVAV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |  22908898 | PA      | $22372087.17  | 0.36%             | 2050-08-25      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 3585 QZ                                                 | CUSIP: 31398KHZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |     40998 | PA      | $41003.37     | 0.00%             | 2039-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2016-160 LE                                             | CUSIP: 38380B3G8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    303000 | PA      | $208769.42    | 0.00%             | 2046-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FLAGSTAR MORTGAGE TRUST 2018-2                                         | FSMT 2018-2 A4                                              | CUSIP: 33851HAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     74481 | PA      | $71031.35     | 0.00%             | 2048-04-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FN FS3541                                                   | CUSIP: 3140XJ5B5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  31514224 | PA      | $28745986.99  | 0.47%             | 2052-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 4942 FA                                                 | CUSIP: 3137FQVN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   2038424 | PA      | $2005432.35   | 0.03%             | 2050-01-25      | Floating      | 4.26%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FG G05275                                                   | CUSIP: 3128M7FQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     57294 | PA      | $58390.41     | 0.00%             | 2039-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2014-116 SB                                             | CUSIP: 38379ENH1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1792648 | PA      | $139033.86    | 0.00%             | 2044-08-20      | Floating      | 1.82%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                 | U.S. Treasury Bond Options                                  | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -394 | NC      | $-788000.00   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2010-157 OP                                             | CUSIP: 38377NF41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    397352 | PA      | $344083.76    | 0.01%             | 2040-12-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FN CA2947                                                   | CUSIP: 3140QAHZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2779370 | PA      | $2646737.65   | 0.04%             | 2048-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2004-88 SM                                              | CUSIP: 38374JPK6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     93839 | PA      | $442.97       | 0.00%             | 2034-10-16      | Floating      | 2.32%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2018-170 Z                                              | CUSIP: 38380MYS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |  27053819 | PA      | $19668288.67  | 0.32%             | 2060-11-16      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 5222 DP                                                 | CUSIP: 3137H7AV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   5243385 | PA      | $5066656.59   | 0.08%             | 2052-05-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| EFMT 2026-AE1                                                          | EFMT 2026-AE1 A29                                           | CUSIP: 26846NBB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1281014 | PA      | $1281929.27   | 0.02%             | 2060-11-25      | Variable      | 4.81%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST 2024-DNA2                                | STACR 2024-DNA2 A1                                          | CUSIP: 35564NCW1<br>LEI: 529900GRKKKHILZX4347 | Long             | ABS-O            | USGSE             | US        |   5639721 | PA      | $5665053.81   | 0.09%             | 2044-05-25      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT                   | S 0 11/15/40                                                | CUSIP: 912834JH2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  28300000 | PA      | $13785484.11  | 0.22%             | 2040-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2015-95 IK                                              | CUSIP: 38379NPR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |      2457 | PA      | $0.00         | 0.00%             | 2037-05-16      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHMS KJ47 A2                                                | CUSIP: 3137HAMP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |  10000000 | PA      | $10322790.00  | 0.17%             | 2031-06-25      | Variable      | 5.43%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                 | Ultra 10-Year U.S. Treasury Note Options                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -90 | NC      | $-26718.75    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                 | 5-Year T-Note Futures, Jun-2026,ETH                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |     -2881 | NC      | $3286010.91   | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| OBX 2026-J1 TRUST                                                      | OBX 2026-J1 AF                                              | CUSIP: 67123TAU1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5604079 | PA      | $5612353.49   | 0.09%             | 2056-01-25      | Variable      | 5.01%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED PASS THROUGH CERTIFICATES SERIES 2020-K120      | FHMS K120 XAM                                               | CUSIP: 3137F72T1<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |  77535017 | PA      | $3766938.01   | 0.06%             | 2030-10-25      | Variable      | 1.31%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2022-204 YC                                             | CUSIP: 38383LNJ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |  10173000 | PA      | $9390310.74   | 0.15%             | 2052-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNMA-15YR                                                   | CUSIP: 01F040461<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8731000 | PA      | $8503116.53   | 0.14%             | 2040-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 4587 ZH                                                 | CUSIP: 3137BQBX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   8183689 | PA      | $7733860.49   | 0.13%             | 2044-03-15      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FR SD0949                                                   | CUSIP: 3132DNBS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  16637627 | PA      | $15200012.65  | 0.25%             | 2048-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                       | FN FA5031                                                   | CUSIP: 3140W5SV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  23571729 | PA      | $21725944.94  | 0.35%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNMA-30YR                                                   | CUSIP: 01F030660<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  14083000 | PA      | $12323443.93  | 0.20%             | 2056-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHMR 2020-RR02 DX                                           | CUSIP: 3137FQY23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |  79276000 | PA      | $2782143.65   | 0.05%             | 2028-09-27      | Variable      | 1.82%                 | No            |                  2 | On Loan: No      |
| EFMT 2025-NQM3                                                         | EFMT 2025-NQM6 A1                                           | CUSIP: 281916AE6<br>LEI: 2549007I2BIJP4S0O647 | Long             | ABS-O            | CORP              | US        |   2882907 | PA      | $2875925.44   | 0.05%             | 2070-12-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                 | 5-Year T-Note Options                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -720 | NC      | $-703125.36   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHMS K-1512 X1                                              | CUSIP: 3137FMTU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        | 155146029 | PA      | $7446140.59   | 0.12%             | 2034-04-25      | Variable      | 1.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNMA-30YR                                                   | CUSIP: 01F052664<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  94493000 | PA      | $94867072.27  | 1.54%             | 2056-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 3714 PB                                                 | CUSIP: 3137A0XA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    550000 | PA      | $543376.35    | 0.01%             | 2040-08-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 5004 F                                                  | CUSIP: 3137FVAT9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |  29879517 | PA      | $29123078.25  | 0.47%             | 2050-07-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FG G15949                                                   | CUSIP: 3128MEZN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       438 | PA      | $437.14       | 0.00%             | 2029-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2015-16 MY                                              | CUSIP: 3136ANAM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   1867000 | PA      | $1595468.19   | 0.03%             | 2045-04-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2009-79 OK                                              | CUSIP: 38376CXX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     58394 | PA      | $48705.44     | 0.00%             | 2037-11-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2025-B33RP                       | WFCM 2025-B33RP A                                           | CUSIP: 95004RAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5100000 | PA      | $5102699.94   | 0.08%             | 2042-08-15      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FN AI9124                                                   | CUSIP: 3138APD62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1026883 | PA      | $989368.13    | 0.02%             | 2042-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHMS K130 X1                                                | CUSIP: 3137H1YX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |  66360633 | PA      | $2913364.49   | 0.05%             | 2031-06-25      | Variable      | 1.14%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                 | U.S. Treasury Bond Futures, Jun-2026,ETH                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |     -2524 | NC      | $4861154.25   | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 4387 IE                                                 | CUSIP: 3137BDZM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    400195 | PA      | $5429.76      | 0.00%             | 2028-11-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FR ZA4196                                                   | CUSIP: 31329MUV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8129887 | PA      | $7431333.84   | 0.12%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2013-20 QM                                              | CUSIP: 38378F3M0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   2223000 | PA      | $1873053.34   | 0.03%             | 2043-02-16      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2014-44 ID                                              | CUSIP: 38379AWF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   3970293 | PA      | $33629.18     | 0.00%             | 2044-03-16      | Variable      | 0.32%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                       | FG Q61217                                                   | CUSIP: 3132VMK79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1406726 | PA      | $1340877.73   | 0.02%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 2437 SA                                                 | CUSIP: 31339WW85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |     34316 | PA      | $1520.50      | 0.00%             | 2029-01-15      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2005-41 PA                                              | CUSIP: 38374LCL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     58294 | PA      | $57712.10     | 0.00%             | 2035-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | G2 BB1216                                                   | CUSIP: 3617ARK55<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    641290 | PA      | $624801.69    | 0.01%             | 2047-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 4980 FP                                                 | CUSIP: 3137FTJK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   3966760 | PA      | $3883302.02   | 0.06%             | 2049-07-25      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2025-32 FD                                              | CUSIP: 3136BVXE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   5445180 | PA      | $5521140.88   | 0.09%             | 2055-05-25      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                 | U.S. Treasury Bond Options                                  | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -108 | NC      | $-124875.00   | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT                   | B 0 05/05/26                                                | CUSIP: 912797TL1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  50000000 | PA      | $49980361.00  | 0.81%             | 2026-05-05      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2025-60 EZ                                              | CUSIP: 3136BW2X3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   7284096 | PA      | $6035969.00   | 0.10%             | 2048-07-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2009-61 WQ                                              | CUSIP: 38376FJN3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   5010906 | PA      | $396380.22    | 0.01%             | 2035-11-16      | Floating      | 2.47%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FN 788149                                                   | CUSIP: 31405FTE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     85475 | PA      | $86627.04     | 0.00%             | 2033-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multiclass Certifi                                         | Freddie Mac Multiclass Certificates Series 2015-P001        | CUSIP: 3137H1M86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        | 100924000 | PA      | $3311911.89   | 0.05%             | 2028-10-27      | Variable      | 1.90%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT                   | T 2.25 08/15/49                                             | CUSIP: 912810SJ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2000000 | PA      | $1230312.50   | 0.02%             | 2049-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | SLST 2019-2 A1C                                             | CUSIP: 35564CCZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |  11839366 | PA      | $11335617.39  | 0.18%             | 2029-09-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHMS K116 X1                                                | CUSIP: 3137FWHV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |  70619985 | PA      | $3395698.41   | 0.06%             | 2030-07-25      | Variable      | 1.51%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2007-57 ZG                                              | CUSIP: 31396WKF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    936698 | PA      | $914627.37    | 0.01%             | 2037-06-25      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FG H09034                                                   | CUSIP: 3128UNBB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1857 | PA      | $1869.52      | 0.00%             | 2037-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                 | 2-Year T-Note Options                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -838 | NC      | $-602312.50   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNMA-30YR                                                   | CUSIP: 01F022667<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2076000 | PA      | $1737952.01   | 0.03%             | 2056-06-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2016-20 FN                                              | CUSIP: 38379VEB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   8120295 | PA      | $7982670.06   | 0.13%             | 2046-02-20      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 5221 YC                                                 | CUSIP: 3137H7EX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |  33673000 | PA      | $31276095.25  | 0.51%             | 2052-05-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2007-41 OL                                              | CUSIP: 38375KWU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     55993 | PA      | $47860.64     | 0.00%             | 2037-07-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2022-146 MF                                             | CUSIP: 38383UTR1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   7043387 | PA      | $6942506.02   | 0.11%             | 2052-08-20      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FG Q07479                                                   | CUSIP: 3132GSUC1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11900 | PA      | $11238.53     | 0.00%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMIC TRUST 2007-W1                                         | FNW 2007-W10 3A                                             | CUSIP: 31396XD43<br>LEI: 5493006KCWOV61WOTM60 | Long             | ABS-O            | USGSE             | US        |   1492982 | PA      | $1501440.81   | 0.02%             | 2047-06-25      | Variable      | 5.48%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2023-169 EO                                             | CUSIP: 38384DK63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   6880056 | PA      | $5618974.50   | 0.09%             | 2053-05-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2025-153 IO                                             | CUSIP: 38383JCQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |  69668180 | PA      | $5227008.45   | 0.08%             | 2067-09-16      | Variable      | 0.85%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 3820 NC                                                 | CUSIP: 3137A8AM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   2025525 | PA      | $2010244.14   | 0.03%             | 2041-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                 | U.S. Treasury Bond Options                                  | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -228 | NC      | $-3562.50     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2022-68 Z                                               | CUSIP: 38383PN49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |  14447945 | PA      | $11738498.94  | 0.19%             | 2052-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| OBX 2026-NQM2 TRUST                                                    | OBX 2026-NQM4 A1LC                                          | CUSIP: 67124FAC0<br>LEI: 2549007DTHVTGCMU8X03 | Long             | ABS-O            | CORP              | US        |   9245000 | PA      | $9250304.78   | 0.15%             | 2066-02-25      | Variable      | 5.23%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 4919 FP                                                 | CUSIP: 3137FP5D3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   8039428 | PA      | $7888860.10   | 0.13%             | 2049-09-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FN 190371                                                   | CUSIP: 31368HMU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21381 | PA      | $22719.91     | 0.00%             | 2036-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNS 362 13                                                  | CUSIP: 3136FCWD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41590 | PA      | $5424.24      | 0.00%             | 2035-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FG N70075                                                   | CUSIP: 31281LCL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     57366 | PA      | $57216.43     | 0.00%             | 2035-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2022-90 KZ                                              | CUSIP: 38383RC96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |  15577930 | PA      | $11769624.83  | 0.19%             | 2051-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 5445 BS                                                 | CUSIP: 3137HDVT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |  11532776 | PA      | $10496490.44  | 0.17%             | 2054-08-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2012-146 QA                                             | CUSIP: 3136ABFP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    663937 | PA      | $576851.29    | 0.01%             | 2043-01-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FN FA1641                                                   | CUSIP: 3140W1ZF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  15848288 | PA      | $15582726.74  | 0.25%             | 2050-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                 | U.S. Treasury Bond Options                                  | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -18 | NC      | $-14625.00    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2013-10 HQ                                              | CUSIP: 3136ACCG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    690000 | PA      | $479714.43    | 0.01%             | 2043-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| EXETER SELECT AUTOMOBILE RECEIVABLES TRUST 2025-1                      | ESART 2025-1 D                                              | CUSIP: 30185AAF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4250000 | PA      | $4355976.30   | 0.07%             | 2031-09-15      | Fixed         | 6.14%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FN AL3093                                                   | CUSIP: 3138EKNK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    291673 | PA      | $273835.98    | 0.00%             | 2043-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2018-BILT                                                     | BX 2026-CSMO A                                              | CUSIP: 12433LAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3410000 | PA      | $3417118.03   | 0.06%             | 2031-02-15      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                               | JPMMT 2025-5MPR A1C                                         | CUSIP: 46593VAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $2997777.90   | 0.05%             | 2055-11-25      | Variable      | 5.82%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 4902 FB                                                 | CUSIP: 3137FN3E8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   2713357 | PA      | $2663711.70   | 0.04%             | 2049-08-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | G2 MA5714                                                   | CUSIP: 36179UK35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1134535 | PA      | $1185530.44   | 0.02%             | 2049-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FN FS2127                                                   | CUSIP: 3140XHLH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  20098581 | PA      | $18764446.50  | 0.30%             | 2048-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED PASS THROUGH CERTIFICATES SERIES 2019-K99       | FHMS K099 XAM                                               | CUSIP: 3137FPJL0<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |  57790000 | PA      | $1941163.79   | 0.03%             | 2029-09-25      | Variable      | 1.26%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FN FS1884                                                   | CUSIP: 3140XHCW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6697181 | PA      | $6438232.43   | 0.10%             | 2042-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                            | U.S. Treasury Bond Options                                  | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -139 | NC      | $-330125.00   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT                   | S 0 05/15/37                                                | CUSIP: 912833Y46<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8600000 | PA      | $5181330.06   | 0.08%             | 2037-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2024-91 FL                                              | CUSIP: 3136BTZJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |  30079246 | PA      | $30447864.64  | 0.49%             | 2054-12-25      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2024-181 FQ                                             | CUSIP: 38384X5M1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |  10985734 | PA      | $11080942.78  | 0.18%             | 2054-11-20      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2006-85 MZ                                              | CUSIP: 31396KB50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     23748 | PA      | $24940.99     | 0.00%             | 2036-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED PASS THROUGH CERTIFICATES                       | SCRT 2019-3 HA                                              | CUSIP: 35563PLC1<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |   8404631 | PA      | $7915815.49   | 0.13%             | 2058-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2022-68 DZ                                              | CUSIP: 38383PP62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   8030066 | PA      | $6233849.76   | 0.10%             | 2052-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2024-39 AV                                              | CUSIP: 3136BSDB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   4406311 | PA      | $4185478.21   | 0.07%             | 2033-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2013-106 KN                                             | CUSIP: 3136AGC91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    195852 | PA      | $157824.12    | 0.00%             | 2043-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FN 871039                                                   | CUSIP: 31409GV86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27052 | PA      | $27112.23     | 0.00%             | 2037-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHMS K740 XAM                                               | CUSIP: 3137F72F1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |  70811000 | PA      | $987749.72    | 0.02%             | 2027-10-25      | Variable      | 1.20%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                 | 10-Year T-Note Options                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -76 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Federal National Mortgage Association                                  | FNR 2018-72 FB                                              | CUSIP: 3136B27D8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   2232244 | PA      | $2162963.08   | 0.04%             | 2058-10-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FN AQ9999                                                   | CUSIP: 3138MSDD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    163720 | PA      | $149762.69    | 0.00%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 4639 HZ                                                 | CUSIP: 3137BTEH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |  13230934 | PA      | $11039920.16  | 0.18%             | 2053-04-15      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FG C03458                                                   | CUSIP: 31292KZX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6556 | PA      | $6647.81      | 0.00%             | 2040-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FN BJ9111                                                   | CUSIP: 3140HBDR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    200176 | PA      | $197233.23    | 0.00%             | 2048-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 5222 BZ                                                 | CUSIP: 3137H7AS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   5601782 | PA      | $5242673.29   | 0.09%             | 2037-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2006-15 IS                                              | CUSIP: 31395BVS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     20489 | PA      | $2088.97      | 0.00%             | 2036-03-25      | Floating      | 2.82%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FHMS K744 X1                                                | CUSIP: 3137H1Z58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        | 102778955 | PA      | $1697641.11   | 0.03%             | 2028-07-25      | Variable      | 0.96%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FR ZS9446                                                   | CUSIP: 3132AAP73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  14993933 | PA      | $14068742.72  | 0.23%             | 2045-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 5210 LB                                                 | CUSIP: 3137H6ZG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   9750000 | PA      | $7615875.15   | 0.12%             | 2050-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                 | 2-Year T-Note Options                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -18 | NC      | $-2531.27     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FN BM6429                                                   | CUSIP: 3140JBEB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8018199 | PA      | $7071720.70   | 0.11%             | 2048-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2018-C47                         | WFCM 2018-C47 AS                                            | CUSIP: 95002DBR9<br>LEI: 549300VHRKFNCWVN9Y77 | Long             | ABS-O            | CORP              | US        |   3519700 | PA      | $3490346.05   | 0.06%             | 2061-09-16      | Variable      | 4.67%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | G2 736317                                                   | CUSIP: 3620AQAS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    348529 | PA      | $342100.28    | 0.01%             | 2036-06-20      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2024-74 VT                                              | CUSIP: 3136BS3A1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   2067159 | PA      | $2043388.47   | 0.03%             | 2035-11-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2012-52 BZ                                              | CUSIP: 3136A6AH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    285648 | PA      | $270849.99    | 0.00%             | 2042-05-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 3895 PW                                                 | CUSIP: 3137ACW96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   1131275 | PA      | $1123800.43   | 0.02%             | 2041-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 4015 KB                                                 | CUSIP: 3137ANCR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |     11352 | PA      | $10569.35     | 0.00%             | 2041-05-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT                   | T 2 02/15/50                                                | CUSIP: 912810SL3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6361000 | PA      | $3661550.63   | 0.06%             | 2050-02-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                               | JP Morgan Mortgage Trust 2004-S2                            | CUSIP: 466247JX2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3029 | PA      | $2941.68      | 0.00%             | 2019-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Super 30Y Fixed                                                  | FR SL2533                                                   | CUSIP: 31427PY73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        | 112124797 | PA      | $105975387.67 | 1.72%             | 2049-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                 | 5-Year T-Note Options                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -197 | NC      | $-38476.66    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                 | Ultra U.S. Treasury Bond Options                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -144 | NC      | $-175500.00   | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| NYO COMMERCIAL MORTGAGE TRUST 2021-1290                                | NYO 2021-1290 A                                             | CUSIP: 62955HAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5300000 | PA      | $5298223.97   | 0.09%             | 2038-11-15      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2006-20 PI                                              | CUSIP: 31395BW33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    151881 | PA      | $6296.66      | 0.00%             | 2030-11-25      | Floating      | 2.92%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2019-18 FL                                              | CUSIP: 3136B4PW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   6626152 | PA      | $6534898.20   | 0.11%             | 2049-05-25      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2019-41 SN                                              | CUSIP: 3136B5SZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   8544825 | PA      | $720068.15    | 0.01%             | 2049-08-25      | Floating      | 2.29%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2018-CH1                                        | SEMT 2018-CH1 B1B                                           | CUSIP: 81747DCC1<br>LEI: 549300ZUG1L9OO3W6B29 | Long             | ABS-O            | CORP              | US        |   4205080 | PA      | $4045486.35   | 0.07%             | 2048-03-25      | Variable      | 4.42%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2016-83 BP                                              | CUSIP: 38379XMH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   7231381 | PA      | $6041711.80   | 0.10%             | 2046-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FN AI6093                                                   | CUSIP: 3138AKXX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50131 | PA      | $50197.91     | 0.00%             | 2031-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT GRANTOR TRUST 2024-10                                   | PAID 2024-10 A                                              | CUSIP: 69544MAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2360823 | PA      | $2367960.56   | 0.04%             | 2032-06-15      | Fixed         | 5.18%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FN 747097                                                   | CUSIP: 31403E7J0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9967 | PA      | $9995.36      | 0.00%             | 2029-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2005-29 ZT                                              | CUSIP: 31394DGJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     71582 | PA      | $69784.01     | 0.00%             | 2035-04-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                 | U.S. Treasury Bond Options                                  | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -185 | NC      | $-72265.63    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FN 890556                                                   | CUSIP: 31410LMD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    458563 | PA      | $450485.57    | 0.01%             | 2043-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BANK 2022-BNK43                                                        | BANK 2022-BNK43 ASB                                         | CUSIP: 06541QAT2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3450000 | PA      | $3438724.02   | 0.06%             | 2055-08-17      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2013-194 AE                                             | CUSIP: 38378NNC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |      3623 | PA      | $3447.57      | 0.00%             | 2044-11-16      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| OBX 2021-NQM4 TRUST                                                    | OBX 2021-NQM4 A1                                            | CUSIP: 67115DAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4976693 | PA      | $4274978.50   | 0.07%             | 2061-10-25      | Fixed         | 1.96%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FG G02017                                                   | CUSIP: 3128LXG20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    123687 | PA      | $125411.32    | 0.00%             | 2035-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2003-71 NH                                              | CUSIP: 31393EHE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    355000 | PA      | $347980.51    | 0.01%             | 2033-08-25      | Fixed         | 4.29%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2016-75 SA                                              | CUSIP: 38379YEV6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1613863 | PA      | $124674.14    | 0.00%             | 2040-05-20      | Floating      | 2.22%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2018-78I EZ                                             | CUSIP: 38380XHF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   5757804 | PA      | $5261695.06   | 0.09%             | 2048-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHS 303 C2                                                  | CUSIP: 31325UDY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     27281 | PA      | $380.06       | 0.00%             | 2028-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PRPM 2025-NQM6 TRUST                                                   | PRPM 2025-NQM6 A1                                           | CUSIP: 69383RAF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1954444 | PA      | $1945775.57   | 0.03%             | 2070-12-25      | Variable      | 4.99%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                 | U.S. Treasury Bond Options                                  | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -70 | NC      | $-18593.75    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2024-32 IO                                              | CUSIP: 38381J2J5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |  49596181 | PA      | $2604042.55   | 0.04%             | 2063-06-16      | Variable      | 0.70%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT                   | S 0 05/15/36                                                | CUSIP: 912833Y20<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9185000 | PA      | $5850711.91   | 0.09%             | 2036-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNMA-30YR                                                   | CUSIP: 01F032666<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  52967000 | PA      | $48186501.55  | 0.78%             | 2056-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2019-128 EF                                             | CUSIP: 38382AEN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   7148210 | PA      | $6611867.53   | 0.11%             | 2049-10-20      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2011-151 TB                                             | CUSIP: 38378ACU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     25039 | PA      | $2117.33      | 0.00%             | 2041-04-20      | Floating      | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2020-169 Z                                              | CUSIP: 38380RFV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   9382547 | PA      | $3247702.44   | 0.05%             | 2062-06-16      | Fixed         | 1.83%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FN 953115                                                   | CUSIP: 31413RK47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     75483 | PA      | $77120.44     | 0.00%             | 2038-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 4910 SA                                                 | CUSIP: 3137FNHT0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   5189993 | PA      | $615660.88    | 0.01%             | 2049-06-15      | Floating      | 2.30%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2022-66 CF                                              | CUSIP: 3136BN6P6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |  33614785 | PA      | $33354596.90  | 0.54%             | 2052-10-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 4609 YI                                                 | CUSIP: 3137BRGT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |     42787 | PA      | $554.64       | 0.00%             | 2054-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                            | 5-Year T-Note Options                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -36 | NC      | $-25031.27    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT                   | B 0 06/25/26                                                | CUSIP: 912797TE7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  20000000 | PA      | $19889282.00  | 0.32%             | 2026-06-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2013-52 MD                                              | CUSIP: 3136AEJ24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    386748 | PA      | $329244.55    | 0.01%             | 2043-06-25      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FNR 2024-60 VA                                              | CUSIP: 3136BSQ65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   4983980 | PA      | $4946071.85   | 0.08%             | 2035-10-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2018-84 ZM                                              | CUSIP: 3136B3MR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |  23028975 | PA      | $21590670.65  | 0.35%             | 2048-11-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2022-139 AL                                             | CUSIP: 38383M3M8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |  23600000 | PA      | $21696145.52  | 0.35%             | 2051-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FG G60194                                                   | CUSIP: 31335AGB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    141498 | PA      | $132210.96    | 0.00%             | 2045-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 2973 GE                                                 | CUSIP: 31395TYA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    773611 | PA      | $794274.05    | 0.01%             | 2035-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2012-143 TI                                             | CUSIP: 38378GZP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    358477 | PA      | $3402.05      | 0.00%             | 2027-12-16      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2019-128 ES                                             | CUSIP: 38382AEP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1624593 | PA      | $11974.88     | 0.00%             | 2049-10-20      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| OBX 2018-EXP1 TRUST                                                    | OBX 2018-EXP1 1A3                                           | CUSIP: 67097VAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    450870 | PA      | $430130.39    | 0.01%             | 2048-04-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                 | U.S. Treasury Bond Options                                  | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -61 | NC      | $-84828.13    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2013-43 IX                                              | CUSIP: 3136ADZ44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    698932 | PA      | $125995.38    | 0.00%             | 2043-05-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FN 735415                                                   | CUSIP: 31402RAQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    139512 | PA      | $145157.12    | 0.00%             | 2032-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT                   | WIB 0 06/18/26                                              | CUSIP: 912797TD9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  20000000 | PA      | $19903916.60  | 0.32%             | 2026-06-18      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT                   | S 0 02/15/41                                                | CUSIP: 912834JP4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  25825000 | PA      | $12387722.05  | 0.20%             | 2041-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2004-68 ZC                                              | CUSIP: 38374HVU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     21355 | PA      | $21427.86     | 0.00%             | 2034-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FHMS K741 XAM                                               | CUSIP: 3137FF4B0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        | 107703000 | PA      | $1362137.07   | 0.02%             | 2027-12-25      | Variable      | 1.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHMS K101 X1                                                | CUSIP: 3137FQ4B6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |  67154641 | PA      | $1660693.97   | 0.03%             | 2029-10-25      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FR SD0844                                                   | CUSIP: 3132DM5D3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9805031 | PA      | $9206685.26   | 0.15%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 2626 ZX                                                 | CUSIP: 31393VKV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    681154 | PA      | $672387.39    | 0.01%             | 2033-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 4605 KS                                                 | CUSIP: 3137BR2M6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    136619 | PA      | $75253.60     | 0.00%             | 2043-08-15      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                 | 2-Year T-Note Options                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -290 | NC      | $-77031.54    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2010-85 SL                                              | CUSIP: 38374Y6D0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    689538 | PA      | $16508.58     | 0.00%             | 2037-07-20      | Floating      | 2.82%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2015-2                             | NRZT 2015-2A B1                                             | CUSIP: 64829EAF1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2473673 | PA      | $2456169.85   | 0.04%             | 2055-08-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHMS K116 XAM                                               | CUSIP: 3137FWHX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |  55652865 | PA      | $3381584.95   | 0.05%             | 2030-08-25      | Variable      | 1.70%                 | No            |                  2 | On Loan: No      |
| PRPM 2025-RCF6 LLC                                                     | PRPM 2025-RCF6 A1                                           | CUSIP: 69393BAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2678892 | PA      | $2657294.94   | 0.04%             | 2055-12-25      | Variable      | 4.99%                 | No            |                  2 | On Loan: No      |
| MELLO MORTGAGE CAPITAL ACCEPTANCE 2018-MTG2                            | MELLO 2018-MTG2 A9                                          | CUSIP: 585499AJ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3487748 | PA      | $3337166.54   | 0.05%             | 2048-10-25      | Variable      | 4.31%                 | No            |                  2 | On Loan: No      |
| First Trust Exchange-Traded Fund IV                                    | First Trust AAA CMBS ETF                                    | CUSIP: 33738D762<br>LEI: 254900TMRGSMLWIAPA66 | Long             | EC               | RF                | US        |     20000 | NS      | $406442.00    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 4021 IP                                                 | CUSIP: 3137AMGA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |     25680 | PA      | $189.87       | 0.00%             | 2027-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2022-106 Z                                              | CUSIP: 38381HJA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |  20665093 | PA      | $11871883.27  | 0.19%             | 2063-05-16      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT TRUST 2025-4                                            | PAID 2025-4 A2                                              | CUSIP: 69547DAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3229004 | PA      | $3248850.19   | 0.05%             | 2033-01-18      | Fixed         | 5.37%                 | No            |                  2 | On Loan: No      |
| HOMES 2025-AFC1 TRUST                                                  | HOMES 2025-AFC4 A1                                          | CUSIP: 43762DAC3<br>LEI: 2549006ZK3R8WZLA9S73 | Long             | ABS-O            | CORP              | US        |   2739495 | PA      | $2739434.66   | 0.04%             | 2060-11-25      | Variable      | 5.15%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                 | 5-Year T-Note Options                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -403 | NC      | $-239281.25   | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2013-74 AG                                              | CUSIP: 38378KSU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     85344 | PA      | $71437.23     | 0.00%             | 2053-12-16      | Variable      | 2.55%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2025-206 IO                                             | CUSIP: 38383JCS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        | 197873544 | PA      | $11955756.98  | 0.19%             | 2064-04-16      | Variable      | 0.80%                 | No            |                  2 | On Loan: No      |
| PFS FINANCING CORP                                                     | PFSFC 2025-C A                                              | CUSIP: 69335PFW0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2500000 | PA      | $2509491.50   | 0.04%             | 2029-04-16      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 2089 PJ                                                 | CUSIP: 3133TGKG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |       216 | PA      | $9.51         | 0.00%             | 2028-10-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| CSAIL 2017-CX10 COMMERCIAL MORTGAGE TRUST                              | CSAIL 2020-C19 XA                                           | CUSIP: 12597NAU7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  55687498 | PA      | $1751449.79   | 0.03%             | 2053-03-17      | Variable      | 1.21%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2015-3                                       | TPMT 2019-1 A1                                              | CUSIP: 89177BAA3<br>LEI: 549300ZHISOOIT5VZP03 | Long             | ABS-O            | CORP              | US        |   5355142 | PA      | $5215601.36   | 0.08%             | 2058-03-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2011-111 PZ                                             | CUSIP: 3136A2HE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   2102120 | PA      | $2056903.65   | 0.03%             | 2041-11-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GN 711483                                                   | CUSIP: 36297GM80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    154324 | PA      | $149808.20    | 0.00%             | 2040-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GN 604897                                                   | CUSIP: 36200M7J6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     36343 | PA      | $36397.54     | 0.00%             | 2033-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2011-105 MB                                             | CUSIP: 3136A1MS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    750000 | PA      | $673630.58    | 0.01%             | 2041-10-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                 | U.S. Treasury Bond Options                                  | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -296 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 5221 VE                                                 | CUSIP: 3137H7EW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   5064581 | PA      | $4865860.14   | 0.08%             | 2033-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                       | FR SL1390                                                   | CUSIP: 31427NRL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  13778021 | PA      | $13141846.23  | 0.21%             | 2050-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GN 604338                                                   | CUSIP: 36200MLT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     49351 | PA      | $49913.30     | 0.00%             | 2033-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNMA-30YR                                                   | CUSIP: 01F032674<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |  -4090000 | PA      | $-3716706.07  | -0.06%            | 2056-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2009-106 SL                                             | CUSIP: 38376JCQ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   2071629 | PA      | $57793.49     | 0.00%             | 2036-04-20      | Floating      | 2.32%                 | No            |                  2 | On Loan: No      |
| OBX 2025-NQM6 TRUST                                                    | OBX 2025-NQM6 A1                                            | CUSIP: 67448UAA0<br>LEI: 254900W46UQEWQMYYZ02 | Long             | ABS-O            | CORP              | US        |   1799274 | PA      | $1813739.29   | 0.03%             | 2065-03-25      | Variable      | 5.60%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2005-78 ZA                                              | CUSIP: 38374MBY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1124673 | PA      | $1122121.23   | 0.02%             | 2035-10-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2018-86 DL                                              | CUSIP: 3136B3TV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   2815584 | PA      | $2601970.73   | 0.04%             | 2048-12-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2025-4 FY                                               | CUSIP: 38385CCE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   4528955 | PA      | $4568301.66   | 0.07%             | 2055-01-20      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                       | FHR 4974 IA                                                 | CUSIP: 3137FTF28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   2515155 | PA      | $621531.77    | 0.01%             | 2049-12-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                 | Ultra U.S. Treasury Bond Options                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -19 | NC      | $-32656.25    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| WINWATER MORTGAGE LOAN TRUST 2016-1                                    | WIN 2016-1 B1                                               | CUSIP: 97655JCB6<br>LEI: 5493007FSEV8PHXVE122 | Long             | ABS-O            | CORP              | US        |   2509671 | PA      | $2409170.48   | 0.04%             | 2046-01-20      | Variable      | 3.87%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FN FM2972                                                   | CUSIP: 3140X6JS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  58203759 | PA      | $56091946.77  | 0.91%             | 2044-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2018-123 Z                                              | CUSIP: 38380MLC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |  18915708 | PA      | $13875402.47  | 0.23%             | 2060-06-16      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FG U99096                                                   | CUSIP: 3132H7DA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     77824 | PA      | $77262.53     | 0.00%             | 2044-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2013-119 ZB                                             | CUSIP: 3136AHFX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |  27776484 | PA      | $26680460.07  | 0.43%             | 2033-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | SLST 2019-3 A1C                                             | CUSIP: 35564CEE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   2914657 | PA      | $2773483.73   | 0.05%             | 2029-11-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST 2024-HQA1                                | STACR 2024-HQA1 M2                                          | CUSIP: 35564NCA9<br>LEI: 529900PGKDI4ZEXFQ523 | Long             | ABS-O            | USGSE             | US        |   8000000 | PA      | $8061860.80   | 0.13%             | 2044-03-25      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 5034 IO                                                 | CUSIP: 3137F6JT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   7743900 | PA      | $650918.93    | 0.01%             | 2045-10-15      | Variable      | 2.38%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GN 605389                                                   | CUSIP: 36200NRJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     47529 | PA      | $47874.70     | 0.00%             | 2034-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED PASS THROUGH CERTIFICATES                       | SCRT 2019-2 MA                                              | CUSIP: 35563PKG3<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |  15940393 | PA      | $15363854.93  | 0.25%             | 2058-08-26      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                 | Ultra 10-Year U.S. Treasury Note Futures, Jun-2026,ETH      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |     -9630 | NC      | $23204676.22  | 0.38%             |  |  |  | No            |                  1 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2010-142 DL                                             | CUSIP: 31398SKS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   2821000 | PA      | $2710277.44   | 0.04%             | 2040-12-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2002-22 G                                               | CUSIP: 31392CDZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |      2800 | PA      | $2907.14      | 0.00%             | 2032-04-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| PRPM 2025-RPL4 LLC                                                     | PRPM 2025-RPL4 A1                                           | CUSIP: 74448NAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4963737 | PA      | $4722895.20   | 0.08%             | 2055-05-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2003-14 AT                                              | CUSIP: 31392JGL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |       739 | PA      | $735.71       | 0.00%             | 2033-03-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2009-94 AL                                              | CUSIP: 38376K2G5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     55415 | PA      | $57022.62     | 0.00%             | 2039-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FG A47828                                                   | CUSIP: 3128K8VV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    208592 | PA      | $202426.17    | 0.00%             | 2035-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COREVEST AMERICAN FINANCE 2021-2 TRUST                                 | CAFL 2021-2 A                                               | CUSIP: 21873BAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    831328 | PA      | $811536.97    | 0.01%             | 2054-07-17      | Fixed         | 1.41%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 5478 NF                                                 | CUSIP: 3137HHSZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |  26383151 | PA      | $26680167.50  | 0.43%             | 2054-12-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 3031 BI                                                 | CUSIP: 31396AAK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |     56683 | PA      | $5007.23      | 0.00%             | 2035-08-15      | Floating      | 2.94%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | G2 3227                                                     | CUSIP: 36202DSQ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     17113 | PA      | $17689.50     | 0.00%             | 2032-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                 | 10-Year T-Note Options                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -92 | NC      | $-15812.50    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                 | Ultra U.S. Treasury Bond Options                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -19 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FN AS7749                                                   | CUSIP: 3138WHTF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  33396017 | PA      | $30947485.13  | 0.50%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2019-27 DI                                              | CUSIP: 38381RHP7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    694144 | PA      | $98730.18     | 0.00%             | 2040-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FN MA4341                                                   | CUSIP: 31418DZF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6417889 | PA      | $5292979.04   | 0.09%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2017-123 IO                                             | CUSIP: 38380F6N1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   2486493 | PA      | $423111.06    | 0.01%             | 2047-08-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHMR 2020-RR10 X                                            | CUSIP: 3137FTZY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |  96907000 | PA      | $1640916.54   | 0.03%             | 2027-12-27      | Variable      | 2.01%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT                   | B 0 06/04/26                                                | CUSIP: 912797SX6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  60000000 | PA      | $59796495.60  | 0.97%             | 2026-06-04      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2010-129 SM                                             | CUSIP: 31398SGL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    119822 | PA      | $6511.46      | 0.00%             | 2040-11-25      | Floating      | 2.24%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED PASS THROUGH CERTIFICATES                       | SCRT 2019-4 MA                                              | CUSIP: 35563PML0<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |   2735117 | PA      | $2572716.10   | 0.04%             | 2059-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | G2-30YR-Multi                                               | CUSIP: 21H042661<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  26659000 | PA      | $25686362.91  | 0.42%             | 2056-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHMR 2020-RR11 BX                                           | CUSIP: 3137FV2D3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |  38965237 | PA      | $908864.15    | 0.01%             | 2028-12-28      | Variable      | 2.52%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                            | Options on Three-Month SOFR Futures                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |      -543 | NC      | $-627843.75   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 4199 BZ                                                 | CUSIP: 3137B27G9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |  19745000 | PA      | $18588406.84  | 0.30%             | 2043-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2024-98 FG                                              | CUSIP: 3136BUDS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |  20516683 | PA      | $20651434.42  | 0.34%             | 2054-11-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2023-81 YD                                              | CUSIP: 38384BJS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |  10738770 | PA      | $9572374.20   | 0.16%             | 2053-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FN FS1046                                                   | CUSIP: 3140XGEU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9441200 | PA      | $9269692.18   | 0.15%             | 2049-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHMS KSW4 A                                                 | CUSIP: 3137FJZ51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    296300 | PA      | $295895.64    | 0.00%             | 2028-10-25      | Variable      | 4.21%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2022-63 HZ                                              | CUSIP: 38383RDP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |  21178506 | PA      | $15558573.26  | 0.25%             | 2051-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2024-81 FE                                              | CUSIP: 3136BTLF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |  12064355 | PA      | $12176397.15  | 0.20%             | 2054-07-25      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHMR 2021-RR19 X                                            | CUSIP: 3137H2P57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |  20098730 | PA      | $762013.22    | 0.01%             | 2029-04-27      | Variable      | 2.01%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 4247 AY                                                 | CUSIP: 3137B4HE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   2750000 | PA      | $2609572.08   | 0.04%             | 2043-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | G2 AR8421                                                   | CUSIP: 36193FLA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    127582 | PA      | $129154.02    | 0.00%             | 2041-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                 | U.S. Treasury Bond Options                                  | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |     -1124 | NC      | $-790312.50   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY INSTITUTIONAL LIQUIDITY FUNDS                           | MORGAN STANLEY INSTITUTIONAL LIQUIDITY FUNDS TREAS PTF INST | CUSIP: 61747C582<br>LEI: 5493000A332Y142SOW84 | Long             | STIV             | RF                | US        |  64076728 | NS      | $64076728.49  | 1.04%             |  |  |  | No            |                  1 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FN AQ0411                                                   | CUSIP: 3138MFN52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1132940 | PA      | $1067173.17   | 0.02%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GN 733595                                                   | CUSIP: 3620AL7G3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    130174 | PA      | $128475.05    | 0.00%             | 2040-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 5251 PO                                                 | CUSIP: 3137H8JY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |  26539664 | PA      | $19218824.98  | 0.31%             | 2052-08-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2014-82 GZ                                              | CUSIP: 3136ALK26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    692314 | PA      | $596064.08    | 0.01%             | 2044-12-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FNR 2017-3 LZ                                               | CUSIP: 3136AU5M9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |  12784239 | PA      | $11664986.63  | 0.19%             | 2047-02-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2018-160 GY                                             | CUSIP: 38381AP59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   2411793 | PA      | $2273039.07   | 0.04%             | 2048-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 4121 HI                                                 | CUSIP: 3137AV5X1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    105947 | PA      | $1204.02      | 0.00%             | 2027-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT GRANTOR TRUST 2025-2                                    | PAID 2025-2 A                                               | CUSIP: 69545GAF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1428238 | PA      | $1433010.88   | 0.02%             | 2032-10-15      | Variable      | 4.96%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT                   | B 0 05/28/26                                                | CUSIP: 912797SW8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  60000000 | PA      | $59839575.00  | 0.97%             | 2026-05-28      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                 | 5-Year T-Note Options                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -147 | NC      | $-16078.13    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 5266 FA                                                 | CUSIP: 3137H9AD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |  21385550 | PA      | $21234221.10  | 0.34%             | 2052-09-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2014-46 KA                                              | CUSIP: 3136AKVK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    202556 | PA      | $195.93       | 0.00%             | 2044-08-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHMR 2020-RR11 AX                                           | CUSIP: 3137FV2B7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        | 112919000 | PA      | $5307554.34   | 0.09%             | 2029-01-25      | Variable      | 2.84%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2011-48 LI                                              | CUSIP: 38377UX86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     48846 | PA      | $2325.53      | 0.00%             | 2041-01-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FG G01443                                                   | CUSIP: 31283HS89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6392 | PA      | $6638.92      | 0.00%             | 2032-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHMS K757 XAM                                               | CUSIP: 3137HH6B2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        | 113233000 | PA      | $5297690.83   | 0.09%             | 2031-08-25      | Variable      | 1.18%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | G2 MA2759                                                   | CUSIP: 36179RB40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     50916 | PA      | $53502.26     | 0.00%             | 2045-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JW TRUST 2024-BERY                                                     | JW 2024-BERY A                                              | CUSIP: 46676AAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3500000 | PA      | $3510877.30   | 0.06%             | 2039-11-15      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 5256 FC                                                 | CUSIP: 3137H92G3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |  24279239 | PA      | $24169300.09  | 0.39%             | 2052-09-25      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 4570 ST                                                 | CUSIP: 3137BNRK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   7234662 | PA      | $756921.43    | 0.01%             | 2046-04-15      | Floating      | 2.25%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                            | Options on Three-Month SOFR Futures                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |      -887 | NC      | $-742862.50   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2010-4 WA                                               | CUSIP: 38376T2N1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |      6586 | PA      | $6324.45      | 0.00%             | 2040-01-16      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNA VI LLC                                                             | FNH 2021-1A A                                               | CUSIP: 34411YAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2063176 | PA      | $1920676.02   | 0.03%             | 2032-01-10      | Fixed         | 1.35%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FG A97294                                                   | CUSIP: 312946C79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     53586 | PA      | $51676.25     | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT                   | B 0 05/21/26                                                | CUSIP: 912797SV0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  60000000 | PA      | $59880916.80  | 0.97%             | 2026-05-21      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2008-17 IP                                              | CUSIP: 31396YSL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |       980 | PA      | $12.04        | 0.00%             | 2038-02-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED PASS THROUGH CERTIFICATES                       | SCRT 2019-2 MV                                              | CUSIP: 35563PKJ7<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |  12506224 | PA      | $11773779.26  | 0.19%             | 2058-08-26      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FN AD5222                                                   | CUSIP: 31418SYU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2503 | PA      | $2503.52      | 0.00%             | 2030-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNA 2017-M8 A2                                              | CUSIP: 3136AW7J0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   7433814 | PA      | $7360202.38   | 0.12%             | 2027-05-25      | Variable      | 3.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2008-8 ZA                                               | CUSIP: 31396YHW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     14594 | PA      | $14174.79     | 0.00%             | 2038-02-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2004-105 JZ                                             | CUSIP: 38374KGD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    289925 | PA      | $289265.77    | 0.00%             | 2034-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                            | Options on Three-Month SOFR Futures                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |      -657 | NC      | $-238162.50   | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| MFA 2024-NQM3 TRUST                                                    | MFRA 2024-NQM3 A1                                           | CUSIP: 55287GAA0<br>LEI: 2549008RILDRJCGX2M75 | Long             | ABS-O            | CORP              | US        |  10424148 | PA      | $10496532.81  | 0.17%             | 2069-12-25      | Variable      | 5.72%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 3448 SA                                                 | CUSIP: 31397TJN3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |     98027 | PA      | $1486.96      | 0.00%             | 2038-05-15      | Floating      | 2.30%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT                   | S 0 05/15/40                                                | CUSIP: 912834HV3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  20000000 | PA      | $10059688.00  | 0.16%             | 2040-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MFA 2025-NQM1 TRUST                                                    | MFRA 2025-NQM5 A1                                           | CUSIP: 59319DAC7<br>LEI: 254900T233AM4RM23465 | Long             | ABS-O            | CORP              | US        |   2780175 | PA      | $2783292.79   | 0.05%             | 2070-11-25      | Variable      | 5.19%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FN FS0742                                                   | CUSIP: 3140XFZG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  26160647 | PA      | $24587502.47  | 0.40%             | 2044-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                       | FHR 4937 MF                                                 | CUSIP: 3137FQA52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   6541513 | PA      | $6425423.42   | 0.10%             | 2049-12-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2015-49 LE                                              | CUSIP: 3136AN7L5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |  10216796 | PA      | $9833089.14   | 0.16%             | 2045-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FN AL7637                                                   | CUSIP: 3138EQPX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    249963 | PA      | $248937.25    | 0.00%             | 2042-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 4145 YI                                                 | CUSIP: 3137AWVX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |     38514 | PA      | $462.02       | 0.00%             | 2027-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | G2 AG8899                                                   | CUSIP: 36182D3G8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     20632 | PA      | $19612.94     | 0.00%             | 2043-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                 | 5-Year T-Note Options                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |     -1200 | NC      | $-1528125.60  | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2001-34 SR                                              | CUSIP: 313920PF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |       170 | PA      | $1.73         | 0.00%             | 2031-08-18      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 5410 PO                                                 | CUSIP: 3137HCUG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |  16542754 | PA      | $12497565.75  | 0.20%             | 2054-05-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2006-38 OH                                              | CUSIP: 38374NPM3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    331891 | PA      | $331130.75    | 0.01%             | 2036-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 4959 JF                                                 | CUSIP: 3137FRTX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |  13625307 | PA      | $13367487.43  | 0.22%             | 2050-03-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2016-99 JA                                              | CUSIP: 38379XH60<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    186396 | PA      | $192760.83    | 0.00%             | 2045-11-20      | Variable      | 5.49%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2010-68 BI                                              | CUSIP: 31398THN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    217260 | PA      | $55501.26     | 0.00%             | 2050-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CAPITAL STREET MASTER TRUST                                            | CAPST 2025-1 A                                              | CUSIP: 14051LAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2500000 | PA      | $2497683.50   | 0.04%             | 2029-08-16      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED PASS THROUGH CERTIFICATES SERIES 2019-K99       | FHMS K099 X1                                                | CUSIP: 3137FPJJ5<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |  55360008 | PA      | $1396965.50   | 0.02%             | 2029-09-25      | Variable      | 0.99%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FN MA3101                                                   | CUSIP: 31418CNT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    115091 | PA      | $112954.12    | 0.00%             | 2047-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MORTGAGE PASS-THROUGH CERTIFICATES                   | WFMBS 2019-1 A1                                             | CUSIP: 95001TAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    155608 | PA      | $147354.42    | 0.00%             | 2048-11-25      | Variable      | 3.92%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                            | U.S. Treasury Bond Options                                  | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -43 | NC      | $-32921.88    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GN 615403                                                   | CUSIP: 36290RU43<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     92741 | PA      | $92121.15     | 0.00%             | 2033-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2012-84 QS                                              | CUSIP: 38375GGT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   3885816 | PA      | $303412.71    | 0.00%             | 2042-07-16      | Floating      | 2.32%                 | No            |                  2 | On Loan: No      |
| BMO 2024-5C3 MORTGAGE TRUST                                            | BMO 2024-5C3 XA                                             | CUSIP: 09660QAU8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  78498463 | PA      | $2045819.09   | 0.03%             | 2057-02-16      | Variable      | 1.35%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2020-62 WI                                              | CUSIP: 38382FNH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |  14014801 | PA      | $2530389.14   | 0.04%             | 2049-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | G2-30YR-Multi                                               | CUSIP: 21H032662<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  42246000 | PA      | $38153418.33  | 0.62%             | 2056-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FN BM5671                                                   | CUSIP: 3140JAJR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3915989 | PA      | $3857631.02   | 0.06%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2007-16 OZ                                              | CUSIP: 38373MC32<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    567957 | PA      | $568606.16    | 0.01%             | 2037-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2011-81 IC                                              | CUSIP: 38376LWH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    819285 | PA      | $1111.44      | 0.00%             | 2035-07-20      | Floating      | 0.62%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 4842 FA                                                 | CUSIP: 3137FJG45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    418713 | PA      | $409296.53    | 0.01%             | 2048-11-15      | Floating      | 4.10%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT                   | B 0 06/11/26                                                | CUSIP: 912797QX8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  30000000 | PA      | $29877170.70  | 0.48%             | 2026-06-11      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                 | U.S. Treasury Bond Options                                  | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -36 | NC      | $-1687.50     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2015-24 BZ                                              | CUSIP: 38379JUY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |  10092703 | PA      | $9009133.60   | 0.15%             | 2045-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FN FA1024                                                   | CUSIP: 3140W1D67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  47276412 | PA      | $39785215.14  | 0.65%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNA 2023-M1 Z                                               | CUSIP: 3136BPRZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |  27279533 | PA      | $21057082.71  | 0.34%             | 2053-01-25      | Variable      | 4.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 3796 PB                                                 | CUSIP: 3137A62R2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   1569840 | PA      | $1589084.76   | 0.03%             | 2041-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2007-117 MD                                             | CUSIP: 31396YBM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     34544 | PA      | $35282.89     | 0.00%             | 2037-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MFA 2026-NQM1 TRUST                                                    | MFRA 2026-NQM1 A1                                           | CUSIP: 55287YAF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3296583 | PA      | $3289135.26   | 0.05%             | 2071-02-25      | Variable      | 5.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FN AB2959                                                   | CUSIP: 31416YJD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1997933 | PA      | $1945096.26   | 0.03%             | 2040-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FLAGSTAR MORTGAGE TRUST 2019-2                                         | FSMT 2019-2 A11                                             | CUSIP: 33852BAL9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1120845 | PA      | $1010767.70   | 0.02%             | 2049-12-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2024-84 FD                                              | CUSIP: 3136BTTR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |  12898096 | PA      | $13020076.33  | 0.21%             | 2054-11-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 5220 KZ                                                 | CUSIP: 3137H76P3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |  13858442 | PA      | $12564922.87  | 0.20%             | 2051-02-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                 | 2-Year T-Note Options                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -720 | NC      | $-90000.00    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHMS K132 XAM                                               | CUSIP: 3137H3EZ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |  78491000 | PA      | $3166531.02   | 0.05%             | 2031-09-25      | Variable      | 0.95%                 | No            |                  2 | On Loan: No      |
| CSMC TRUST 2018-RPL9                                                   | CSMC 2018-RPL9 A                                            | CUSIP: 12654PAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    214634 | PA      | $206428.41    | 0.00%             | 2057-09-25      | Variable      | 3.85%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FN BH9428                                                   | CUSIP: 3140GYPN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9449 | PA      | $9265.91      | 0.00%             | 2047-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 3735 JI                                                 | CUSIP: 3137GAFQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |     25445 | PA      | $1504.73      | 0.00%             | 2030-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FG G14348                                                   | CUSIP: 3128MDBR3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       914 | PA      | $912.84       | 0.00%             | 2026-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED PASS THROUGH CERTIFICATES SERIES 2019-K102      | FHMS K102 XAM                                               | CUSIP: 3137FQKG7<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |  64993000 | PA      | $2124081.73   | 0.03%             | 2029-10-25      | Variable      | 1.21%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FN BM3867                                                   | CUSIP: 3140J8JM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8249726 | PA      | $7949144.24   | 0.13%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FG Q14034                                                   | CUSIP: 3132HQPT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    240270 | PA      | $226671.90    | 0.00%             | 2042-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage Trust 2019-1                              | EFMT 2022-2 A1                                              | CUSIP: 31572YAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5177084 | PA      | $5165236.92   | 0.08%             | 2067-04-25      | Variable      | 4.27%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FN AT0332                                                   | CUSIP: 3138WMLN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47989 | PA      | $44128.29     | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                 | U.S. Treasury Bond Options                                  | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -412 | NC      | $-193125.00   | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                 | 2-Year T-Note Options                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -420 | NC      | $-223125.00   | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 3074 ZH                                                 | CUSIP: 31396FPT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |     27593 | PA      | $27810.97     | 0.00%             | 2035-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2013-70 PM                                              | CUSIP: 38378TLD0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    953680 | PA      | $756204.63    | 0.01%             | 2043-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FN FM9408                                                   | CUSIP: 3140XDN28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3331693 | PA      | $3271137.06   | 0.05%             | 2046-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 4790 ZA                                                 | CUSIP: 3137F5J75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   4192256 | PA      | $3761803.88   | 0.06%             | 2048-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2015-125 VA                                             | CUSIP: 38379KU30<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   2440864 | PA      | $2351420.87   | 0.04%             | 2035-05-16      | Variable      | 2.70%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2022-68 MZ                                              | CUSIP: 38383PC90<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |  13995980 | PA      | $11408074.10  | 0.19%             | 2052-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2016-63 AF                                              | CUSIP: 3136ATXX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   4720945 | PA      | $4656695.67   | 0.08%             | 2046-09-25      | Floating      | 4.26%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FG U59020                                                   | CUSIP: 3132FTAW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1131890 | PA      | $1114006.82   | 0.02%             | 2035-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2009-37 NZ                                              | CUSIP: 31396QAU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   1169786 | PA      | $1198932.86   | 0.02%             | 2037-02-25      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT                   | T 1.375 08/15/50                                            | CUSIP: 912810SP4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  19500000 | PA      | $9423984.38   | 0.15%             | 2050-08-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                 | U.S. Treasury Bond Options                                  | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -178 | NC      | $-394937.50   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHMR 2020-RR14 X                                            | CUSIP: 3137F85E9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |  34897468 | PA      | $4304176.93   | 0.07%             | 2034-03-27      | Variable      | 2.13%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 5642 FN                                                 | CUSIP: 3137HQEA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |  29853466 | PA      | $29857577.08  | 0.48%             | 2056-03-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FG G05449                                                   | CUSIP: 3128M7L61<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     34728 | PA      | $34495.81     | 0.00%             | 2039-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT                   | T 4.125 07/31/28                                            | CUSIP: 91282CHQ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  58600000 | PA      | $58895288.92  | 0.96%             | 2028-07-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FN MA1228                                                   | CUSIP: 31418ALJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34581 | PA      | $31634.04     | 0.00%             | 2042-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2013-115 Z                                              | CUSIP: 3136AG6S6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |  11799679 | PA      | $11326441.36  | 0.18%             | 2033-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 2410 OG                                                 | CUSIP: 31339NKJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |     83456 | PA      | $84985.21     | 0.00%             | 2032-02-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2005-52 TZ                                              | CUSIP: 31394DYA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    388031 | PA      | $408880.72    | 0.01%             | 2035-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2025-21 IO                                              | CUSIP: 38381L5V0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |  38869353 | PA      | $2735251.92   | 0.04%             | 2065-04-16      | Variable      | 0.95%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FN 256808                                                   | CUSIP: 31371NGR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3041 | PA      | $3008.98      | 0.00%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                 | 5-Year T-Note Options                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |     -1651 | NC      | $-1264046.88  | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNA 2024-M3 Z                                               | CUSIP: 3136BRLB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |  13805414 | PA      | $11720958.42  | 0.19%             | 2053-04-25      | Variable      | 4.66%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                       | FHS 402 PO                                                  | CUSIP: 3133Q3C33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8686535 | PA      | $7273928.17   | 0.12%             | 2053-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                       | FN FA2450                                                   | CUSIP: 3140W2WL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  48002384 | PA      | $45973148.60  | 0.75%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PRPM 2025-7 LLC                                                        | PRPM 2025-7 A1                                              | CUSIP: 69382YAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3608756 | PA      | $3609789.58   | 0.06%             | 2030-08-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 4798 GZ                                                 | CUSIP: 3137F5MU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |  11900391 | PA      | $11280050.62  | 0.18%             | 2048-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT                   | S 0 05/15/41                                                | CUSIP: 912834KH0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  35750000 | PA      | $16885023.16  | 0.27%             | 2041-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2016-62 SB                                              | CUSIP: 3136ATVK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   3511640 | PA      | $269116.26    | 0.00%             | 2046-09-25      | Floating      | 2.34%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GN 783091                                                   | CUSIP: 36241LNG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     46653 | PA      | $48556.55     | 0.00%             | 2040-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHMS K148 XAM                                               | CUSIP: 3137H8UD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        | 200000000 | PA      | $3197254.00   | 0.05%             | 2032-08-25      | Variable      | 0.39%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED PASS THROUGH CERTIFICATES SERIES 2020-K119      | FHMS K119 XAM                                               | CUSIP: 3137FXQT8<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |  51000000 | PA      | $2293521.00   | 0.04%             | 2030-10-25      | Variable      | 1.23%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                            | 2-Year T-Note Options                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -90 | NC      | $-16875.00    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 5202 NV                                                 | CUSIP: 3137H63G8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   2890501 | PA      | $2644933.20   | 0.04%             | 2037-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 4520 AI                                                 | CUSIP: 3137BLTL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |     44656 | PA      | $3679.91      | 0.00%             | 2035-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FN 255190                                                   | CUSIP: 31371LNF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11789 | PA      | $12035.16     | 0.00%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2017-56 BI                                              | CUSIP: 38376UJQ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   2595710 | PA      | $329671.53    | 0.01%             | 2047-04-16      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2009-14 KI                                              | CUSIP: 38374XBQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     68678 | PA      | $3146.43      | 0.00%             | 2039-03-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FR SD1361                                                   | CUSIP: 3132DNQN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5318592 | PA      | $4971411.21   | 0.08%             | 2050-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT                   | T 4.125 11/15/27                                            | CUSIP: 91282CLX7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10000000 | PA      | $10037304.70  | 0.16%             | 2027-11-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GN 720225                                                   | CUSIP: 3620A6D61<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2651356 | PA      | $2615247.59   | 0.04%             | 2039-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 3542 ZP                                                 | CUSIP: 31398EDX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    859261 | PA      | $869809.50    | 0.01%             | 2039-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FN AS1719                                                   | CUSIP: 3138WA4D6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1563365 | PA      | $1576402.28   | 0.03%             | 2044-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                 | 2-Year T-Note Futures, Jun-2026,ETH                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      2084 | NC      | $-2435536.02  | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2003-63 F1                                              | CUSIP: 31393DRP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |      3578 | PA      | $3573.34      | 0.00%             | 2027-11-25      | Floating      | 4.06%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2022-78 AM                                              | CUSIP: 38383P5T4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |  10917513 | PA      | $8250936.65   | 0.13%             | 2052-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION REMIC TRUST                   | G2-30YR-Multi                                               | CUSIP: 21H050672<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2500000 | PA      | $2470973.88   | 0.04%             | 2056-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FG A54675                                                   | CUSIP: 3128KHFQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     44804 | PA      | $46282.83     | 0.00%             | 2036-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2022-69 FA                                              | CUSIP: 38383PV40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   8025517 | PA      | $7542779.00   | 0.12%             | 2052-04-20      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2009-106 SN                                             | CUSIP: 31398GUS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     85122 | PA      | $5555.37      | 0.00%             | 2040-01-25      | Floating      | 2.49%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FR SD0948                                                   | CUSIP: 3132DNBR3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12115382 | PA      | $11016799.73  | 0.18%             | 2047-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2003-45 JB                                              | CUSIP: 31393CSV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    171492 | PA      | $175268.50    | 0.00%             | 2033-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | G2 MA2215                                                   | CUSIP: 36179QN80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7984 | PA      | $7175.20      | 0.00%             | 2044-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2014-91 JI                                              | CUSIP: 38379CUJ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     10854 | PA      | $545.40       | 0.00%             | 2040-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                 | U.S. Treasury Bond Options                                  | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -764 | NC      | $-537187.50   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| PROGRESS RESIDENTIAL 2025-SFR1 TRUST                                   | PROG 2025-SFR1 A                                            | CUSIP: 74334NAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5472158 | PA      | $5199343.98   | 0.08%             | 2042-02-20      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT                   | B 0 05/07/26                                                | CUSIP: 912797SP3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  60000000 | PA      | $59964073.20  | 0.97%             | 2026-05-07      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 3622 PB                                                 | CUSIP: 31398LXJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    370268 | PA      | $374347.21    | 0.01%             | 2040-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 4329 VZ                                                 | CUSIP: 3137BA4P4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   5850908 | PA      | $5678095.62   | 0.09%             | 2044-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2022-90 ZG                                              | CUSIP: 38383RK55<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   9161419 | PA      | $4745865.16   | 0.08%             | 2052-02-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHS 276 S5                                                  | CUSIP: 31325TUP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4665731 | PA      | $445538.22    | 0.01%             | 2042-09-15      | Floating      | 2.21%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-RPL3 LLC                                                     | PRPM 2024-RPL3 A1                                           | CUSIP: 69381LAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8240004 | PA      | $8059675.62   | 0.13%             | 2054-11-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FG G60808                                                   | CUSIP: 31335A3R7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    125082 | PA      | $112905.43    | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FN 890149                                                   | CUSIP: 31410K5J9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5985 | PA      | $6364.73      | 0.00%             | 2038-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHMS K122 X1                                                | CUSIP: 3137F82T9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |  76100670 | PA      | $2501155.05   | 0.04%             | 2030-11-25      | Variable      | 0.95%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                 | U.S. Treasury Bond Options                                  | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -468 | NC      | $-7312.50     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FG G06583                                                   | CUSIP: 3128M8UG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    103811 | PA      | $105263.74    | 0.00%             | 2041-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FG G60114                                                   | CUSIP: 31335ADT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    214711 | PA      | $221797.77    | 0.00%             | 2041-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FG G07100                                                   | CUSIP: 3128M9GH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    247036 | PA      | $254143.48    | 0.00%             | 2040-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FN BM7129                                                   | CUSIP: 3140JB4P8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5892694 | PA      | $5390610.46   | 0.09%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 4090 YZ                                                 | CUSIP: 3137AT5V0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    785962 | PA      | $704375.51    | 0.01%             | 2042-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 4170 CO                                                 | CUSIP: 3137AYVG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   4641892 | PA      | $4227166.70   | 0.07%             | 2032-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GN 724267                                                   | CUSIP: 3620AATY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     36880 | PA      | $37552.78     | 0.00%             | 2039-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2025-BCAT                                 | BOCA 2025-BOCA A                                            | CUSIP: 05619RAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4650000 | PA      | $4663241.81   | 0.08%             | 2042-12-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FN 555851                                                   | CUSIP: 31385XQC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4724 | PA      | $4900.77      | 0.00%             | 2033-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | G2-30YR-Multi                                               | CUSIP: 21H040665<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7571000 | PA      | $7060997.07   | 0.11%             | 2056-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                            | 10-Year T-Note Options                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -85 | NC      | $-67734.38    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GN 736617                                                   | CUSIP: 3620AQK69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     67249 | PA      | $65507.16     | 0.00%             | 2035-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GN 783760                                                   | CUSIP: 3622A2E99<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    119415 | PA      | $122100.06    | 0.00%             | 2042-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHS 299 S1                                                  | CUSIP: 31325TYW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    137790 | PA      | $15494.08     | 0.00%             | 2043-01-15      | Floating      | 2.21%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 5350 PO                                                 | CUSIP: 3137HAYT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |  13132348 | PA      | $11140286.73  | 0.18%             | 2053-11-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 3645 WD                                                 | CUSIP: 31398VFK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    152000 | PA      | $149785.38    | 0.00%             | 2040-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2025-DELC                                                     | BX 2025-DELC A                                              | CUSIP: 05594MAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3500000 | PA      | $3508728.30   | 0.06%             | 2042-12-15      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FN FS2796                                                   | CUSIP: 3140XJDA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12511053 | PA      | $11707073.59  | 0.19%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2018-4                             | NRZT 2018-4A A1S                                            | CUSIP: 64828FCQ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6205480 | PA      | $6130314.78   | 0.10%             | 2048-01-27      | Variable      | 4.54%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2003-UP2                                 | SBM7 2003-UP2 PO1                                           | CUSIP: 79549AXS3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       208 | PA      | $207.57       | 0.00%             | 2018-12-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 4211 PB                                                 | CUSIP: 3137B22X7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    500000 | PA      | $440971.90    | 0.01%             | 2043-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                            | U.S. Treasury Bond Options                                  | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -93 | NC      | $-98812.50    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Federal National Mortgage Association                                  | FN BM7079                                                   | CUSIP: 3140JB2M7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13514741 | PA      | $12867829.07  | 0.21%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | G2 784063                                                   | CUSIP: 3622A2QQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2104180 | PA      | $2134816.82   | 0.03%             | 2045-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GN 706840                                                   | CUSIP: 36297BHR5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     35441 | PA      | $35683.92     | 0.00%             | 2040-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED PASS THROUGH CERTIFICATES SERIES 2020-K117      | FHMS K117 XAM                                               | CUSIP: 3137FX3V8<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |  63500000 | PA      | $3510241.90   | 0.06%             | 2030-09-25      | Variable      | 1.53%                 | No            |                  2 | On Loan: No      |
| BWAY TRUST 2025-1535                                                   | BWAY 2025-1535 B                                            | CUSIP: 12430BAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2859000 | PA      | $2972983.18   | 0.05%             | 2042-05-07      | Variable      | 7.71%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNA 2023-M1 2A1                                             | CUSIP: 3136BPRX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |  23520747 | PA      | $22691302.03  | 0.37%             | 2037-12-25      | Variable      | 4.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FN FS1385                                                   | CUSIP: 3140XGRF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  15462199 | PA      | $14434874.27  | 0.23%             | 2048-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 4177 GL                                                 | CUSIP: 3137B16B3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    732650 | PA      | $705083.31    | 0.01%             | 2033-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2012-138 MA                                             | CUSIP: 3136AAFH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    232937 | PA      | $202606.25    | 0.00%             | 2042-12-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT                   | S 0 05/15/39                                                | CUSIP: 912834DV7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10000000 | PA      | $5351383.30   | 0.09%             | 2039-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                 | U.S. Treasury Bond Options                                  | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -178 | NC      | $-506187.50   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHMS K-1511 X1                                              | CUSIP: 3137FLYL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |  15390306 | PA      | $659885.53    | 0.01%             | 2034-03-25      | Variable      | 0.92%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 4681 JY                                                 | CUSIP: 3137BYGP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    600000 | PA      | $504058.56    | 0.01%             | 2047-05-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2013-119 VZ                                             | CUSIP: 3136AHFT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |  29483148 | PA      | $28480912.79  | 0.46%             | 2033-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FG Q11791                                                   | CUSIP: 3132HM7C9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     50067 | PA      | $47171.66     | 0.00%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | G2-30YR-Multi                                               | CUSIP: 21H052660<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5000000 | PA      | $5028886.15   | 0.08%             | 2056-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT                   | S 0 02/15/35                                                | CUSIP: 9128334Z0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  63418000 | PA      | $43179940.66  | 0.70%             | 2035-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                       | FHR 3999 WA                                                 | CUSIP: 3137ALAF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    239741 | PA      | $246720.46    | 0.00%             | 2040-08-15      | Variable      | 5.54%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FN FS2044                                                   | CUSIP: 3140XHHW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  31694647 | PA      | $31258512.21  | 0.51%             | 2044-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FN AA3303                                                   | CUSIP: 31416LU53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     53092 | PA      | $53672.21     | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2025-49 FD                                              | CUSIP: 3136BV6G8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |  28263895 | PA      | $28134028.47  | 0.46%             | 2055-06-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                 | U.S. Treasury Bond Options                                  | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -192 | NC      | $-210000.00   | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                            | Options on Three-Month SOFR Futures                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |      -305 | NC      | $-173468.75   | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | G2-30YR-Multi                                               | CUSIP: 21H040673<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3501000 | PA      | $3264069.16   | 0.05%             | 2056-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FN FS4015                                                   | CUSIP: 3140XKN97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1147350 | PA      | $1178793.36   | 0.02%             | 2049-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHS 314 PO                                                  | CUSIP: 3132HTUJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3589426 | PA      | $2775788.99   | 0.05%             | 2043-09-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 5339 GO                                                 | CUSIP: 3137HAHL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   2150424 | PA      | $1771703.21   | 0.03%             | 2053-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 5259 FA                                                 | CUSIP: 3137H8WD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   4427513 | PA      | $4395524.84   | 0.07%             | 2052-09-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FN AS7211                                                   | CUSIP: 3138WHAM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    122296 | PA      | $111895.98    | 0.00%             | 2046-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FR SD0887                                                   | CUSIP: 3132DM6Y6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7628487 | PA      | $7123401.54   | 0.12%             | 2049-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FN AL7905                                                   | CUSIP: 3138EQYB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    566583 | PA      | $563847.41    | 0.01%             | 2034-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHMS K-1513 X1                                              | CUSIP: 3137FPJA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |  55899076 | PA      | $2681316.56   | 0.04%             | 2034-08-25      | Variable      | 0.98%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2011-31 Z                                               | CUSIP: 38376GL99<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1287588 | PA      | $1148284.30   | 0.02%             | 2052-09-16      | Variable      | 3.45%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                 | U.S. Treasury Bond Options                                  | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -210 | NC      | $-3281.25     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2013-130 QY                                             | CUSIP: 3136AHG38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   1003000 | PA      | $994793.55    | 0.02%             | 2041-06-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2010-3 DZ                                               | CUSIP: 31398G3T4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    234456 | PA      | $219245.07    | 0.00%             | 2040-02-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2011-9 AZ                                               | CUSIP: 31397QNH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    104960 | PA      | $106018.02    | 0.00%             | 2040-05-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                       | FR SL0847                                                   | CUSIP: 31427M5H0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  26564015 | PA      | $24527474.35  | 0.40%             | 2049-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2015-30 DZ                                              | CUSIP: 38379KAF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |  18064736 | PA      | $16231121.63  | 0.26%             | 2055-05-16      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FN 850000                                                   | CUSIP: 31408FKM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    133704 | PA      | $137950.96    | 0.00%             | 2036-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2018-155 KD                                             | CUSIP: 38381A3V6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   5265890 | PA      | $4979281.05   | 0.08%             | 2048-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 4116 AS                                                 | CUSIP: 3137AVJZ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |     21166 | PA      | $2616.51      | 0.00%             | 2042-10-15      | Floating      | 2.40%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2022-63 BZ                                              | CUSIP: 38383RBL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |  18752462 | PA      | $15792718.17  | 0.26%             | 2046-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2008-71 JI                                              | CUSIP: 38375XME1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    247364 | PA      | $2465.73      | 0.00%             | 2038-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                 | Ultra 10-Year U.S. Treasury Note Options                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -262 | NC      | $-8187.50     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FN FS0045                                                   | CUSIP: 3140XFBP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10144913 | PA      | $9165848.92   | 0.15%             | 2047-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-RPL6 TRUST                                                   | CSMC 2021-RPL6 A1                                           | CUSIP: 12657GAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    882286 | PA      | $798590.49    | 0.01%             | 2060-10-25      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNMA-30YR                                                   | CUSIP: 01F050668<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  43203000 | PA      | $42521726.28  | 0.69%             | 2056-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREMF 2020-K110 MORTGAGE TRUST                                         | FHMS K110 XAM                                               | CUSIP: 3137FTZU4<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |  24006055 | PA      | $1565569.28   | 0.03%             | 2030-04-25      | Variable      | 1.95%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 5225 NZ                                                 | CUSIP: 3137H7L27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |  16182151 | PA      | $14125561.42  | 0.23%             | 2052-05-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BWAY TRUST 2025-1535                                                   | BWAY 2025-1535 A                                            | CUSIP: 12430BAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3753000 | PA      | $3798959.99   | 0.06%             | 2042-05-07      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 5282 MB                                                 | CUSIP: 3137H9KK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   7727399 | PA      | $7728176.01   | 0.13%             | 2042-06-25      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 3550 LL                                                 | CUSIP: 31398EXD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    177000 | PA      | $174681.95    | 0.00%             | 2039-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2016-16 KZ                                              | CUSIP: 38379VAD6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    216977 | PA      | $174771.27    | 0.00%             | 2046-02-16      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PRPM 2025-RCF4 LLC                                                     | PRPM 2025-RCF4 A1                                           | CUSIP: 69382WAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1228141 | PA      | $1209490.10   | 0.02%             | 2055-08-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                            | 10-Year T-Note Options                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -70 | NC      | $-150937.50   | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 3420 AZ                                                 | CUSIP: 31397RDR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    122454 | PA      | $126376.72    | 0.00%             | 2038-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FG C01310                                                   | CUSIP: 31292HN34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1366 | PA      | $1418.83      | 0.00%             | 2032-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT                   | S 0 02/15/34                                                | CUSIP: 9128334X5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  14450000 | PA      | $10347158.61  | 0.17%             | 2034-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHMS K-1517 X1                                              | CUSIP: 3137FWHG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |  56317038 | PA      | $4930894.59   | 0.08%             | 2035-07-25      | Variable      | 1.43%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2022-70 FA                                              | CUSIP: 3136BPAQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |  17528599 | PA      | $17427735.68  | 0.28%             | 2052-10-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2019-HY2                                     | TPMT 2019-HY2 A1                                            | CUSIP: 89177HAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2476172 | PA      | $2522590.44   | 0.04%             | 2058-05-28      | Variable      | 4.79%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                       | FR SD6833                                                   | CUSIP: 3132DUSW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  14843503 | PA      | $13055817.52  | 0.21%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FN FM2863                                                   | CUSIP: 3140X6FD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  21495082 | PA      | $20015802.39  | 0.32%             | 2048-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FN FS4013                                                   | CUSIP: 3140XKN71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1072600 | PA      | $1038657.10   | 0.02%             | 2042-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BPR TRUST 2021-WILL                                                    | BPR 2021-WILL A                                             | CUSIP: 05591VAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4207570 | PA      | $4206264.80   | 0.07%             | 2038-06-15      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                 | Ultra U.S. Treasury Bond Options                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -65 | NC      | $-34531.25    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FG G07266                                                   | CUSIP: 3128M9MP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     29528 | PA      | $28328.85     | 0.00%             | 2042-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FN 995228                                                   | CUSIP: 31416BSR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21865 | PA      | $23251.15     | 0.00%             | 2038-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MSWF 2023-1                                                            | MSWF 2023-1 XA                                              | CUSIP: 55376CAP8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  22130142 | PA      | $1036239.47   | 0.02%             | 2056-05-17      | Variable      | 0.86%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2013-41 DB                                              | CUSIP: 3136ADR35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    750000 | PA      | $612042.90    | 0.01%             | 2043-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CFCRE 2017-C8 MORTGAGE TRUST                                           | CFCRE 2017-C8 XA                                            | CUSIP: 12532CBE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        | 194166726 | PA      | $1497743.87   | 0.02%             | 2050-06-17      | Variable      | 1.60%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT                   | TII 1.625 10/15/29                                          | CUSIP: 91282CLV1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  30000000 | PA      | $31820426.94  | 0.52%             | 2029-10-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FG U90245                                                   | CUSIP: 3132H3HW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     52825 | PA      | $49594.24     | 0.00%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREMF 2020-K110 MORTGAGE TRUST                                         | FHMS K110 X1                                                | CUSIP: 3137FTZS9<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        | 112355428 | PA      | $5932096.92   | 0.10%             | 2030-04-25      | Variable      | 1.75%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2016-3                             | NRZT 2016-3A B1                                             | CUSIP: 64829HAM9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1769396 | PA      | $1732280.10   | 0.03%             | 2056-09-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2003-62 MZ                                              | CUSIP: 38374BDT7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    156812 | PA      | $156509.34    | 0.00%             | 2033-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                            | Ultra U.S. Treasury Bond Options                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -15 | NC      | $-15000.00    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FG Q54651                                                   | CUSIP: 3132XXEZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    295180 | PA      | $290678.97    | 0.00%             | 2048-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2022-69 FA                                              | CUSIP: 3136BPEZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |  27085836 | PA      | $26893537.11  | 0.44%             | 2052-10-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2009-29 PC                                              | CUSIP: 38374UNN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1836210 | PA      | $1931927.46   | 0.03%             | 2039-05-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2013-5 IA                                               | CUSIP: 38378FUX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     43018 | PA      | $4990.60      | 0.00%             | 2042-10-16      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                       | FR SC0252                                                   | CUSIP: 3132D9H56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7440369 | PA      | $6837926.40   | 0.11%             | 2042-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT                   | S 0 08/15/34                                                | CUSIP: 9128334Y3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  13500000 | PA      | $9427056.62   | 0.15%             | 2034-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2013-130 WS                                             | CUSIP: 38378UBE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    533607 | PA      | $58911.52     | 0.00%             | 2043-09-20      | Floating      | 2.32%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | G2-30YR-Multi                                               | CUSIP: 21H030666<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        | -20999000 | PA      | $-18691151.10 | -0.30%            | 2056-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GN 784343                                                   | CUSIP: 3622A2ZG0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    267347 | PA      | $273259.23    | 0.00%             | 2041-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHMS KJ52 A2                                                | CUSIP: 3137HHUT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   9700000 | PA      | $9782751.67   | 0.16%             | 2032-01-25      | Fixed         | 4.76%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                            | Options on Three-Month SOFR Futures                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |      -500 | NC      | $-196875.00   | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2025-3                                        | JPMMT 2025-3 A1C                                            | CUSIP: 46593RAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11850000 | PA      | $11797921.62  | 0.19%             | 2055-09-25      | Variable      | 5.64%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GN 711563                                                   | CUSIP: 36297GQQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    505871 | PA      | $509336.92    | 0.01%             | 2041-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FN 976871                                                   | CUSIP: 31414UW87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14701 | PA      | $15250.11     | 0.00%             | 2036-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT                   | B 0 05/14/26                                                | CUSIP: 912797QN0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  50000000 | PA      | $49935406.00  | 0.81%             | 2026-05-14      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT                   | B 0 08/25/26                                                | CUSIP: 912797UV7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10000000 | PA      | $9883718.10   | 0.16%             | 2026-08-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2004-25 UC                                              | CUSIP: 31393XSN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    130171 | PA      | $133551.06    | 0.00%             | 2034-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FR ZT0779                                                   | CUSIP: 3132AC2L3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  38213997 | PA      | $34098847.28  | 0.55%             | 2047-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2005-2 TB                                               | CUSIP: 31394CCQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    147726 | PA      | $1002.01      | 0.00%             | 2033-07-25      | Floating      | 0.40%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2017-50 BZ                                              | CUSIP: 3136AXAN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |  13618207 | PA      | $12081596.42  | 0.20%             | 2047-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2022-43 Z                                               | CUSIP: 38381EWE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |  24235275 | PA      | $12053312.14  | 0.20%             | 2061-09-16      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                 | Ultra U.S. Treasury Bond Options                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -22 | NC      | $-7562.50     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| EFMT 2026-NQM3                                                         | EFMT 2026-NQM3 A1                                           | CUSIP: 26846JAF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1492893 | PA      | $1489643.82   | 0.02%             | 2071-03-25      | Variable      | 5.03%                 | No            |                  2 | On Loan: No      |
| RESEARCH-DRIVEN PAGAYA MOTOR ASSET TRUST 2026-R1                       | RPM 2026-R1A A                                              | CUSIP: 76089TAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5699016 | PA      | $5706847.86   | 0.09%             | 2034-07-25      | Fixed         | 5.66%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHMS K117 A2                                                | CUSIP: 3137FX3Q9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   8000000 | PA      | $7123443.20   | 0.12%             | 2030-08-25      | Fixed         | 1.41%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2017-106 AE                                             | CUSIP: 38379RT37<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1933767 | PA      | $1626763.78   | 0.03%             | 2056-12-16      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 4568 MZ                                                 | CUSIP: 3137BPBU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    166973 | PA      | $115259.22    | 0.00%             | 2046-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 2574 PE                                                 | CUSIP: 31393L2Q5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    123732 | PA      | $127405.03    | 0.00%             | 2033-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2020-84 IO                                              | CUSIP: 38382FP81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |  19759118 | PA      | $4248465.31   | 0.07%             | 2050-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2020-161 B                                              | CUSIP: 38380RAP5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   6700000 | PA      | $3387320.81   | 0.05%             | 2062-08-16      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GN 723216                                                   | CUSIP: 3620A9N98<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    163701 | PA      | $161103.02    | 0.00%             | 2040-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FIGRE TRUST 2026-FL1                                                   | FIGRE 2026-FL1 A1LC                                         | CUSIP: 31684XAM7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5672200 | PA      | $5670942.43   | 0.09%             | 2056-03-25      | Variable      | 5.49%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                 | 2-Year T-Note Options                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -248 | NC      | $-174375.25   | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2018-45 FT                                              | CUSIP: 3136B2GN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    837285 | PA      | $816290.81    | 0.01%             | 2048-06-25      | Floating      | 4.06%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED PASS THROUGH CERTIFICATES                       | SCRT 2017-4 M                                               | CUSIP: 35563PDJ5<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |   1910926 | PA      | $1897582.59   | 0.03%             | 2057-06-25      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | SLST 2025-1 YF                                              | CUSIP: 35564CWZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   2053819 | PA      | $2085421.05   | 0.03%             | 2035-05-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2018-17 Z                                               | CUSIP: 3136B06R2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   2936203 | PA      | $2489737.48   | 0.04%             | 2048-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 3925 ZD                                                 | CUSIP: 3137AFGX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   2198161 | PA      | $2150476.59   | 0.03%             | 2041-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2018-MP                                 | MSC 2018-MP A                                               | CUSIP: 61691DAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4527000 | PA      | $4255614.50   | 0.07%             | 2040-07-12      | Variable      | 4.42%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GN 762905                                                   | CUSIP: 36176DKS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    199954 | PA      | $196995.12    | 0.00%             | 2041-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2009-103 PZ                                             | CUSIP: 31398GJE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   1017745 | PA      | $1047527.07   | 0.02%             | 2039-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2011-30 LS                                              | CUSIP: 31397SMD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     52808 | PA      | $4013.80      | 0.00%             | 2041-04-25      | Variable      | 1.94%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 2793 PE                                                 | CUSIP: 31394YH98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    156287 | PA      | $158004.82    | 0.00%             | 2034-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                 | 2-Year T-Note Options                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -18 | NC      | $-17156.27    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FG Q55037                                                   | CUSIP: 3132XXS34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    357998 | PA      | $352637.70    | 0.01%             | 2048-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | G2 MA7192                                                   | CUSIP: 36179V7D6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  66441115 | PA      | $54735104.97  | 0.89%             | 2051-02-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FN FS1797                                                   | CUSIP: 3140XG7K9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  27337607 | PA      | $25629353.05  | 0.42%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 4928 F                                                  | CUSIP: 3137FPVL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   8168259 | PA      | $8037518.38   | 0.13%             | 2049-11-25      | Floating      | 4.26%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FN CA8513                                                   | CUSIP: 3140QGN78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  16645319 | PA      | $14006014.54  | 0.23%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FN AH0979                                                   | CUSIP: 3138A2CR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    185796 | PA      | $173142.25    | 0.00%             | 2041-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WINWATER MORTGAGE LOAN TRUST 2016-1                                    | WIN 2016-1 2A3                                              | CUSIP: 97655JBS0<br>LEI: 5493007FSEV8PHXVE122 | Long             | ABS-O            | CORP              | US        |    434592 | PA      | $421308.31    | 0.01%             | 2030-12-20      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION I MORTGAGE-BACKED SECURITIES  | GN 781697                                                   | CUSIP: 36225B3E6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     21561 | PA      | $22397.63     | 0.00%             | 2033-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHMS K118 XAM                                               | CUSIP: 3137F62R7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |  37151661 | PA      | $1707085.39   | 0.03%             | 2030-09-25      | Variable      | 1.26%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 4546 ZT                                                 | CUSIP: 3137BMNX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    543964 | PA      | $396503.99    | 0.01%             | 2046-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                 | U.S. Treasury Bond Options                                  | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -244 | NC      | $-38125.00    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                 | 2-Year T-Note Options                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -306 | NC      | $-4781.56     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2014-60 EZ                                              | CUSIP: 3136ALDV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |  31641280 | PA      | $28926854.01  | 0.47%             | 2044-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 4872 BZ                                                 | CUSIP: 3137FLEW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   3753180 | PA      | $3431723.94   | 0.06%             | 2049-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FN AE7733                                                   | CUSIP: 31419JSX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1592939 | PA      | $1613295.44   | 0.03%             | 2040-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2015-66 LI                                              | CUSIP: 38379PC54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   2553467 | PA      | $153272.89    | 0.00%             | 2045-05-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GGP TRUST 2026-2PAK                                                    | GGP 2026-2PAK A                                             | CUSIP: 37441HAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6500000 | PA      | $6483573.85   | 0.11%             | 2031-04-11      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FIGRE TRUST 2026-FL1                                                   | FIGRE 2026-FL1 A1FC                                         | CUSIP: 31684XAL9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3867387 | PA      | $3883294.43   | 0.06%             | 2056-03-25      | Variable      | 5.49%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2020-INV1                                     | JPMMT 2020-INV1 A15                                         | CUSIP: 46591VBH1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2981439 | PA      | $2679978.16   | 0.04%             | 2050-08-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GN 743673                                                   | CUSIP: 3620AYFN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     74729 | PA      | $74146.15     | 0.00%             | 2040-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                       | FR SD0961                                                   | CUSIP: 3132DNB69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7935926 | PA      | $7398996.03   | 0.12%             | 2048-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2016-37 AF                                              | CUSIP: 38379VYP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   4138283 | PA      | $4076412.32   | 0.07%             | 2043-11-20      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                 | 10-Year T-Note Options                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -127 | NC      | $-49609.38    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHS 267 S5                                                  | CUSIP: 31325TN96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    229044 | PA      | $21876.01     | 0.00%             | 2042-08-15      | Floating      | 2.21%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | CAS 2024-R05 2A1                                            | CUSIP: 20754XAA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   4510708 | PA      | $4518434.36   | 0.07%             | 2044-07-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 5208 Z                                                  | CUSIP: 3137H6UD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |  15100838 | PA      | $11964103.99  | 0.19%             | 2052-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2005-57 KZ                                              | CUSIP: 31394ERF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   1193586 | PA      | $1237972.29   | 0.02%             | 2035-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST 2025-DNA1                                | STACR 2025-DNA1 A1                                          | CUSIP: 35564NFY4<br>LEI: 529900WZAMS87JCAOC53 | Long             | ABS-O            | USGSE             | US        |   1347500 | PA      | $1348972.14   | 0.02%             | 2045-01-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2015-138 MI                                             | CUSIP: 38379QPM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    170512 | PA      | $11951.37     | 0.00%             | 2044-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PROVIDENT FUNDING MORTGAGE TRUST 2019-1                                | PFMT 2019-1 A5                                              | CUSIP: 74387LAJ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    966844 | PA      | $837274.59    | 0.01%             | 2049-12-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FN AI6581                                                   | CUSIP: 3138ALJ32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13481 | PA      | $13374.59     | 0.00%             | 2041-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2017-33 PZ                                              | CUSIP: 38376T7H9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   6815327 | PA      | $5783955.81   | 0.09%             | 2047-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MFA 2025-NQM1 TRUST                                                    | MFRA 2025-NQM1 A1                                           | CUSIP: 55287JAA4<br>LEI: 254900T233AM4RM23465 | Long             | ABS-O            | CORP              | US        |   1559114 | PA      | $1563880.87   | 0.03%             | 2070-03-25      | Variable      | 5.44%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                            | 2-Year T-Note Options                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -209 | NC      | $-107765.83   | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| FREDDIE MAC STRUCTURED PASS THROUGH CERTIFICATES SERIES 2019-K100      | FHMS K100 X1                                                | CUSIP: 3137FQ3C5<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        | 121631948 | PA      | $2299804.71   | 0.04%             | 2029-09-25      | Variable      | 0.76%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHMS K-150 A1                                               | CUSIP: 3137H9C80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   4533430 | PA      | $4493869.91   | 0.07%             | 2031-12-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2014-94 Z                                               | CUSIP: 38379CA89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    692877 | PA      | $675252.45    | 0.01%             | 2044-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNGT 2002-T8 A                                              | CUSIP: 31392DSE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |  10857843 | PA      | $11290621.43  | 0.18%             | 2032-07-25      | Variable      | 6.78%                 | No            |                  2 | On Loan: No      |
| OSCAR US FUNDING XVII LLC                                              | OSCAR 2024-2A A3                                            | CUSIP: 68784BAC8<br>LEI: 353800UI8625NXT7ND41 | Long             | ABS-O            | CORP              | JP        |   4900000 | PA      | $4898569.69   | 0.08%             | 2029-03-12      | Fixed         | 4.47%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2010-116 JB                                             | CUSIP: 38377LBY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1406100 | PA      | $1394967.39   | 0.02%             | 2040-06-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| VISTA POINT SECURITIZATION TRUST 2020-1                                | VSTA 2020-1 M1                                              | CUSIP: 92838WAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4724771 | PA      | $4704977.25   | 0.08%             | 2065-03-25      | Variable      | 4.15%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2004-71 ST                                              | CUSIP: 38374JBT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     25969 | PA      | $26063.08     | 0.00%             | 2034-09-20      | Floating      | 7.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 4026 GZ                                                 | CUSIP: 3137ANZG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   1346766 | PA      | $1271197.40   | 0.02%             | 2042-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GN 737673                                                   | CUSIP: 3620ARQ20<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    538341 | PA      | $528835.48    | 0.01%             | 2040-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                 | U.S. Treasury Bond Options                                  | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -735 | NC      | $-1228828.13  | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FG B70791                                                   | CUSIP: 3129882Y3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    473977 | PA      | $468593.35    | 0.01%             | 2039-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2016-50 GY                                              | CUSIP: 3136ATDD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |  11510000 | PA      | $9360249.68   | 0.15%             | 2046-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2009-126 LB                                             | CUSIP: 38376PWN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    732000 | PA      | $739041.55    | 0.01%             | 2039-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2016-167 KI                                             | CUSIP: 38380CDE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    113588 | PA      | $12062.40     | 0.00%             | 2046-12-16      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PROVIDENT FUNDING MORTGAGE LOAN TRUST 2005-1                           | PFMT 2020-1 A5                                              | CUSIP: 743874AJ8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2108532 | PA      | $1836076.38   | 0.03%             | 2050-02-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FG A48972                                                   | CUSIP: 3128K96H2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     48109 | PA      | $49697.98     | 0.00%             | 2036-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2013-105 KO                                             | CUSIP: 3136AGQC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     85661 | PA      | $75867.44     | 0.00%             | 2043-10-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FN BM4785                                                   | CUSIP: 3140J9J77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2912681 | PA      | $2913295.67   | 0.05%             | 2038-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2022-124 MY                                             | CUSIP: 38383T5C3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |  12000000 | PA      | $10323218.40  | 0.17%             | 2052-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 4591 GI                                                 | CUSIP: 3137BQPQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    599765 | PA      | $59043.64     | 0.00%             | 2044-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                 | 2-Year T-Note Options                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -111 | NC      | $-104062.50   | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FN BN4059                                                   | CUSIP: 3140JLQM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    762430 | PA      | $715067.06    | 0.01%             | 2048-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FG G60168                                                   | CUSIP: 31335AFH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    372659 | PA      | $367516.23    | 0.01%             | 2045-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2022-63 MZ                                              | CUSIP: 38383RBC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |  12318553 | PA      | $9454293.88   | 0.15%             | 2051-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2010-35 EP                                              | CUSIP: 31398PHK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    500000 | PA      | $499830.45    | 0.01%             | 2040-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2017-87 ZA                                              | CUSIP: 3136AYT37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   2488717 | PA      | $2083668.14   | 0.03%             | 2057-11-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GN 723248                                                   | CUSIP: 3620A9P96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     39718 | PA      | $40610.87     | 0.00%             | 2039-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2012-66 DI                                              | CUSIP: 3136A6A53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     12467 | PA      | $129.03       | 0.00%             | 2027-06-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 4136 TU                                                 | CUSIP: 3137AWMU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    196432 | PA      | $31117.34     | 0.00%             | 2042-08-15      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2017-35 Z                                               | CUSIP: 38379RQH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   4523409 | PA      | $2765642.01   | 0.04%             | 2059-05-16      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FG G05173                                                   | CUSIP: 3128M7CJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6331 | PA      | $6302.48      | 0.00%             | 2031-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                            | 2-Year T-Note Options                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -507 | NC      | $-190125.00   | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| HOMES 2026-AFC1 TRUST                                                  | HOMES 2026-AFC1 A1                                          | CUSIP: 403972AC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4428817 | PA      | $4405586.57   | 0.07%             | 2061-02-01      | Variable      | 4.85%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 3572 JS                                                 | CUSIP: 31398JSS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    410651 | PA      | $18405.82     | 0.00%             | 2039-09-15      | Floating      | 3.05%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                       | FHS 413 PO                                                  | CUSIP: 3133Q3ND9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2951666 | PA      | $2527013.63   | 0.04%             | 2054-05-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2022-124 EY                                             | CUSIP: 38383T5D1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |  22341349 | PA      | $19169270.65  | 0.31%             | 2052-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | CAS 2022-R02 2M2                                            | CUSIP: 20754BAB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   4754942 | PA      | $4815451.97   | 0.08%             | 2042-01-27      | Floating      | 6.65%                 | No            |                  2 | On Loan: No      |
| REDWOOD FUNDING TRUST 2025-3                                           | RFT 2025-3 A                                                | CUSIP: 75806GAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2944006 | PA      | $2970402.55   | 0.05%             | 2056-12-28      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FG A65324                                                   | CUSIP: 3128KV4H5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     96168 | PA      | $98724.77     | 0.00%             | 2037-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHMS K-1515 X1                                              | CUSIP: 3137FTZM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |  88711063 | PA      | $8175682.55   | 0.13%             | 2035-02-25      | Variable      | 1.63%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2023-40 DO                                              | CUSIP: 3136BQGQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   4607393 | PA      | $3674174.17   | 0.06%             | 2053-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 4226 NS                                                 | CUSIP: 3137B3FV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |     11838 | PA      | $6056.77      | 0.00%             | 2043-01-15      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                 | U.S. Treasury Bond Options                                  | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -734 | NC      | $-3440625.00  | -0.06%            |  |  |  | No            |                  1 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GN 711543                                                   | CUSIP: 36297GP46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     78112 | PA      | $75825.35     | 0.00%             | 2040-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2005-40 SA                                              | CUSIP: 31394DQF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     30992 | PA      | $2403.91      | 0.00%             | 2035-05-25      | Floating      | 2.94%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GN 781623                                                   | CUSIP: 36225BYU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    146355 | PA      | $147678.67    | 0.00%             | 2033-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2010-116 BM                                             | CUSIP: 38377LBS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     89000 | PA      | $86291.06     | 0.00%             | 2040-09-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2005-2 S                                                | CUSIP: 31394CCK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    644834 | PA      | $50080.21     | 0.00%             | 2035-02-25      | Floating      | 2.84%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FN FM2197                                                   | CUSIP: 3140X5NP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10243606 | PA      | $10102686.56  | 0.16%             | 2047-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT                   | S 0 08/15/35                                                | CUSIP: 9128335A4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10200000 | PA      | $6769850.16   | 0.11%             | 2035-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHMS KG04 X1                                                | CUSIP: 3137F84T7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        | 114256289 | PA      | $3518179.64   | 0.06%             | 2030-11-25      | Variable      | 0.93%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT                   | S 0 08/15/36                                                | CUSIP: 9128337E4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10000000 | PA      | $6280621.90   | 0.10%             | 2036-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CSMC 2019-UVIL                                                         | CSMC 2019-UVIL A                                            | CUSIP: 12656DAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3205000 | PA      | $3014101.55   | 0.05%             | 2041-12-17      | Variable      | 3.16%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                 | U.S. Treasury Bond Options                                  | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -144 | NC      | $-342000.00   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2013-13 IK                                              | CUSIP: 3136ACE56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     63781 | PA      | $1039.63      | 0.00%             | 2028-03-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2017-186 TI                                             | CUSIP: 38380T4U7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   2302822 | PA      | $26534.26     | 0.00%             | 2040-05-20      | Floating      | 0.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 4103 HI                                                 | CUSIP: 3137AUAF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |     37120 | PA      | $475.15       | 0.00%             | 2027-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FN AL9777                                                   | CUSIP: 3138ER2K5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    838321 | PA      | $824959.94    | 0.01%             | 2047-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2017-84 ZK                                              | CUSIP: 3136AYMD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   4589425 | PA      | $3929346.84   | 0.06%             | 2057-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| EFMT 2023-1                                                            | EFMT 2023-1 A1                                              | CUSIP: 26844QAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5258194 | PA      | $5255652.71   | 0.09%             | 2068-02-25      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FG G08113                                                   | CUSIP: 3128MJDT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1011 | PA      | $1065.28      | 0.00%             | 2036-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2022-LTV1                          | GSMBS 2022-LTV1 A14                                         | CUSIP: 36266VAR5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10000000 | PA      | $7223594.00   | 0.12%             | 2052-06-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 2577 LI                                                 | CUSIP: 31393LCM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |     51349 | PA      | $4919.70      | 0.00%             | 2033-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT                   | S 0 02/15/36                                                | CUSIP: 9128335B2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  27339000 | PA      | $17658459.40  | 0.29%             | 2036-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHMR 2021-RR15 X                                            | CUSIP: 3137F92K6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        | 112345000 | PA      | $9747861.08   | 0.16%             | 2034-10-27      | Variable      | 1.56%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2018-BIOA                                 | BX 2020-VIV4 A                                              | CUSIP: 05608MAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2900000 | PA      | $2696901.98   | 0.04%             | 2044-03-11      | Fixed         | 2.84%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FNR 2026-5 CF                                               | CUSIP: 3136BYC26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |  28514645 | PA      | $28486118.95  | 0.46%             | 2056-02-25      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 5225 HZ                                                 | CUSIP: 3137H7KJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |  12153605 | PA      | $10527991.06  | 0.17%             | 2051-08-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | SLST 2021-1 AC                                              | CUSIP: 35564CKH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |  17406417 | PA      | $16078706.23  | 0.26%             | 2031-05-26      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT                   | S 0 02/15/37                                                | CUSIP: 9128337F1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  14000000 | PA      | $8552425.42   | 0.14%             | 2037-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ONE BRYANT PARK TRUST 2019-OBP                                         | OBP 2019-OBP A                                              | CUSIP: 68236JAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2250000 | PA      | $2084095.35   | 0.03%             | 2054-09-13      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| PRPM 2025-RPL3 LLC                                                     | PRPM 2025-RPL3 A1                                           | CUSIP: 69392NAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1729214 | PA      | $1676306.24   | 0.03%             | 2055-04-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FG Q07189                                                   | CUSIP: 3132GSKA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     35992 | PA      | $34719.31     | 0.00%             | 2042-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GN 653143                                                   | CUSIP: 36292MS86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     38024 | PA      | $37889.26     | 0.00%             | 2036-04-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| ISLAND FINANCE TRUST 2025-1                                            | ISLN 2025-1A A                                              | CUSIP: 463920AA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $3021296.10   | 0.05%             | 2035-03-19      | Fixed         | 6.54%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                       | FR SE9110                                                   | CUSIP: 3133SKDP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  15022022 | PA      | $11823000.82  | 0.19%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GN 627123                                                   | CUSIP: 36291FVQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3693 | PA      | $3725.42      | 0.00%             | 2034-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FN AI9158                                                   | CUSIP: 3138APE87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    702380 | PA      | $758768.41    | 0.01%             | 2041-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2018-94 AZ                                              | CUSIP: 3136B3WL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   5440401 | PA      | $5146433.44   | 0.08%             | 2049-01-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FG U64762                                                   | CUSIP: 3132MQFB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    621992 | PA      | $615193.99    | 0.01%             | 2045-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2016-120 AS                                             | CUSIP: 38380ASK4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   4996257 | PA      | $689723.80    | 0.01%             | 2046-09-20      | Floating      | 2.32%                 | No            |                  2 | On Loan: No      |
| ELLINGTON FINANCIAL MORTGAGE TRUST 2019-2                              | EFMT 2019-2 M1                                              | CUSIP: 31573TAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2422000 | PA      | $2338235.86   | 0.04%             | 2059-11-25      | Variable      | 3.47%                 | No            |                  2 | On Loan: No      |
| PRPM 2025-RCF5 LLC                                                     | PRPM 2025-RCF5 A1                                           | CUSIP: 69384AAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1675820 | PA      | $1662899.70   | 0.03%             | 2055-10-25      | Fixed         | 4.84%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2009-81 TZ                                              | CUSIP: 38376F4G4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    178870 | PA      | $174334.01    | 0.00%             | 2039-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                       | FR SD1170                                                   | CUSIP: 3132DNJP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  14607160 | PA      | $13630775.08  | 0.22%             | 2049-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2007-81 FZ                                              | CUSIP: 38374DKM0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    181591 | PA      | $177606.94    | 0.00%             | 2037-12-20      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                 | Ultra U.S. Treasury Bond Futures, Jun-2026,ETH              | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |     -2951 | NC      | $5954881.24   | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2004-25 LC                                              | CUSIP: 31393XRL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    119340 | PA      | $122439.64    | 0.00%             | 2034-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT GRANTOR TRUST 2025-1                                    | PAID 2025-1 A2                                              | CUSIP: 69544NAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3364214 | PA      | $3376405.14   | 0.05%             | 2032-07-15      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED PASS THROUGH CERTIFICATES SERIES 2020-K113      | FHMS K113 XAM                                               | CUSIP: 3137FV5S7<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |  82019000 | PA      | $4787875.53   | 0.08%             | 2030-06-25      | Variable      | 1.68%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GN 733733                                                   | CUSIP: 3620AMEE8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     53629 | PA      | $54504.62     | 0.00%             | 2040-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FLAGSTAR MORTGAGE TRUST 2018-4                                         | FSMT 2018-4 B1                                              | CUSIP: 33851LAM6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3240195 | PA      | $3020122.61   | 0.05%             | 2048-07-25      | Variable      | 4.40%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2016-74 HI                                              | CUSIP: 3136ATD76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    250179 | PA      | $44731.04     | 0.00%             | 2046-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNS 323 6                                                   | CUSIP: 3136FAMX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28961 | PA      | $2665.56      | 0.00%             | 2032-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2016-156 ZM                                             | CUSIP: 38380BC94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   5827610 | PA      | $5282814.84   | 0.09%             | 2046-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FG C91482                                                   | CUSIP: 3128P7UF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8593 | PA      | $8414.44      | 0.00%             | 2032-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2009-69 ZB                                              | CUSIP: 38373AM52<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    669551 | PA      | $670683.26    | 0.01%             | 2039-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2014-29 GI                                              | CUSIP: 3136AJV86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     14726 | PA      | $337.20       | 0.00%             | 2029-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT                   | S 0 08/15/44                                                | CUSIP: 912834NV6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5220000 | PA      | $2027722.57   | 0.03%             | 2044-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT                   | S 0 11/15/44                                                | CUSIP: 912834PB8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5350000 | PA      | $2050163.39   | 0.03%             | 2044-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2014-44 IC                                              | CUSIP: 38379AVB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    277094 | PA      | $552.05       | 0.00%             | 2028-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| RESEARCH-DRIVEN PAGAYA MOTOR ASSET TRUST 2025-5                        | RPM 2025-5A A3                                              | CUSIP: 76089KAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8000000 | PA      | $8011172.80   | 0.13%             | 2034-06-26      | Fixed         | 4.84%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2009-61 PZ                                              | CUSIP: 38376FEC2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    350089 | PA      | $367502.41    | 0.01%             | 2039-08-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FN FS4157                                                   | CUSIP: 3140XKTP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  20900957 | PA      | $19906467.96  | 0.32%             | 2049-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT                   | S 0 05/15/38                                                | CUSIP: 912834AE8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  23853000 | PA      | $13543377.75  | 0.22%             | 2038-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2011-4 PZ                                               | CUSIP: 38377TAY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    329596 | PA      | $328305.98    | 0.01%             | 2041-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2015-137 WA                                             | CUSIP: 38379QAH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    236453 | PA      | $243288.80    | 0.00%             | 2038-01-20      | Variable      | 5.55%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT                   | B 0 06/30/26                                                | CUSIP: 912797UC9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10000000 | PA      | $9939593.70   | 0.16%             | 2026-06-30      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2019-38 CF                                              | CUSIP: 3136B5EY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   4898513 | PA      | $4812643.58   | 0.08%             | 2049-07-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2011-129 CL                                             | CUSIP: 38376LU98<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    239265 | PA      | $238082.86    | 0.00%             | 2041-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GN 726394                                                   | CUSIP: 3620AC7F5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     22904 | PA      | $22679.22     | 0.00%             | 2039-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2013-19 ZD                                              | CUSIP: 3136ACLY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   7053444 | PA      | $6411975.49   | 0.10%             | 2043-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2003-35 TZ                                              | CUSIP: 38373SV20<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1870475 | PA      | $1866474.64   | 0.03%             | 2033-04-16      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2014-118 TV                                             | CUSIP: 38379EKC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    693441 | PA      | $66758.30     | 0.00%             | 2044-05-20      | Floating      | 2.47%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT                   | S 0 11/15/33                                                | CUSIP: 9128337U8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  33300000 | PA      | $24160864.95  | 0.39%             | 2033-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2018-92 DB                                              | CUSIP: 3136B3WA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   1512687 | PA      | $1392193.76   | 0.02%             | 2049-01-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 4600 WT                                                 | CUSIP: 3137BQXX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    771702 | PA      | $697734.52    | 0.01%             | 2036-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| First Trust Exchange-Traded Fund IV                                    | First Trust Long Duration Opportunities ETF                 | CUSIP: 33738D606<br>LEI: 5493006CBTW7P2B31B80 | Long             | EC               | RF                | US        |     73956 | NS      | $1590793.56   | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                       | FR SD1169                                                   | CUSIP: 3132DNJN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8065194 | PA      | $7543346.00   | 0.12%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHS 304 C37                                                 | CUSIP: 31325UPS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5777 | PA      | $74.56        | 0.00%             | 2027-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2009-57 VB                                              | CUSIP: 38374VSP5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   3732287 | PA      | $3725680.80   | 0.06%             | 2039-06-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT                   | S 0 11/15/43                                                | CUSIP: 912834MZ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5340000 | PA      | $2168845.59   | 0.04%             | 2043-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT                   | B 0 06/23/26                                                | CUSIP: 912797UB1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  20000000 | PA      | $19893153.40  | 0.32%             | 2026-06-23      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FG Q11836                                                   | CUSIP: 3132HNBD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     33555 | PA      | $31548.16     | 0.00%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FN FP0122                                                   | CUSIP: 3140XTD40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13394536 | PA      | $13064334.61  | 0.21%             | 2051-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ARBOR MULTIFAMILY MORTGAGE SECURITIES TRUST 2020-MF1                   | AMMST 2020-MF1 A4                                           | CUSIP: 03881BAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7400000 | PA      | $6900835.96   | 0.11%             | 2053-05-16      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BMO 2025-C13 MORTGAGE TRUST                                            | BMO 2025-C13 XA                                             | CUSIP: 05592YAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  64624306 | PA      | $4891374.93   | 0.08%             | 2058-10-18      | Variable      | 1.22%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNS 409 53                                                  | CUSIP: 3136FLCE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    199131 | PA      | $27531.65     | 0.00%             | 2042-04-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FN BS3035                                                   | CUSIP: 3140LDLR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6735000 | PA      | $6332015.25   | 0.10%             | 2028-09-01      | Fixed         | 1.39%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 4826 ME                                                 | CUSIP: 3137FH4X8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   3288650 | PA      | $2966548.33   | 0.05%             | 2048-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2020-34 FA                                              | CUSIP: 3136BAHZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |  13694273 | PA      | $13434818.41  | 0.22%             | 2050-06-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2008-47 ML                                              | CUSIP: 38375XBM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    280073 | PA      | $283594.30    | 0.00%             | 2038-06-16      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2002-80 CZ                                              | CUSIP: 31392FLJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     86204 | PA      | $83010.07     | 0.00%             | 2032-09-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2009-92 DB                                              | CUSIP: 31398FVJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     97000 | PA      | $97958.44     | 0.00%             | 2039-11-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2013-23 ZB                                              | CUSIP: 3136ADCB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     56378 | PA      | $39380.74     | 0.00%             | 2043-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 4774 SL                                                 | CUSIP: 3137F4W73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   2008156 | PA      | $212490.06    | 0.00%             | 2048-04-15      | Floating      | 2.45%                 | No            |                  2 | On Loan: No      |
| First Trust Exchange-Traded Fund IV                                    | First Trust Intermediate Government Opportunities ETF       | CUSIP: 33738D838<br>LEI: 5493000G9GN9OLNUML64 | Long             | EC               | RF                | US        |     90000 | NS      | $1819800.00   | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2017-32 DI                                              | CUSIP: 38380CS95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   2283296 | PA      | $201889.95    | 0.00%             | 2035-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2012-149 PC                                             | CUSIP: 38378GM88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    906223 | PA      | $939787.88    | 0.02%             | 2042-12-20      | Variable      | 6.26%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2009-91 HL                                              | CUSIP: 31398FTF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    120103 | PA      | $121485.36    | 0.00%             | 2039-11-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BANK 2020-BNK26                                                        | BANK 2020-BN26 XA                                           | CUSIP: 06540JBM3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8142139 | PA      | $270551.05    | 0.00%             | 2063-03-16      | Variable      | 1.30%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FG U90932                                                   | CUSIP: 3132H4A92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6663 | PA      | $6102.74      | 0.00%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 4959 LB                                                 | CUSIP: 3137FRNY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   8706789 | PA      | $7896753.76   | 0.13%             | 2040-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FN BJ6232                                                   | CUSIP: 3140H74S3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30564 | PA      | $30598.34     | 0.00%             | 2048-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| PRPM 2025-2 LLC                                                        | PRPM 2025-2 A1                                              | CUSIP: 69382HAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4984367 | PA      | $4971695.30   | 0.08%             | 2030-05-25      | Variable      | 6.47%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GN 658324                                                   | CUSIP: 36294SLD7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    194490 | PA      | $201031.20    | 0.00%             | 2037-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| TIAA BANK MORTGAGE LOAN TRUST 2018-3                                   | TBMLT 2018-3 A1                                             | CUSIP: 88632AAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    681889 | PA      | $647420.86    | 0.01%             | 2048-11-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2025-98 SX                                              | CUSIP: 38381NPY8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |  34026596 | PA      | $31221007.57  | 0.51%             | 2055-06-20      | Floating      | 3.89%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2005-95 WZ                                              | CUSIP: 31394UET5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    129608 | PA      | $130753.17    | 0.00%             | 2035-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2024-V6 MORTGAGE TRUST                                       | BMARK 2024-V6 XA                                            | CUSIP: 081927AC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  75072729 | PA      | $2479584.68   | 0.04%             | 2057-03-16      | Variable      | 1.58%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 4176 HE                                                 | CUSIP: 3137B0PK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    905000 | PA      | $838785.95    | 0.01%             | 2043-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED PASS THROUGH CERTIFICATES SERIES 2020-K118      | FHMS K118 X1                                                | CUSIP: 3137F62P1<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |  75773485 | PA      | $2628718.58   | 0.04%             | 2030-09-25      | Variable      | 1.04%                 | No            |                  2 | On Loan: No      |
| GRACIE POINT INTERNATIONAL FUNDING 2025-1 LLC                          | GPIF 2025-1A A                                              | CUSIP: 38411WAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  16300000 | PA      | $16327053.11  | 0.26%             | 2028-08-15      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2018-131 IA                                             | CUSIP: 38380YZK4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   3381155 | PA      | $449622.59    | 0.01%             | 2044-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2016-141 PC                                             | CUSIP: 38380CAX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    464000 | PA      | $443620.42    | 0.01%             | 2046-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2010-59 ZD                                              | CUSIP: 38377FVF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1178557 | PA      | $1272772.20   | 0.02%             | 2040-05-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 3593 F                                                  | CUSIP: 31398KRU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    206092 | PA      | $204515.08    | 0.00%             | 2036-03-15      | Variable      | 4.28%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2016-1                             | NRZT 2016-1A A1                                             | CUSIP: 64829FAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2360411 | PA      | $2277068.62   | 0.04%             | 2056-03-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FR SD7509                                                   | CUSIP: 3132DVKW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  14264304 | PA      | $12736402.24  | 0.21%             | 2049-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2009-50 GX                                              | CUSIP: 31396QLV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   4400000 | PA      | $4439470.64   | 0.07%             | 2039-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT                   | T 4.25 01/15/28                                             | CUSIP: 91282CMF5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  15000000 | PA      | $15089648.40  | 0.24%             | 2028-01-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| PRPM 2025-NQM2 TRUST                                                   | PRPM 2025-NQM2 A1                                           | CUSIP: 693983AA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4049849 | PA      | $4074900.27   | 0.07%             | 2070-04-25      | Variable      | 5.69%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2019-104 Z                                              | CUSIP: 38380NLL1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   2076458 | PA      | $1093956.38   | 0.02%             | 2061-05-16      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 5224 HL                                                 | CUSIP: 3137H7G72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |  26789410 | PA      | $24816388.71  | 0.40%             | 2052-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | G2 AK2389                                                   | CUSIP: 36183KUN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    232749 | PA      | $227480.92    | 0.00%             | 2044-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 4097 ES                                                 | CUSIP: 3137ATJQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |     19028 | PA      | $1999.65      | 0.00%             | 2042-08-15      | Floating      | 2.35%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FN AL5890                                                   | CUSIP: 3138ENRL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    356859 | PA      | $354042.10    | 0.01%             | 2043-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ARBOR MULTIFAMILY MORTGAGE SECURITIES TRUST 2020-MF1                   | AMMST 2020-MF1 AS                                           | CUSIP: 03881BAJ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2963000 | PA      | $2760889.03   | 0.04%             | 2053-05-16      | Variable      | 3.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2013-105 BN                                             | CUSIP: 3136AGPZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    379979 | PA      | $353370.29    | 0.01%             | 2043-05-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2005-79 NS                                              | CUSIP: 31394FHE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     18371 | PA      | $1430.36      | 0.00%             | 2035-09-25      | Floating      | 2.33%                 | No            |                  2 | On Loan: No      |
| BBCMS 2018-TALL MORTGAGE TRUST                                         | BBCMS 2018-TALL A                                           | CUSIP: 05548WAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8812000 | PA      | $8341607.51   | 0.14%             | 2037-03-16      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| FIVE 2023-V1 MORTGAGE TRUST                                            | F1VE 2023-V1 XA                                             | CUSIP: 337964AD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  25977590 | PA      | $238011.87    | 0.00%             | 2056-02-11      | Variable      | 0.65%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 4994 FT                                                 | CUSIP: 3137FUCU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   6647965 | PA      | $6505652.27   | 0.11%             | 2050-01-25      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FN FS8780                                                   | CUSIP: 3140XQXJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  45211053 | PA      | $40624786.35  | 0.66%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 4218 ZK                                                 | CUSIP: 3137B2Y53<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |  15246911 | PA      | $12610473.05  | 0.20%             | 2043-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2009-78 KZ                                              | CUSIP: 38376FUK6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    760202 | PA      | $753863.60    | 0.01%             | 2039-09-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| REDWOOD FUNDING TRUST 2026-2                                           | RFT 2026-2 A                                                | CUSIP: 75805CAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8999000 | PA      | $8998987.40   | 0.15%             | 2056-11-27      | Fixed         | 6.26%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT                   | T 4.125 02/15/27                                            | CUSIP: 91282CKA8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  30000000 | PA      | $30086706.30  | 0.49%             | 2027-02-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                       | FR SF5029                                                   | CUSIP: 3133SSSS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5515870 | PA      | $5171763.31   | 0.08%             | 2046-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NRTH 2024-PARK MORTGAGE TRUST                                          | NRTH 2025-PARK A                                            | CUSIP: 669985AA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5611500 | PA      | $5615824.22   | 0.09%             | 2040-10-15      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| PRKCM 2025-AFC2 TRUST                                                  | PRKCM 2025-AFC2 A1                                          | CUSIP: 74277JAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1945731 | PA      | $1939619.51   | 0.03%             | 2060-12-25      | Variable      | 5.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2025-6 LF                                               | CUSIP: 3136BU3V0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |  15471921 | PA      | $15703641.22  | 0.25%             | 2055-02-25      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2017-17 KZ                                              | CUSIP: 38380CYG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1123620 | PA      | $1006961.66   | 0.02%             | 2047-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FHMS K739 XAM                                               | CUSIP: 3137F64T1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |  46072531 | PA      | $732834.29    | 0.01%             | 2027-09-25      | Variable      | 1.66%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FN AY0013                                                   | CUSIP: 3138YDAP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52490 | PA      | $50926.11     | 0.00%             | 2045-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 3587 FX                                                 | CUSIP: 31398KD98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |     65904 | PA      | $59259.36     | 0.00%             | 2037-12-15      | Floating      | 3.79%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2018-BILT                                                     | BX 2025-VOLT A                                              | CUSIP: 05619PAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3245000 | PA      | $3248615.90   | 0.05%             | 2044-12-15      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FN AS9990                                                   | CUSIP: 3138WLC43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    143379 | PA      | $140738.54    | 0.00%             | 2047-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHMS K-1510 X1                                              | CUSIP: 3137FL2N3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |  28252445 | PA      | $747847.88    | 0.01%             | 2034-01-25      | Variable      | 0.63%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHMS K122 XAM                                               | CUSIP: 3137F84L4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |  35410560 | PA      | $1565249.44   | 0.03%             | 2030-11-25      | Variable      | 1.17%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2019-INV1                                     | JPMMT 2019-INV1 B1                                          | CUSIP: 46591DAX7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4910951 | PA      | $4789735.59   | 0.08%             | 2049-09-25      | Variable      | 4.93%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 5208 HZ                                                 | CUSIP: 3137H6TV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |  13093342 | PA      | $11468548.21  | 0.19%             | 2052-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FHMS K739 X1                                                | CUSIP: 3137F64R5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        | 120494784 | PA      | $1149014.17   | 0.02%             | 2027-09-25      | Variable      | 1.27%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FN BV8046                                                   | CUSIP: 3140MM5G9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3474903 | PA      | $3401232.58   | 0.06%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2019-8                                        | JPMMT 2019-8 A15                                            | CUSIP: 46591KBE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    445156 | PA      | $403092.00    | 0.01%             | 2050-03-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GN 782070                                                   | CUSIP: 36241KJP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2679 | PA      | $2722.38      | 0.00%             | 2032-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2022-191 BY                                             | CUSIP: 38383LHV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |  11106000 | PA      | $10594312.15  | 0.17%             | 2041-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                 | 5-Year T-Note Options                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -367 | NC      | $-441546.88   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHMS K097 X1                                                | CUSIP: 3137FNX70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |  71253041 | PA      | $2168201.53   | 0.04%             | 2029-07-25      | Variable      | 1.21%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2001-42 SB                                              | CUSIP: 313920B41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |       558 | PA      | $557.95       | 0.00%             | 2031-09-25      | Floating      | 8.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 4833 PY                                                 | CUSIP: 3137FJD63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   2042462 | PA      | $1910292.75   | 0.03%             | 2048-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FN AL2892                                                   | CUSIP: 3138EKGA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47617 | PA      | $44714.96     | 0.00%             | 2042-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CHASE HOME LENDING MORTGAGE TRUST 2026-CINV1                           | CHASE 2026-CINV1 A11                                        | CUSIP: 161923CC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  13541964 | PA      | $13562997.71  | 0.22%             | 2057-01-25      | Variable      | 4.86%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2022-62 FM                                              | CUSIP: 3136BNZ74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |  23240535 | PA      | $22946523.23  | 0.37%             | 2052-09-25      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 3740 SC                                                 | CUSIP: 3137GARQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    134092 | PA      | $13206.61     | 0.00%             | 2040-10-15      | Floating      | 2.25%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNS 409 49                                                  | CUSIP: 3136FLCA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    184413 | PA      | $25450.92     | 0.00%             | 2041-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FN BJ9124                                                   | CUSIP: 3140HBD62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    762103 | PA      | $750049.88    | 0.01%             | 2048-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2013-69 PI                                              | CUSIP: 38378TPS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     90896 | PA      | $6982.21      | 0.00%             | 2043-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FN MA0096                                                   | CUSIP: 31417YDA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21339 | PA      | $21353.16     | 0.00%             | 2029-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHMS K114 XAM                                               | CUSIP: 3137FVNL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |  53269611 | PA      | $2643770.79   | 0.04%             | 2030-06-25      | Variable      | 1.43%                 | No            |                  2 | On Loan: No      |
| ARROYO MORTGAGE TRUST 2021-1R                                          | ARRW 2021-1R A2                                             | CUSIP: 042853AB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1298708 | PA      | $1200167.15   | 0.02%             | 2048-10-25      | Variable      | 1.48%                 | No            |                  2 | On Loan: No      |
| HOMES 2025-AFC2 TRUST                                                  | HOMES 2025-AFC2 A1A                                         | CUSIP: 43761YAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2173462 | PA      | $2184459.10   | 0.04%             | 2060-06-25      | Variable      | 5.47%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2024-60 GV                                              | CUSIP: 3136BSR98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   5042574 | PA      | $5014253.90   | 0.08%             | 2035-11-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2005-33 AY                                              | CUSIP: 38374K2D4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     63598 | PA      | $63499.83     | 0.00%             | 2035-04-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FG U80212                                                   | CUSIP: 3132G7GV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     29336 | PA      | $28487.86     | 0.00%             | 2033-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FN BM6732                                                   | CUSIP: 3140JBPS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  17760540 | PA      | $17099970.96  | 0.28%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                       | FHR 4990 AF                                                 | CUSIP: 3137FURQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |  12570407 | PA      | $12308511.76  | 0.20%             | 2050-07-25      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED PASS THROUGH CERTIFICATES SERIES K-123          | FHMS K123 A2                                                | CUSIP: 3137F8ZV8<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |   5700000 | PA      | $5082212.91   | 0.08%             | 2030-12-25      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2005-86 WZ                                              | CUSIP: 31394UCM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   1208906 | PA      | $1224368.34   | 0.02%             | 2035-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2017-CH1                                        | SEMT 2017-CH1 A13                                           | CUSIP: 81746HAN1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    152354 | PA      | $144375.56    | 0.00%             | 2047-08-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FN BM7521                                                   | CUSIP: 3140JCLB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  15111983 | PA      | $14013423.11  | 0.23%             | 2048-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FN BM7665                                                   | CUSIP: 3140JCQT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  25339475 | PA      | $23434261.31  | 0.38%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2026-1                                        | JPMMT 2026-1 A11                                            | CUSIP: 46594NCH5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2899426 | PA      | $2882543.17   | 0.05%             | 2056-07-25      | Variable      | 4.76%                 | No            |                  2 | On Loan: No      |
| COLT 2025-4 MORTGAGE LOAN TRUST                                        | COLT 2025-4 A1                                              | CUSIP: 12674HAA0<br>LEI: 2138002WIT3BHLQD3E93 | Long             | ABS-O            | CORP              | US        |   3770160 | PA      | $3805925.44   | 0.06%             | 2070-04-25      | Variable      | 5.79%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FN BF0207                                                   | CUSIP: 3140FXGR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  14664153 | PA      | $14465212.00  | 0.23%             | 2047-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANKS                                                | FR SD7550                                                   | CUSIP: 3132DVL78<br>LEI: 2549001DPIFGXC1TOL40 | Long             | ABS-MBS          | USGSE             | US        |   3818949 | PA      | $3408503.49   | 0.06%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2025-131 ST                                             | CUSIP: 38381QSW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |  31231954 | PA      | $27311593.94  | 0.44%             | 2055-08-20      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| FARM 2024-1 MORTGAGE TRUST                                             | FARM 2024-1 A                                               | CUSIP: 30335JAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4747896 | PA      | $4594396.83   | 0.07%             | 2053-10-01      | Variable      | 4.68%                 | No            |                  2 | On Loan: No      |
| ARROYO MORTGAGE TRUST 2021-1R                                          | ARRW 2021-1R A3                                             | CUSIP: 042853AC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1792997 | PA      | $1655715.73   | 0.03%             | 2048-10-25      | Variable      | 1.64%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                       | FR ZL8982                                                   | CUSIP: 3131XQ6T8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11644316 | PA      | $10891563.78  | 0.18%             | 2045-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FN AP1197                                                   | CUSIP: 3138M4KK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    148464 | PA      | $139753.54    | 0.00%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST 2025-HQA1                                | STACR 2025-HQA1 A1                                          | CUSIP: 35564NGY3<br>LEI: 529900MBUPRSJMB6GN48 | Long             | ABS-O            | USGSE             | US        |   2412500 | PA      | $2416436.24   | 0.04%             | 2045-02-27      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2016-83 FA                                              | CUSIP: 3136AUDV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   2063655 | PA      | $2035682.68   | 0.03%             | 2046-11-25      | Floating      | 4.26%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2008-54 PE                                              | CUSIP: 3837427Z0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     81998 | PA      | $82876.02     | 0.00%             | 2038-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2022-57 FB                                              | CUSIP: 3136BN3L8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |  24241203 | PA      | $23975926.25  | 0.39%             | 2052-09-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT GRANTOR TRUST 2024-1                                    | PAID 2024-11 A                                              | CUSIP: 69544AAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2838785 | PA      | $2848088.97   | 0.05%             | 2032-07-15      | Fixed         | 5.09%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2025-95 DC                                              | CUSIP: 38385GUG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |  18874513 | PA      | $17535669.79  | 0.28%             | 2055-05-20      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2016-111 PI                                             | CUSIP: 38379YV39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   3801564 | PA      | $454676.98    | 0.01%             | 2045-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2006-118 A1                                             | CUSIP: 31396L4R8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   1030035 | PA      | $1007312.07   | 0.02%             | 2036-12-25      | Variable      | 3.96%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 3360 CB                                                 | CUSIP: 31397KDY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |     38914 | PA      | $40124.10     | 0.00%             | 2037-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FG A19763                                                   | CUSIP: 31296UZ46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     44672 | PA      | $44535.80     | 0.00%             | 2034-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHMS K109 XAM                                               | CUSIP: 3137FTG43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |  35529637 | PA      | $2291579.87   | 0.04%             | 2030-04-25      | Variable      | 1.91%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 4224 ME                                                 | CUSIP: 3137B3CM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   5388000 | PA      | $5014572.81   | 0.08%             | 2043-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2019-33 FK                                              | CUSIP: 3136B46X1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   3086733 | PA      | $3029629.54   | 0.05%             | 2049-07-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| TENNESSEE VALLEY AUTHORITY (TN)                                        | TVA 5.25 02/01/55                                           | CUSIP: 880591FC1<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |   5000000 | PA      | $4876685.20   | 0.08%             | 2055-02-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2003-21 OA                                              | CUSIP: 31392JM71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |      7093 | PA      | $7034.90      | 0.00%             | 2033-03-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNS 359 6                                                   | CUSIP: 3136FCTX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     54095 | PA      | $6760.95      | 0.00%             | 2035-11-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 5224 DZ                                                 | CUSIP: 3137H7G31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |  14966510 | PA      | $13638900.17  | 0.22%             | 2052-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2025-49 FA                                              | CUSIP: 3136BWAF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |  11831410 | PA      | $11777553.65  | 0.19%             | 2055-06-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT                   | T 2.5 02/15/46                                              | CUSIP: 912810RQ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7436000 | PA      | $5080588.92   | 0.08%             | 2046-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| PRKCM 2025-HOME1 TRUST                                                 | PRKCM 2025-HOME1 A1B                                        | CUSIP: 69382FAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    797258 | PA      | $801042.92    | 0.01%             | 2060-02-25      | Variable      | 5.65%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FN AL9394                                                   | CUSIP: 3138ERNL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  48590847 | PA      | $43283815.36  | 0.70%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHMS K541 X1                                                | CUSIP: 3137HLXX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        | 213452835 | PA      | $4773061.54   | 0.08%             | 2030-02-25      | Variable      | 0.81%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT                   | S 0 08/15/42                                                | CUSIP: 912834LR7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  34000000 | PA      | $14888108.36  | 0.24%             | 2042-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2009-106 WZ                                             | CUSIP: 38376JCK8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     61542 | PA      | $59157.73     | 0.00%             | 2039-11-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2006-5 N2                                               | CUSIP: 31394VL99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   8823005 | PA      | $5988.97      | 0.00%             | 2035-02-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | SCRT 2017-1 M2                                              | CUSIP: 35563PAT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   9016875 | PA      | $8798782.10   | 0.14%             | 2056-01-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2007-71 ZD                                              | CUSIP: 38375L4C1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    342453 | PA      | $341741.04    | 0.01%             | 2037-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | SLST 2019-2 A2C                                             | CUSIP: 35564CDD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |  11000000 | PA      | $10474670.80  | 0.17%             | 2029-09-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT                   | B 0 06/09/26                                                | CUSIP: 912797TZ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  30000000 | PA      | $29883324.90  | 0.48%             | 2026-06-09      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| RESEARCH-DRIVEN PAGAYA MOTOR ASSET TRUST 2025-1                        | RPM 2025-1A A                                               | CUSIP: 76089YAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3254802 | PA      | $3261302.06   | 0.05%             | 2033-06-27      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FG U90690                                                   | CUSIP: 3132H3XT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    517203 | PA      | $485572.20    | 0.01%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FG G04814                                                   | CUSIP: 3128M6VF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     67243 | PA      | $69225.73     | 0.00%             | 2038-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2009-32 SZ                                              | CUSIP: 38374UCB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    506471 | PA      | $503865.14    | 0.01%             | 2039-05-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 3954 GS                                                 | CUSIP: 3137AHZ76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   5266278 | PA      | $630047.44    | 0.01%             | 2041-11-15      | Floating      | 2.25%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2021-PJ6                           | GSMBS 2021-PJ6 A8                                           | CUSIP: 36262LAJ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2722174 | PA      | $2445903.85   | 0.04%             | 2051-11-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2011-123 JS                                             | CUSIP: 3136A2PK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   1301245 | PA      | $50590.85     | 0.00%             | 2041-03-25      | Floating      | 2.89%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES CORP                                            | GSAMP 2006-SEA1 M2                                          | CUSIP: 36244LAC7<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |    595885 | PA      | $854358.45    | 0.01%             | 2036-05-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FNR 2016-40 MS                                              | CUSIP: 3136ASF50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |  11628311 | PA      | $1353151.65   | 0.02%             | 2046-07-25      | Floating      | 2.24%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 2626 ZW                                                 | CUSIP: 31393VKU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    312456 | PA      | $316950.16    | 0.01%             | 2033-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FN AL9566                                                   | CUSIP: 3138ERTY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4901791 | PA      | $4597906.06   | 0.07%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2022-154 EZ                                             | CUSIP: 38383YWD0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |  10992463 | PA      | $8908279.16   | 0.14%             | 2052-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PRKCM 2025-HOME1 TRUST                                                 | PRKCM 2025-HOME1 A1A                                        | CUSIP: 69382FAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2284144 | PA      | $2295644.08   | 0.04%             | 2060-02-25      | Variable      | 5.55%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT                   | T 3 11/15/45                                                | CUSIP: 912810RP5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  11500000 | PA      | $8616015.63   | 0.14%             | 2045-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FN FM1284                                                   | CUSIP: 3140X4NA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1260438 | PA      | $1183401.20   | 0.02%             | 2046-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FN AB8676                                                   | CUSIP: 31417FUA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    306514 | PA      | $285726.87    | 0.00%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNS 348 18                                                  | CUSIP: 3136FCEY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28808 | PA      | $3375.06      | 0.00%             | 2033-12-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED PASS THROUGH CERTIFICATES                       | SCRT 2019-1 MA                                              | CUSIP: 35563PJF7<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |  17210555 | PA      | $16669140.40  | 0.27%             | 2058-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHMS K142 A1                                                | CUSIP: 3137H73N1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   4766359 | PA      | $4458121.39   | 0.07%             | 2031-12-25      | Variable      | 2.40%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 3605 NC                                                 | CUSIP: 31398KP61<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    754621 | PA      | $779602.19    | 0.01%             | 2037-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHMR 2021-P011 X1                                           | CUSIP: 3137H2NR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   3861266 | PA      | $398284.60    | 0.01%             | 2045-09-25      | Variable      | 1.74%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FN 256936                                                   | CUSIP: 31371NLR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28004 | PA      | $29045.98     | 0.00%             | 2037-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2017-146 Z                                              | CUSIP: 38379R6F5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   2884631 | PA      | $1773865.85   | 0.03%             | 2057-09-16      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-RPL2 LLC                                                     | PRPM 2024-RPL2 A1                                           | CUSIP: 69381DAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3948504 | PA      | $3858894.85   | 0.06%             | 2054-05-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2009-75 JN                                              | CUSIP: 38376CKS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    455000 | PA      | $458107.10    | 0.01%             | 2039-09-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2011-35 BP                                              | CUSIP: 38377UAJ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    771202 | PA      | $767023.01    | 0.01%             | 2041-03-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FNR 2020-49 FB                                              | CUSIP: 3136BAB78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   4626530 | PA      | $4521051.21   | 0.07%             | 2050-07-25      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| CHASE HOME LENDING MORTGAGE TRUST 2019-ATR2                            | CHASE 2019-ATR2 A11                                         | CUSIP: 16159GAL3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1636314 | PA      | $1600467.37   | 0.03%             | 2049-07-25      | Variable      | 4.69%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                       | FR SD3140                                                   | CUSIP: 3132DQPZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  29098228 | PA      | $26540881.57  | 0.43%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2007-27 SD                                              | CUSIP: 38375JJ71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     73739 | PA      | $396.89       | 0.00%             | 2037-05-20      | Floating      | 2.42%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED PASS THROUGH CERTIFICATES                       | SCRT 2019-3 MV                                              | CUSIP: 35563PLK3<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |   9155224 | PA      | $8678877.85   | 0.14%             | 2058-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2021-46 IL                                              | CUSIP: 38382P4V1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   4993855 | PA      | $631654.27    | 0.01%             | 2051-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FN MA2509                                                   | CUSIP: 31418BYF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1591 | PA      | $1403.21      | 0.00%             | 2046-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2015-123 ZA                                             | CUSIP: 38379QDE2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   5790229 | PA      | $5412610.07   | 0.09%             | 2045-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GN 553144                                                   | CUSIP: 36213FP56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11714 | PA      | $11867.94     | 0.00%             | 2033-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FG G60020                                                   | CUSIP: 31335AAV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6137 | PA      | $5997.83      | 0.00%             | 2043-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2013-55 AI                                              | CUSIP: 3136AEQT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    299422 | PA      | $22362.88     | 0.00%             | 2033-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FG N70081                                                   | CUSIP: 31281LCS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    146249 | PA      | $147883.02    | 0.00%             | 2038-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2017-4                                       | TPMT 2017-4 B4                                              | CUSIP: 89173UAH0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1850000 | PA      | $1448632.51   | 0.02%             | 2057-06-25      | Variable      | 3.62%                 | No            |                  2 | On Loan: No      |
| COREVEST AMERICAN FINANCE 2021-3 TRUST                                 | CAFL 2021-3 A                                               | CUSIP: 21873NAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    503766 | PA      | $499285.96    | 0.01%             | 2054-10-19      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FN 256181                                                   | CUSIP: 31371MRA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35497 | PA      | $35682.96     | 0.00%             | 2036-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GN 783375                                                   | CUSIP: 36241LXC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     86934 | PA      | $88218.16     | 0.00%             | 2041-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FG C04269                                                   | CUSIP: 31292LW68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     63443 | PA      | $58144.42     | 0.00%             | 2042-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT GRANTOR TRUST 2025-5                                    | PAID 2025-5 A2                                              | CUSIP: 69548WAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2295557 | PA      | $2302121.13   | 0.04%             | 2033-03-15      | Fixed         | 5.11%                 | No            |                  2 | On Loan: No      |
| PMT LOAN TRUST 2025-INV11                                              | PMTLT 2025-INV11 A36                                        | CUSIP: 729916BK1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4179143 | PA      | $4200732.43   | 0.07%             | 2056-11-25      | Variable      | 5.01%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                        | FHR 5178 HL                                                 | CUSIP: 3137H53U9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   8815818 | PA      | $6109195.26   | 0.10%             | 2052-01-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2025-83 SB                                              | CUSIP: 38385GPR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |  20807118 | PA      | $20033811.31  | 0.33%             | 2055-05-20      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNS 324 2                                                   | CUSIP: 3136FANS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     70609 | PA      | $8359.60      | 0.00%             | 2032-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-06-22

**Name of Applicant:** First Trust Exchange-Traded Fund IV

**Signature:** Derek Maltbie

**Name of Signer:** Derek Maltbie

**Title:** Treasurer, Chief Financial Officer and Chief Accounting Officer