# EDGAR Filing Document

**Accession Number:** 0001738078
**File Stem:** 0001752724-25-210417
**Filing Date:** 2025-8
**Character Count:** 186488
**Document Hash:** 7fbd82aff75b7b68d8c8cb21a3fb6153
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-25-210417.hdr.sgml**: 20250828

**ACCESSION NUMBER**: 0001752724-25-210417

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20250630

**FILED AS OF DATE**: 20250828

**DATE AS OF CHANGE**: 20250828

**PERIOD START**: 20250930

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** BlackRock Funds V
- **CENTRAL INDEX KEY:** 0001738078

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 0930

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-23339
- **FILM NUMBER:** 251268913

**BUSINESS ADDRESS:**
- **STREET 1:** 100 BELLEVUE PARKWAY
- **CITY:** WILMINGTON
- **STATE:** DE
- **ZIP:** 19809
- **BUSINESS PHONE:** 800-441-7762

**MAIL ADDRESS:**
- **STREET 1:** 100 BELLEVUE PARKWAY
- **CITY:** WILMINGTON
- **STATE:** DE
- **ZIP:** 19809

## Series and Classes Contracts Data

### BlackRock Impact Mortgage Fund (Series ID: S000062364)

| Class ID   | Class Name           | Ticker Symbol   |
|:---|:---|:---|
| C000202301 | Investor A Shares    |  |
| C000202302 | Investor C Shares    |  |
| C000202303 | Institutional Shares |  |
| C000202304 | Class R Shares       |  |
| C000202305 | Class K Shares       |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** BlackRock Funds V

- **b. Investment Company Act file number:** 811-23339

- **c. CIK number of Registrant:** 0001738078

- **d. LEI of Registrant:** 54930077DSFQPJDWM487

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

  - **Street Address 1:** 100 Bellevue Parkway

  - **City:** Wilmington

  - **State:** DE

  - **Foreign country:** US

  - **Zip / Postal Code:** 19809

  - **Telephone number:** 800-441-7762

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

- **a. Name of Series:** BlackRock Impact Mortgage Fund

- **b. EDGAR series identifier (if any):** S000062364

- **c. LEI of Series:** 0BCGDHAK1YNRZ76RTG35

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

- **a. Date of fiscal year-end:** 2025-09-30

- **b. Date as of which information is reported:** 2025-06-30

**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:** $562208778.83

**Total Liabilities:** $307024466.32

**Net Assets:** $255184312.51

**Cash Not Reported:** $0.36

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 2768.16000000 | **1-Year:** 1165.31000000 | **5-Year:** 124333.79000000 | **10-Year:** 32326.08000000 | **30-Year:** 2875.03000000

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

- **3-Month:** 0.00000000 | **1-Year:** 233.76000000 | **5-Year:** 25.23000000 | **10-Year:** -81.16000000 | **30-Year:** 0.00000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000202304 | 0.29%                | -1.13%               | 1.84%                |
| Class ID C000202305 | 0.34%                | -1.09%               | 1.89%                |
| Class ID C000202302 | 0.36%                | -1.17%               | 1.80%                |
| Class ID C000202303 | 0.33%                | -1.09%               | 1.89%                |
| Class ID C000202301 | 0.31%                | -1.11%               | 1.86%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-1249146.12             | $1676387.07                                |
| Month 2  | $-111290.14              | $-3887625.56                               |
| Month 3  | $-9068.52                | $4216934.22                                |

**Designated Index Information**

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

- **Index Identifier:** LUMSTRUU

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F052672<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  12294000 | PA      | $12291187.38  | 4.82%             | 2055-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WJEP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     77171 | PA      | $74271.74     | 0.03%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140J7MC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     79050 | PA      | $75089.94     | 0.03%             | 2031-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140QVPP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  24357028 | PA      | $23913488.97  | 9.37%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138EQU26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1072 | PA      | $1037.24      | 0.00%             | 2030-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31410K3E2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12486 | PA      | $13049.21     | 0.01%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617Y4DD1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    387424 | PA      | $355945.11    | 0.14%             | 2052-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WFG26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     53283 | PA      | $51529.51     | 0.02%             | 2030-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WJC97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12124 | PA      | $11673.11     | 0.00%             | 2031-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association Variable Rate Notes, Series 2016-151                                                | CUSIP: 38379UV45<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3071731 | PA      | $131123.30    | 0.05%             | 2058-06-16      | Variable      | 0.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617YRY54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    800548 | PA      | $827011.54    | 0.32%             | 2052-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140QQCY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  18432787 | PA      | $15979669.48  | 6.26%             | 2052-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31410G4B6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37832 | PA      | $39661.12     | 0.02%             | 2038-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617F5XX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    943245 | PA      | $942087.94    | 0.37%             | 2052-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 21H030674<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    246000 | PA      | $217552.39    | 0.09%             | 2055-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617WSQ87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11255430 | PA      | $10175536.45  | 3.99%             | 2051-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36202FVH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    173533 | PA      | $175292.92    | 0.07%             | 2041-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31417S3V0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     70548 | PA      | $72121.73     | 0.03%             | 2039-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132KE3D5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     59469 | PA      | $57602.29     | 0.02%             | 2030-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association Variable Rate Notes, Series 2005-50                                                 | CUSIP: 38373MRC6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1187376 | PA      | $5094.68      | 0.00%             | 2045-06-16      | Variable      | 0.23%                 | No            |                  2 | On Loan: No      |
| Commercial Mortgage Trust                                                 | Commercial Mortgage Trust, Series 2024-WCL1, Class A                                                                         | CUSIP: 20047DAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    785000 | PA      | $784754.37    | 0.31%             | 2041-06-15      | Floating      | 6.15%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WFG91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50341 | PA      | $49213.05     | 0.02%             | 2030-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617F96N7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1412252 | PA      | $1278879.11   | 0.50%             | 2044-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138XRCZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45272 | PA      | $44751.90     | 0.02%             | 2029-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NJ                                                                        | NJ, Series 2025-WBRK, Class A                                                                                                | CUSIP: 65486BAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    255000 | PA      | $263399.60    | 0.10%             | 2035-03-05      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WBTZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     67928 | PA      | $66470.36     | 0.03%             | 2029-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WHNX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     58273 | PA      | $56107.39     | 0.02%             | 2031-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617Y4DQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1071637 | PA      | $980455.76    | 0.38%             | 2052-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 21H040673<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    179000 | PA      | $166402.03    | 0.07%             | 2055-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 31307MSA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     33601 | PA      | $32398.49     | 0.01%             | 2030-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138YTMU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17966 | PA      | $17345.75     | 0.01%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association Variable Rate Notes, Series 2005-9                                                  | CUSIP: 38373MNX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    642707 | PA      | $4.82         | 0.00%             | 2045-01-16      | Variable      | 0.30%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138Y4BK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8296 | PA      | $8134.31      | 0.00%             | 2029-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617YM5E8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    622556 | PA      | $563719.69    | 0.22%             | 2046-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140HP4C8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23387 | PA      | $23323.22     | 0.01%             | 2048-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617F95V0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6121422 | PA      | $5543287.64   | 2.17%             | 2043-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WFZF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     46892 | PA      | $45262.52     | 0.02%             | 2030-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WJDN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    159542 | PA      | $153476.12    | 0.06%             | 2031-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140J8F24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     68936 | PA      | $69382.23     | 0.03%             | 2045-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140QQLQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11808596 | PA      | $11644485.93  | 4.56%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617F4WR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4207097 | PA      | $3536152.90   | 1.39%             | 2051-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31418XDE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        19 | PA      | $18.82        | 0.00%             | 2025-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3618GRZV4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1137884 | PA      | $1172014.45   | 0.46%             | 2054-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3128MFCX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     48904 | PA      | $47231.60     | 0.02%             | 2031-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617FJZY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2004532 | PA      | $1592402.26   | 0.62%             | 2051-04-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3620A6DC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     54329 | PA      | $55036.69     | 0.02%             | 2039-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WHPB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     90950 | PA      | $87576.22     | 0.03%             | 2031-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138XQKM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    387688 | PA      | $383309.47    | 0.15%             | 2029-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617XXAP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1281176 | PA      | $1170751.63   | 0.46%             | 2052-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36202FTM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     20691 | PA      | $20920.42     | 0.01%             | 2041-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138EPQP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23726 | PA      | $23224.23     | 0.01%             | 2030-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOP                                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    269000 | PA      | $9471.69      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140F5BJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21646 | PA      | $20568.37     | 0.01%             | 2031-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 21H020675<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12329000 | PA      | $10038273.03  | 3.93%             | 2055-07-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138EP4Z4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38448 | PA      | $37564.13     | 0.01%             | 2030-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   2800000 | PA      | $-83964.01    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 21H040681<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     79000 | PA      | $73430.74     | 0.03%             | 2055-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WFK47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41097 | PA      | $40152.97     | 0.02%             | 2030-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 31307NV50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7867 | PA      | $7675.77      | 0.00%             | 2030-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140KSS57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    383437 | PA      | $326146.83    | 0.13%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3618J8HY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    758041 | PA      | $776829.48    | 0.30%             | 2055-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association, Series 2020-32, Class PI                                                              | CUSIP: 3136B9RB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1120634 | PA      | $239462.90    | 0.09%             | 2050-05-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WKLB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     53769 | PA      | $51556.27     | 0.02%             | 2032-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WJEZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     65564 | PA      | $62331.86     | 0.02%             | 2031-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F030678<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5251000 | PA      | $4542852.98   | 1.78%             | 2055-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140EW4R3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19781 | PA      | $19012.82     | 0.01%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617WR4N0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1076893 | PA      | $952951.36    | 0.37%             | 2051-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132KEYV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20565 | PA      | $20151.07     | 0.01%             | 2030-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WFG83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39786 | PA      | $38894.43     | 0.02%             | 2030-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                                                  | Benchmark Mortgage Trust, Series 2020-B21, Class XA                                                                          | CUSIP: 08163LAL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2598925 | PA      | $149357.90    | 0.06%             | 2053-12-17      | Variable      | 1.53%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F020679<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  43960000 | PA      | $34789398.90  | 13.63%            | 2055-07-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36202FB47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     24370 | PA      | $24759.61     | 0.01%             | 2039-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617YM4W9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    382373 | PA      | $355764.01    | 0.14%             | 2044-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3618J8HZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    640994 | PA      | $669463.30    | 0.26%             | 2055-01-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | U.S. Treasury Long Bond                                                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -43 | NC      | $-91805.24    | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138YXK95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16946 | PA      | $16565.98     | 0.01%             | 2030-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F050676<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -43550000 | PA      | $-42674651.97 | -16.72%           | 2055-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140J74X0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    175547 | PA      | $172796.74    | 0.07%             | 2031-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617WBVE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    708275 | PA      | $660286.57    | 0.26%             | 2050-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3618AGYD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1334348 | PA      | $1386980.16   | 0.54%             | 2053-03-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3618GRZU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    742358 | PA      | $766904.10    | 0.30%             | 2054-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138EQLB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    141445 | PA      | $142984.46    | 0.06%             | 2039-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31419A4H7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15772 | PA      | $16535.30     | 0.01%             | 2040-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3133KRKK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3499994 | PA      | $3505070.98   | 1.37%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31416PM79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       382 | PA      | $387.04       | 0.00%             | 2039-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140EW4P7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9578 | PA      | $9177.08      | 0.00%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOP                                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |     59150 | PA      | $2896.78      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association                                                                                        | CUSIP: 3140FXE40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    628093 | PA      | $590839.11    | 0.23%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31412QM89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    134246 | PA      | $137568.68    | 0.05%             | 2039-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617BUEB1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     35993 | PA      | $33944.68     | 0.01%             | 2047-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138XQM73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16899 | PA      | $16542.02     | 0.01%             | 2029-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp. Variable Rate Notes, Series 5443, Class FA                                                  | CUSIP: 3137HDXH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    776706 | PA      | $778339.89    | 0.31%             | 2054-08-25      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| WEST Trust                                                                | WEST Trust, Series 2025-ROSE, Class A                                                                                        | CUSIP: 955909AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    266000 | PA      | $269346.49    | 0.11%             | 2035-04-10      | Variable      | 5.45%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 21H040673<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |    -79000 | PA      | $-73440.00    | -0.03%            | 2055-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F012478<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2987000 | PA      | $2653766.04   | 1.04%             | 2040-07-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 31307NXU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2421 | PA      | $2338.69      | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138YD4N6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13829 | PA      | $13301.91     | 0.01%             | 2030-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140MG6J5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1112089 | PA      | $1011072.65   | 0.40%             | 2052-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617YMXD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7849278 | PA      | $7107302.35   | 2.79%             | 2048-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617XDCB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    781722 | PA      | $729697.01    | 0.29%             | 2047-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F032674<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     23000 | PA      | $20704.72     | 0.01%             | 2055-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOP                                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |    197505 | PA      | $4096.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140EW4N2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10221 | PA      | $9786.73      | 0.00%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F030470<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -1555000 | PA      | $-1482562.25  | -0.58%            | 2040-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617YRYV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1616525 | PA      | $1635555.49   | 0.64%             | 2052-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Mosaic Solar Loan Trust                                                   | Mosaic Solar Loan Trust, Series 2019-2A, Class A                                                                             | CUSIP: 61945LAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     71955 | PA      | $63333.73     | 0.02%             | 2040-09-20      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust                    | J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2020-609M, Class D                                            | CUSIP: 46652RAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    400000 | PA      | $385107.04    | 0.15%             | 2033-10-15      | Floating      | 7.45%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WH3T7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     93583 | PA      | $90098.33     | 0.04%             | 2031-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617BUEC9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     77716 | PA      | $73293.73     | 0.03%             | 2047-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WTV37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5780 | PA      | $5674.56      | 0.00%             | 2028-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617W0BX9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1918470 | PA      | $1931596.23   | 0.76%             | 2053-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WFNC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39924 | PA      | $38573.23     | 0.02%             | 2030-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31402RDH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    389374 | PA      | $403200.18    | 0.16%             | 2035-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F022675<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  17032000 | PA      | $14119027.77  | 5.53%             | 2055-07-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617Y0PE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     91167 | PA      | $85156.89     | 0.03%             | 2052-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WFYN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41056 | PA      | $39610.64     | 0.02%             | 2030-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617Y0PD6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    118712 | PA      | $107976.29    | 0.04%             | 2052-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31410KXL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21173 | PA      | $22196.85     | 0.01%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association, Series 2020-149, Class IA                                                          | CUSIP: 38382KBL6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  16024500 | PA      | $2319578.43   | 0.91%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F020471<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  12332000 | PA      | $11265969.76  | 4.41%             | 2040-07-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140KSS32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    578727 | PA      | $466522.58    | 0.18%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3618GRYY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    865354 | PA      | $909979.04    | 0.36%             | 2054-04-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132KFAJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14127 | PA      | $13816.72     | 0.01%             | 2030-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138EQA51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51031 | PA      | $49886.81     | 0.02%             | 2030-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138EPJ62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43867 | PA      | $42947.95     | 0.02%             | 2030-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3132D6NY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    273462 | PA      | $251889.54    | 0.10%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31410GH22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    184358 | PA      | $188349.99    | 0.07%             | 2036-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617W0B27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1203494 | PA      | $1016688.08   | 0.40%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F042673<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4364000 | PA      | $4173823.34   | 1.64%             | 2055-07-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2021-VIEW, Class A                                                                                          | CUSIP: 05606GAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    780000 | PA      | $776161.31    | 0.30%             | 2036-06-15      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOP                                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | FR        |     57800 | PA      | $1901.42      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 31307NM68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8246 | PA      | $8061.87      | 0.00%             | 2030-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31418MRR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    434901 | PA      | $444527.40    | 0.17%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36197MRR1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14943 | PA      | $14521.85     | 0.01%             | 2047-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138ELS79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    141166 | PA      | $147990.92    | 0.06%             | 2040-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | U.S. Treasury 2-Year Note                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        -9 | NC      | $-5612.48     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                       | U.S. Treasury 10-Year Note                                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -95 | NC      | $-215601.12   | -0.08%            |  |  |  | No            |                  1 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138A5WW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2303 | PA      | $2277.67      | 0.00%             | 2041-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617WR6L2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     72415 | PA      | $61176.42     | 0.02%             | 2052-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140M5FC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    141762 | PA      | $118110.74    | 0.05%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617Y4DR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    847892 | PA      | $775465.44    | 0.30%             | 2052-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 21H050672<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |   -249000 | PA      | $-244554.66   | -0.10%            | 2055-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3618AGYA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2436423 | PA      | $2453091.69   | 0.96%             | 2053-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F062689<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5165000 | PA      | $5325276.66   | 2.09%             | 2055-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36197MRS9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9308 | PA      | $9064.65      | 0.00%             | 2047-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617XXAM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1068665 | PA      | $970778.77    | 0.38%             | 2052-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617XDB85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1169684 | PA      | $1059121.97   | 0.42%             | 2048-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates Variable Rate Notes, Series K122, Class X1 | CUSIP: 3137F82T9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3370459 | PA      | $127660.53    | 0.05%             | 2030-11-25      | Variable      | 0.96%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOP                                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |    197505 | PA      | $4052.26      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140QFZC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    509278 | PA      | $478278.42    | 0.19%             | 2035-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138Y8EH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     89651 | PA      | $87666.41     | 0.03%             | 2030-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138EJCD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2723 | PA      | $2716.20      | 0.00%             | 2026-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140J5EJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2606 | PA      | $2507.04      | 0.00%             | 2032-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617F5XW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    853341 | PA      | $847851.91    | 0.33%             | 2052-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36202FUG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    312609 | PA      | $315780.68    | 0.12%             | 2041-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WKK95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     68322 | PA      | $65617.79     | 0.03%             | 2032-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138YTRT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6808 | PA      | $6594.56      | 0.00%             | 2030-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140J7MK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    129185 | PA      | $122499.16    | 0.05%             | 2032-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WFZG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32926 | PA      | $31796.57     | 0.01%             | 2030-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association Variable Rate Notes, Series 2023-56, Class FA                                          | CUSIP: 3136BQMZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    201984 | PA      | $202629.19    | 0.08%             | 2053-11-25      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617WR5C3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    726102 | PA      | $642534.28    | 0.25%             | 2051-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140QGJ99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    600274 | PA      | $563736.26    | 0.22%             | 2035-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140Q9YZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40911 | PA      | $40783.31     | 0.02%             | 2033-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617WR4R1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1574404 | PA      | $1393201.63   | 0.55%             | 2051-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp. Variable Rate Notes, Series 5468, Class FM                                                  | CUSIP: 3137HHB83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    834503 | PA      | $833196.35    | 0.33%             | 2054-11-25      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F050676<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1218000 | PA      | $1193518.39   | 0.47%             | 2055-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138ELS87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47633 | PA      | $49935.71     | 0.02%             | 2041-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140QFBX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    303687 | PA      | $286188.02    | 0.11%             | 2035-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F030678<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -7000000 | PA      | $-6055983.78  | -2.37%            | 2055-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36241LVF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    110130 | PA      | $111565.63    | 0.04%             | 2040-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| HSBC Securities (USA), Inc.                                               | HSBC Securities (USA), Inc.                                                                                                  | CUSIP: N/A<br>LEI: CYYGQCGNHMHPSMRL3R97       | Short            | RA               | CORP              | US        | -22220542 | PA      | $-22220541.94 | -8.71%            |  |  |  | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132KE6X8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     62340 | PA      | $60353.59     | 0.02%             | 2030-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617XDCC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    586647 | PA      | $547270.15    | 0.21%             | 2050-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140E0V36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7745 | PA      | $7510.92      | 0.00%             | 2030-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31418CZN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21215 | PA      | $21200.34     | 0.01%             | 2048-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association, Series 2020-32                                                                        | CUSIP: 3136B9PX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1084511 | PA      | $231743.89    | 0.09%             | 2050-05-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617B9SG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     37826 | PA      | $35591.31     | 0.01%             | 2047-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust                    | J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2020-609M, Class A                                            | CUSIP: 46652RAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    343000 | PA      | $341285.00    | 0.13%             | 2033-10-15      | Floating      | 6.05%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F022675<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -2364000 | PA      | $-1959686.57  | -0.77%            | 2055-07-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WFAF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1598 | PA      | $1544.19      | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132G0B58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9999 | PA      | $9862.47      | 0.00%             | 2027-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132KE4Z5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    133801 | PA      | $131103.90    | 0.05%             | 2030-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOP                                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    431000 | PA      | $20223.89     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3128MEK91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     65105 | PA      | $63694.80     | 0.02%             | 2030-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOP                                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |     59150 | PA      | $1893.65      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617XCUF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2924097 | PA      | $2727631.60   | 1.07%             | 2050-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                                             | UBS Commercial Mortgage Trust, Series 2019-C17, Class XA                                                                     | CUSIP: 90278MBB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7144949 | PA      | $347844.72    | 0.14%             | 2052-10-15      | Variable      | 1.58%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132KEXZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16187 | PA      | $15872.02     | 0.01%             | 2030-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association Variable Rate Notes, Series 2017-61                                                 | CUSIP: 38379RSQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1095434 | PA      | $39576.50     | 0.02%             | 2059-05-16      | Variable      | 0.70%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132KFAD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     93818 | PA      | $90739.23     | 0.04%             | 2030-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138EGVA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16649 | PA      | $16856.09     | 0.01%             | 2041-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617YM6F4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4242044 | PA      | $3957035.80   | 1.55%             | 2049-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3133KPWS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  19903216 | PA      | $18543065.11  | 7.27%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617FRFY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3861153 | PA      | $3496245.53   | 1.37%             | 2046-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association Variable Rate Notes, Series 2023-46, Class FA                                          | CUSIP: 3136BQLF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1154942 | PA      | $1162301.41   | 0.46%             | 2053-10-25      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138XBKL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3319 | PA      | $3249.31      | 0.00%             | 2028-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617BFTR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     41220 | PA      | $39949.72     | 0.02%             | 2048-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140X9MV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4892 | PA      | $4581.55      | 0.00%             | 2050-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617BYFD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     76100 | PA      | $71713.97     | 0.03%             | 2047-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 31307NN26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11721 | PA      | $11328.43     | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132KFAC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     49492 | PA      | $47845.74     | 0.02%             | 2030-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp. Variable Rate Notes, Series 5468, Class MF                                                  | CUSIP: 3137HHBH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    644928 | PA      | $645013.44    | 0.25%             | 2054-11-25      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617F5XN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1705006 | PA      | $1696387.52   | 0.66%             | 2052-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WJC71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    120516 | PA      | $115923.15    | 0.05%             | 2031-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association, Series 2011-8, Class ZA                                                               | CUSIP: 31397QJJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    575723 | PA      | $557203.95    | 0.22%             | 2041-02-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617F96R8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2527750 | PA      | $2357908.17   | 0.92%             | 2049-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BBCMS Mortgage Trust                                                      | BBCMS Mortgage Trust, Series 2018-TALL, Class A                                                                              | CUSIP: 05548WAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    195000 | PA      | $184305.93    | 0.07%             | 2037-03-15      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36197MQM3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11674 | PA      | $11350.94     | 0.00%             | 2047-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | U.S. Treasury 5-Year Note                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -66 | NC      | $-32563.67    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association Variable Rate Notes, Series 2006-30                                                 | CUSIP: 38373MVL1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    193200 | PA      | $13.43        | 0.00%             | 2046-05-16      | Variable      | 2.79%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138ERM49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23909 | PA      | $23355.49     | 0.01%             | 2031-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140QETF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    177052 | PA      | $170043.73    | 0.07%             | 2035-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3618GRZX0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    974109 | PA      | $1018547.73   | 0.40%             | 2054-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617YRTR2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1803223 | PA      | $1730261.31   | 0.68%             | 2050-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140JAUJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    206229 | PA      | $205913.83    | 0.08%             | 2049-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617X85X8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2437462 | PA      | $2267851.99   | 0.89%             | 2044-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp. Variable Rate Notes, Series 5444, Class FC                                                  | CUSIP: 3137HFD77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1846104 | PA      | $1835612.57   | 0.72%             | 2054-08-25      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138A5V66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20274 | PA      | $20726.59     | 0.01%             | 2041-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WFEW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29312 | PA      | $28333.73     | 0.01%             | 2030-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617F95L2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2211994 | PA      | $2065585.02   | 0.81%             | 2049-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138EPJ54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     54147 | PA      | $53023.18     | 0.02%             | 2030-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates Variable Rate Notes, Series K119, Class X1 | CUSIP: 3137F6GV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2329515 | PA      | $91535.95     | 0.04%             | 2030-09-25      | Variable      | 1.02%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31419AL70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    192237 | PA      | $201533.85    | 0.08%             | 2040-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ARES Trust                                                                | ARES Trust, Series 2025-IND3, Class A                                                                                        | CUSIP: 039955AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    221000 | PA      | $221275.83    | 0.09%             | 2042-04-15      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WFYM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41314 | PA      | $39916.23     | 0.02%             | 2030-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WKK61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32851 | PA      | $31580.79     | 0.01%             | 2032-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F040677<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -27619000 | PA      | $-25678125.04 | -10.06%           | 2055-07-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617Y4DS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    445588 | PA      | $409383.01    | 0.16%             | 2052-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138EH3N0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    230381 | PA      | $241099.07    | 0.09%             | 2040-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F022477<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -1478000 | PA      | $-1379658.43  | -0.54%            | 2040-07-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3618J8G36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    293074 | PA      | $300588.00    | 0.12%             | 2054-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 21H032688<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    125000 | PA      | $113375.28    | 0.04%             | 2055-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617AXW42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9735 | PA      | $9181.18      | 0.00%             | 2047-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140HMP40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18291 | PA      | $18126.54     | 0.01%             | 2033-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3128M9ZF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     52801 | PA      | $53522.79     | 0.02%             | 2041-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WCSJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     82102 | PA      | $80475.07     | 0.03%             | 2029-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3618GRYW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1051098 | PA      | $1092602.78   | 0.43%             | 2054-04-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WJEN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    103652 | PA      | $99659.96     | 0.04%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2025-SPOT, Class A                                                                      | CUSIP: 12433FAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    348000 | PA      | $347891.25    | 0.14%             | 2040-04-15      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132KFAE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3354 | PA      | $3245.37      | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F060675<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  17386000 | PA      | $17666311.70  | 6.92%             | 2055-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WQPF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4781 | PA      | $4694.51      | 0.00%             | 2028-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617XXAL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    679058 | PA      | $624065.84    | 0.24%             | 2052-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138MKSW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2192 | PA      | $2149.69      | 0.00%             | 2028-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31410KFF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45659 | PA      | $47866.68     | 0.02%             | 2038-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138ALJW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27033 | PA      | $27358.61     | 0.01%             | 2041-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617Y0PC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     98069 | PA      | $89616.50     | 0.04%             | 2052-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140J8GB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    124204 | PA      | $120070.34    | 0.05%             | 2033-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WJF94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4145 | PA      | $3936.21      | 0.00%             | 2031-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31418CCL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12837 | PA      | $12203.90     | 0.00%             | 2031-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140J76Q3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     61997 | PA      | $59664.16     | 0.02%             | 2032-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F042673<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -21408000 | PA      | $-20475071.04 | -8.02%            | 2055-07-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOP                                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |     29682 | PA      | $987.62       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31390MJS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       405 | PA      | $410.66       | 0.00%             | 2032-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 21H052678<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5725000 | PA      | $5732512.86   | 2.25%             | 2055-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140QGKB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    163235 | PA      | $156446.20    | 0.06%             | 2035-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates Variable Rate Notes, Series K116, Class X1 | CUSIP: 3137FWHV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1384767 | PA      | $78843.11     | 0.03%             | 2030-07-25      | Variable      | 1.52%                 | No            |                  2 | On Loan: No      |
| BANK                                                                      | BANK, Series 2020-BN29, Class XA                                                                                             | CUSIP: 06541TBL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2657228 | PA      | $147940.62    | 0.06%             | 2053-11-15      | Variable      | 1.41%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31410KHE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17205 | PA      | $18036.61     | 0.01%             | 2038-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138E2GK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10117 | PA      | $10238.32     | 0.00%             | 2042-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617Y5S59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6454964 | PA      | $6025322.66   | 2.36%             | 2047-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31416BMP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    232673 | PA      | $238290.04    | 0.09%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617F0GB1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8055843 | PA      | $7294232.82   | 2.86%             | 2049-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BlackRock Liquidity Funds                                                 | BlackRock Liquidity Funds, T-Fund, Institutional Class                                                                       | CUSIP: 09248U718<br>LEI: 5493002L9DNZ83RX7V61 | Long             | STIV             | RF                | US        |   6397323 | NS      | $6397322.80   | 2.51%             |  |  |  | No            |                  1 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138EQA36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     65580 | PA      | $64071.59     | 0.03%             | 2030-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                                           | CSAIL Commercial Mortgage Trust, Series 2018-C14, Class XA                                                                   | CUSIP: 12596GBB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2764474 | PA      | $39883.89     | 0.02%             | 2051-11-15      | Variable      | 0.67%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31418MGR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21944 | PA      | $23004.56     | 0.01%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association, Series 2024-16                                                                        | CUSIP: 3136BRQE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1077222 | PA      | $770306.93    | 0.30%             | 2051-03-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3618J8G44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1144659 | PA      | $1173020.66   | 0.46%             | 2054-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617FJZZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8668468 | PA      | $7289649.37   | 2.86%             | 2052-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140QEUA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    174976 | PA      | $167699.51    | 0.07%             | 2035-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   2800000 | PA      | $-100936.99   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617F96H0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    252460 | PA      | $228846.30    | 0.09%             | 2042-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138XTVX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     88165 | PA      | $86442.80     | 0.03%             | 2029-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOP                                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    431000 | PA      | $15348.49     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31418CET7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18440 | PA      | $17521.37     | 0.01%             | 2031-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3618J8H27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    443786 | PA      | $461318.21    | 0.18%             | 2055-01-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617Y4DJ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1668197 | PA      | $1519640.90   | 0.60%             | 2052-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 31335CCX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     42041 | PA      | $42109.45     | 0.02%             | 2048-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F042681<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -11900000 | PA      | $-11377696.86 | -4.46%            | 2055-08-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140QP2R7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  19009841 | PA      | $18283802.17  | 7.16%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOP                                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | FR        |     57800 | PA      | $2703.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WFKW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36465 | PA      | $36020.40     | 0.01%             | 2030-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | U.S. Treasury 10-Year Ultra Note                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -17 | NC      | $-14705.55    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association Variable Rate Notes, Series 2014-107, Class WX                                      | CUSIP: 38379C6M3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    331834 | PA      | $342860.54    | 0.13%             | 2039-07-20      | Variable      | 6.54%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617F95E8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    407639 | PA      | $379292.18    | 0.15%             | 2041-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617F4WT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4502159 | PA      | $3963068.38   | 1.55%             | 2048-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HSBC Securities (USA), Inc.                                               | HSBC Securities (USA), Inc.                                                                                                  | CUSIP: N/A<br>LEI: CYYGQCGNHMHPSMRL3R97       | Short            | RA               | CORP              | US        | -13373746 | PA      | $-13373746.45 | -5.24%            |  |  |  | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WFAD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10183 | PA      | $9848.14      | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140QPQT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  14428688 | PA      | $13963440.88  | 5.47%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132KFAB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     51322 | PA      | $49638.78     | 0.02%             | 2030-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36241KXQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     30059 | PA      | $30425.78     | 0.01%             | 2038-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WHD25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50095 | PA      | $48237.63     | 0.02%             | 2031-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140E1RT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2735 | PA      | $2668.54      | 0.00%             | 2030-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140X9PE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25809 | PA      | $24167.98     | 0.01%             | 2050-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3618FGD27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    912133 | PA      | $948597.14    | 0.37%             | 2054-01-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WJET1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     67407 | PA      | $64897.22     | 0.03%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3128M9QK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    313469 | PA      | $318120.58    | 0.12%             | 2036-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association Variable Rate Notes, Series 2024-83, Class FA                                          | CUSIP: 3136BTME0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    923846 | PA      | $918530.67    | 0.36%             | 2054-10-25      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617Y0PA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    135854 | PA      | $124303.46    | 0.05%             | 2052-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F032476<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     15000 | PA      | $14473.41     | 0.01%             | 2040-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31410K3K8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18309 | PA      | $19194.17     | 0.01%             | 2038-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140QFBZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    292199 | PA      | $274826.39    | 0.11%             | 2035-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31410KXB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14418 | PA      | $14559.11     | 0.01%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140XFNL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3035289 | PA      | $2403976.51   | 0.94%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617XXAN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1483414 | PA      | $1356130.07   | 0.53%             | 2052-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140H9CT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37526 | PA      | $36488.48     | 0.01%             | 2048-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138YGYN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27419 | PA      | $26522.04     | 0.01%             | 2030-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOP                                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |    197505 | PA      | $12625.28     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association, Series 2021-159, Class IH                                                          | CUSIP: 38382XT70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7038587 | PA      | $1120234.05   | 0.44%             | 2051-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138XCQN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     81556 | PA      | $80437.03     | 0.03%             | 2028-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WFGY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33890 | PA      | $32774.78     | 0.01%             | 2030-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOP                                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |     29682 | PA      | $1401.79      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association, Series 2022-127, Class IA                                                          | CUSIP: 38383UDV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6256044 | PA      | $1059768.15   | 0.42%             | 2052-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3618J8HW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    656566 | PA      | $677073.42    | 0.27%             | 2055-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp. Variable Rate Notes, Series 5458, Class PF                                                  | CUSIP: 3137HFXQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    291034 | PA      | $290723.49    | 0.11%             | 2054-09-25      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140QGKD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     71166 | PA      | $68206.13     | 0.03%             | 2035-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F062671<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -5165000 | PA      | $-5332741.69  | -2.09%            | 2055-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36183AF47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8395 | PA      | $7944.44      | 0.00%             | 2044-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36202FSF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    117611 | PA      | $118159.15    | 0.05%             | 2041-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 31307NNV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15203 | PA      | $14718.07     | 0.01%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617BTER9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     20793 | PA      | $19579.35     | 0.01%             | 2048-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617F95U2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2049500 | PA      | $1855972.27   | 0.73%             | 2042-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 31307MYH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     65393 | PA      | $63944.87     | 0.03%             | 2030-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOP                                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |    197505 | PA      | $12737.23     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WKK79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32641 | PA      | $31347.86     | 0.01%             | 2032-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617YM5D0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    121383 | PA      | $110087.61    | 0.04%             | 2041-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140QP2C0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2196324 | PA      | $1980409.18   | 0.78%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140QGKA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    680597 | PA      | $639169.59    | 0.25%             | 2035-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3618AGXF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    847292 | PA      | $891123.52    | 0.35%             | 2052-12-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3618AGXD6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1306492 | PA      | $1349681.59   | 0.53%             | 2052-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140QP2L0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8293546 | PA      | $7715657.73   | 3.02%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3618J8HX9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    451539 | PA      | $465087.57    | 0.18%             | 2055-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138YBX65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10647 | PA      | $10386.38     | 0.00%             | 2030-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132KE2B0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     36105 | PA      | $35004.15     | 0.01%             | 2030-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617BTEQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    104288 | PA      | $98350.08     | 0.04%             | 2048-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140MJW84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    981013 | PA      | $891793.11    | 0.35%             | 2052-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3133AXXW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    966649 | PA      | $814470.28    | 0.32%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138XDJY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47219 | PA      | $46453.29     | 0.02%             | 2028-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WC7G2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16853 | PA      | $16505.85     | 0.01%             | 2029-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617YM5V0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    618024 | PA      | $559667.08    | 0.22%             | 2042-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 21H042679<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    699000 | PA      | $668983.53    | 0.26%             | 2055-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3128M9WN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    386945 | PA      | $398263.41    | 0.16%             | 2041-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140AABS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5516485 | PA      | $5417944.50   | 2.12%             | 2054-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3618GRZR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    609833 | PA      | $635716.63    | 0.25%             | 2054-07-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132G5AU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7057 | PA      | $6955.36      | 0.00%             | 2028-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Arbor Multifamily Mortgage Securities Trust                               | Arbor Multifamily Mortgage Securities Trust, Series 2020-MF1, Class XA                                                       | CUSIP: 03881BAW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    966333 | PA      | $34673.66     | 0.01%             | 2053-05-15      | Variable      | 1.05%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617ALXR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9507 | PA      | $9281.86      | 0.00%             | 2047-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138YBX73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52142 | PA      | $50958.19     | 0.02%             | 2030-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F062671<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5165000 | PA      | $5332741.69   | 2.09%             | 2055-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3142GSBY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6483322 | PA      | $6368274.48   | 2.50%             | 2054-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138X8XC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13549 | PA      | $13302.66     | 0.01%             | 2028-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3618J8G51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    619971 | PA      | $644452.85    | 0.25%             | 2054-10-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140KSS40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    626193 | PA      | $527922.21    | 0.21%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36189MS74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11793 | PA      | $11022.07     | 0.00%             | 2046-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WKK87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60858 | PA      | $58377.78     | 0.02%             | 2032-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140J9Y96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     46517 | PA      | $46488.03     | 0.02%             | 2048-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138Y4UY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9028 | PA      | $8795.89      | 0.00%             | 2030-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617WR4P5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1154819 | PA      | $1021908.48   | 0.40%             | 2051-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140QNCN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1768197 | PA      | $1484460.37   | 0.58%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F032476<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -614000 | PA      | $-592444.74   | -0.23%            | 2040-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association Variable Rate Notes, Series 2024-54, Class FD                                          | CUSIP: 3136BSSL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    580489 | PA      | $581095.25    | 0.23%             | 2054-08-25      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WFQ25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50740 | PA      | $48976.88     | 0.02%             | 2030-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BANK                                                                      | BANK, Series 2021-BN33, Class XA                                                                                             | CUSIP: 06541CBR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9554662 | PA      | $398976.88    | 0.16%             | 2064-05-15      | Variable      | 1.16%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31417SJ76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     76127 | PA      | $78028.38     | 0.03%             | 2039-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617BJRG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     65387 | PA      | $61665.63     | 0.02%             | 2047-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOP                                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    269000 | PA      | $11723.11     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617W0B43<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1495767 | PA      | $1323648.39   | 0.52%             | 2051-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138XQL66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     89101 | PA      | $87262.01     | 0.03%             | 2029-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617BTGM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     69329 | PA      | $65256.48     | 0.03%             | 2048-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-06-30

**Name of Applicant:** BlackRock Funds V

**Signature:** Chuck Pulsfort

**Name of Signer:** Chuck Pulsfort

**Title:** Assistant Treasurer