# EDGAR Filing Document

**Accession Number:** 0001517936
**File Stem:** 0000940400-25-013869
**Filing Date:** 2025-12
**Character Count:** 487046
**Document Hash:** f0922ff60da7ada60075a98f7ca5f40e
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000940400-25-013869.hdr.sgml**: 20251219

**ACCESSION NUMBER**: 0000940400-25-013869

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20251031

**FILED AS OF DATE**: 20251219

**DATE AS OF CHANGE**: 20251219

**PERIOD START**: 20251031

**FILER**: 

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

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-22559
- **FILM NUMBER:** 251587114

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

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

## Series and Classes Contracts Data

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

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

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** Wheaton

  - **State:** IL

  - **Foreign country:** US

  - **Zip / Postal Code:** 60187

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

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

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

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

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

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

- **a. Date of fiscal year-end:** 2025-10-31

- **b. Date as of which information is reported:** 2025-10-31

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $6600239686.73

**Total Liabilities:** $1012550697.86

**Net Assets:** $5587688988.87

**Delayed Delivery Securities:** $23328305.64

**Stand-by Commitments:** $268862063.41

**Cash Not Reported:** $3870402.29

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 667.25273000 | **1-Year:** 164978.93523000 | **5-Year:** 1348636.89735000 | **10-Year:** 822722.36575000 | **30-Year:** 169923.72258000

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

- **3-Month:** 158.89111000 | **1-Year:** 20242.79220000 | **5-Year:** 57424.97830000 | **10-Year:** 24129.59206000 | **30-Year:** 981.72846000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000144500 | 1.26%                | 0.67%                | 0.66%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $5992558.59              | $50693173.89                               |
| Month 2  | $10217905.20             | $23242764.32                               |
| Month 3  | $1212060.25              | $18259983.74                               |

**Designated Index Information**

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

- **Index Identifier:** N/A

### Schedule of Portfolio Investments

| Name                                                   | Title                                                           | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | ULTRA U.S. TREASURY BOND                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -4 | NC      | $-187.50      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | 10 YEAR U.S. ULTRA TREASURY BOND                                | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -53 | NC      | $-828.13      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136B47H5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3415657 | PA      | $3352976.90   | 0.06%             | 2049-07-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38380AAW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1144813 | PA      | $1054925.85   | 0.02%             | 2036-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 3128M9PN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    214890 | PA      | $210764.32    | 0.00%             | 2043-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3140X4NB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1158107 | PA      | $1134212.15   | 0.02%             | 2043-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| STRIPS                                                 | United States Treasury Strip Coupon                             | CUSIP: 9128337V6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9100000 | PA      | $6405913.06   | 0.11%             | 2034-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38379XQF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    320131 | PA      | $65471.81     | 0.00%             | 2046-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137H9DF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7871994 | PA      | $5991213.26   | 0.11%             | 2048-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multiclass Certifi                         | Freddie Mac Multiclass Certificates Series 2015-P001            | CUSIP: 3137FRV99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        | 150334000 | PA      | $11928987.87  | 0.21%             | 2033-05-27      | Variable      | 1.84%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31396WK70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    424977 | PA      | $446810.16    | 0.01%             | 2037-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3138MBZ58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     84289 | PA      | $82548.27     | 0.00%             | 2042-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137BKYF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  14266306 | PA      | $12595883.76  | 0.23%             | 2045-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae I Pool                                               | CUSIP: 36296DEE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10758 | PA      | $11199.03     | 0.00%             | 2038-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 31412NZ33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5531 | PA      | $5684.11      | 0.00%             | 2039-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FannieMae Grantor Trust                                | Fannie Mae Grantor Trust 2005-T1                                | CUSIP: 31394C7D8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1520244 | PA      | $1454525.38   | 0.03%             | 2035-05-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 31393JLU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     89388 | PA      | $90288.46     | 0.00%             | 2033-01-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae I Pool                                               | CUSIP: 3622AAEZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2969981 | PA      | $2912133.75   | 0.05%             | 2045-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                        | Fannie Mae Interest Strip                                       | CUSIP: 3136FCEX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20977 | PA      | $2143.15      | 0.00%             | 2033-12-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3138ERNT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10174027 | PA      | $9944077.86   | 0.18%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 31416XYC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    765144 | PA      | $784817.67    | 0.01%             | 2041-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38380MC82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  19739713 | PA      | $12872631.98  | 0.23%             | 2061-01-16      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38378HPP5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    251623 | PA      | $200322.56    | 0.00%             | 2042-09-16      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 31419AEK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    104171 | PA      | $105091.50    | 0.00%             | 2036-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortg                         | Saluda Grade Alternative Mortgage Trust 2025-NPL1               | CUSIP: 79582BAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4355569 | PA      | $4374528.37   | 0.08%             | 2030-01-25      | Variable      | 7.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136AVQD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5772521 | PA      | $601952.10    | 0.01%             | 2047-03-25      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 31417YKH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12786 | PA      | $12952.09     | 0.00%             | 2030-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM 2024-277P Mortgage Trust                                   | CUSIP: 12654FAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  41260000 | PA      | $1022637.35   | 0.02%             | 2044-08-10      | Variable      | 0.66%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae I Pool                                               | CUSIP: 36241KB72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5029 | PA      | $5227.40      | 0.00%             | 2035-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| STRIPS                                                 | United States Treasury Strip Coupon                             | CUSIP: 9128337W4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  67433000 | PA      | $46284609.27  | 0.83%             | 2034-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                        | Fannie Mae Interest Strip                                       | CUSIP: 3136FAJF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37124 | PA      | $4991.83      | 0.00%             | 2032-04-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137AT7D8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2447000 | PA      | $2294069.35   | 0.04%             | 2042-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38375KYH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    117615 | PA      | $4610.17      | 0.00%             | 2037-07-20      | Floating      | 2.60%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                                      | PRPM 2024-8 LLC                                                 | CUSIP: 74448KAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    431101 | PA      | $430853.71    | 0.01%             | 2029-12-25      | Variable      | 5.90%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities                          | GS Mortgage-Backed Securities Corp Trust 2019-PJ3               | CUSIP: 36257QAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    236933 | PA      | $222416.01    | 0.00%             | 2050-03-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3140XJCZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6521217 | PA      | $6379081.27   | 0.11%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Arroyo Mortgage Trust                                  | Arroyo Mortgage Trust 2019-3                                    | CUSIP: 04285AAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1400502 | PA      | $1350194.51   | 0.02%             | 2048-10-25      | Variable      | 3.42%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38375GHS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6711842 | PA      | $4327838.68   | 0.08%             | 2042-07-16      | Floating      | 0.14%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3138EJLY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42904 | PA      | $45413.25     | 0.00%             | 2038-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136BRX93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10874371 | PA      | $9926230.30   | 0.18%             | 2045-10-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| TREASURY BILL                                          | United States Treasury Bill                                     | CUSIP: 912797RN9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  20000000 | PA      | $19980837.40  | 0.36%             | 2025-11-12      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3140XCDY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5233034 | PA      | $5075289.17   | 0.09%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38383P4Q1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  17252824 | PA      | $13888323.07  | 0.25%             | 2052-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 31397JSA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     28265 | PA      | $27953.47     | 0.00%             | 2037-07-15      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae II Pool                                              | CUSIP: 36198TAS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    486219 | PA      | $479784.09    | 0.01%             | 2044-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BX Trust                                               | BX Trust 2025-GW                                                | CUSIP: 12433GAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5740000 | PA      | $5756577.12   | 0.10%             | 2042-07-15      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                | CUSIP: 31427NVR7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  66792344 | PA      | $62340771.37  | 1.12%             | 2050-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae II Pool                                              | CUSIP: 3620C1FT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    200981 | PA      | $202439.51    | 0.00%             | 2040-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3138EGGW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40129 | PA      | $41685.00     | 0.00%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38380HCX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2071621 | PA      | $206543.94    | 0.00%             | 2041-06-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137H7UG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9383139 | PA      | $8535287.20   | 0.15%             | 2052-06-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae I Pool                                               | CUSIP: 3620ABW93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     70319 | PA      | $70380.27     | 0.00%             | 2039-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multiclass Certifi                         | Freddie Mac Multiclass Certificates Series 2015-P001            | CUSIP: 3137H4CM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  55000000 | PA      | $6034891.50   | 0.11%             | 2033-04-25      | Variable      | 1.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136B9HC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3981946 | PA      | $3886414.68   | 0.07%             | 2050-04-25      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae I Pool                                               | CUSIP: 3620AAST6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    142619 | PA      | $146020.36    | 0.00%             | 2039-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 31397F5S7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     23216 | PA      | $24448.72     | 0.00%             | 2037-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae I Pool                                               | CUSIP: 3620AAV96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    110748 | PA      | $110853.39    | 0.00%             | 2039-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31359KW45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       826 | PA      | $14.68        | 0.00%             | 2026-12-18      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137HAXP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5828085 | PA      | $4788460.39   | 0.09%             | 2053-11-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136B7LQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13221785 | PA      | $11574580.32  | 0.21%             | 2042-11-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38374KPS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    281608 | PA      | $278847.68    | 0.00%             | 2035-01-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136AUKR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    160308 | PA      | $157318.64    | 0.00%             | 2046-11-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor                         | J.P. Morgan Chase Commercial Mortgage Securities Trust 2018-PHH | CUSIP: 46650FAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3561390 | PA      | $3007123.62   | 0.05%             | 2035-06-15      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137FWGB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  55537412 | PA      | $3566890.29   | 0.06%             | 2030-07-25      | Variable      | 1.54%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae II Pool                                              | CUSIP: 36176LGK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    602139 | PA      | $603381.58    | 0.01%             | 2041-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 31398QFX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    313654 | PA      | $320130.97    | 0.01%             | 2040-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137F9CT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4725000 | PA      | $4208927.47   | 0.08%             | 2030-12-25      | Fixed         | 1.66%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136A94X3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5182284 | PA      | $584020.08    | 0.01%             | 2042-11-25      | Floating      | 1.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38379QT54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     22370 | PA      | $22282.03     | 0.00%             | 2034-04-20      | Variable      | 4.18%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38379WTL6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9776 | PA      | $9915.05      | 0.00%             | 2031-03-20      | Variable      | 5.41%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136ATM76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2306631 | PA      | $389931.08    | 0.01%             | 2046-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multiclass Certifi                         | Freddie Mac Multiclass Certificates Series 2021-P009            | CUSIP: 3137H13X2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  32472504 | PA      | $875991.25    | 0.02%             | 2031-01-25      | Variable      | 1.31%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3140XFCL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11253141 | PA      | $10430151.05  | 0.19%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae II Pool                                              | CUSIP: 36179RGE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     26649 | PA      | $28022.83     | 0.00%             | 2045-03-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 31395K2B8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    776061 | PA      | $831063.29    | 0.01%             | 2034-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SLST                                     | Seasoned Loans Structured Transaction Trust Series 2024-2       | CUSIP: 35564CSK4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  24192738 | PA      | $24355985.60  | 0.44%             | 2034-10-25      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38378BM63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  20330726 | PA      | $13650207.71  | 0.24%             | 2055-01-16      | Variable      | 2.46%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137HHF89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  22782711 | PA      | $22813786.32  | 0.41%             | 2054-11-25      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38374KPT4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    281608 | PA      | $279096.03    | 0.00%             | 2035-01-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| First Trust Structured Credit Income Opportunities ETF | First Trust Structured Credit Income Opportunities ETF          | CUSIP: 33738D770<br>LEI: 2549004N8C03JQQ2OB54 | Long             | EC               | RF                | US        |     22500 | NS      | $466987.50    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38380JLF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4671132 | PA      | $2660312.65   | 0.05%             | 2059-10-16      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3138A2HT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     63184 | PA      | $63611.51     | 0.00%             | 2040-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136A4N88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    776952 | PA      | $766307.37    | 0.01%             | 2042-04-25      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 31419MB59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    351562 | PA      | $360312.74    | 0.01%             | 2041-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137H9UC1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4918609 | PA      | $4978493.01   | 0.09%             | 2032-02-25      | Fixed         | 4.36%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3140W1QA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  23511584 | PA      | $23603208.65  | 0.42%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38383PF22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  19089004 | PA      | $15361736.64  | 0.27%             | 2052-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                     | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2018-2   | CUSIP: 35563PFG9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3613771 | PA      | $3522548.95   | 0.06%             | 2057-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 31393LYD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    510000 | PA      | $521024.67    | 0.01%             | 2033-03-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31396WSC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    648617 | PA      | $650760.87    | 0.01%             | 2037-07-25      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137B1GZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    832322 | PA      | $19105.04     | 0.00%             | 2028-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                       | Connecticut Avenue Securities Trust 2024-R04                    | CUSIP: 20753GAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4693417 | PA      | $4703232.65   | 0.08%             | 2044-05-25      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137BKRL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  17344639 | PA      | $173.45       | 0.00%             | 2043-06-25      | Variable      | 3.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136BFTY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6470673 | PA      | $5979160.57   | 0.11%             | 2036-04-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31398GTS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    318561 | PA      | $304350.50    | 0.01%             | 2040-01-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 31374CST4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  21713013 | PA      | $20200802.73  | 0.36%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136AWC96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    597364 | PA      | $447581.07    | 0.01%             | 2047-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38377U2F4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     28696 | PA      | $274.14       | 0.00%             | 2038-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                             | Verus Securitization Trust 2025-3                               | CUSIP: 924928AA2<br>LEI: 213800DYYV3EM7TSTN14 | Long             | ABS-MBS          | CORP              | US        |   2841224 | PA      | $2870835.10   | 0.05%             | 2070-05-25      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae I Pool                                               | CUSIP: 3620AR3D1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    114422 | PA      | $110443.04    | 0.00%             | 2041-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                           | CSMC 2021-RPL4 Trust                                            | CUSIP: 12662GAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    423776 | PA      | $422355.28    | 0.01%             | 2060-12-27      | Variable      | 4.14%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136AL2S9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39437 | PA      | $254.29       | 0.00%             | 2026-12-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137AMMY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3607 | PA      | $3597.77      | 0.00%             | 2040-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae II Pool                                              | CUSIP: 3617G6N86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    310964 | PA      | $311967.29    | 0.01%             | 2035-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38378PXC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    688000 | PA      | $665181.45    | 0.01%             | 2043-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136A0JB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    103454 | PA      | $11135.67     | 0.00%             | 2033-12-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae II Pool                                              | CUSIP: 3622AAPD0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    855585 | PA      | $752864.29    | 0.01%             | 2050-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136A8ZJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    533494 | PA      | $8177.03      | 0.00%             | 2027-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137H13R5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        | 150233331 | PA      | $6481621.75   | 0.12%             | 2031-05-25      | Variable      | 1.03%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                              | Fannie Mae or Freddie Mac                                       | CUSIP: 01F0324C5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  45000000 | PA      | $43598333.25  | 0.78%             | 2040-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Toorak Mortgage Corp.                                  | TRK 2021-INV1 Trust                                             | CUSIP: 89688WAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2672459 | PA      | $2434653.96   | 0.04%             | 2056-07-25      | Variable      | 1.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136BRSL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12795093 | PA      | $11745490.84  | 0.21%             | 2044-05-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | 10 YEAR U.S. ULTRA TREASURY BOND                                | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -43 | NC      | $-2687.50     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137H2NA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  58530863 | PA      | $2820215.98   | 0.05%             | 2031-07-25      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137H4RF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9380496 | PA      | $8155578.90   | 0.15%             | 2035-11-25      | Fixed         | 1.91%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136BQLA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8199579 | PA      | $6883395.69   | 0.12%             | 2053-10-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137FLN59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  43251289 | PA      | $33835.48     | 0.00%             | 2026-02-25      | Variable      | 0.67%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                               | JP Morgan Mortgage Trust 2015-IVR2                              | CUSIP: 46644CAP3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    336766 | PA      | $336286.09    | 0.01%             | 2045-01-25      | Variable      | 5.89%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38383PD40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  16004820 | PA      | $15501528.04  | 0.28%             | 2049-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 31396HX79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     83734 | PA      | $91410.17     | 0.00%             | 2036-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136A92Y3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    103898 | PA      | $15502.34     | 0.00%             | 2042-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                              | Fannie Mae or Freddie Mac                                       | CUSIP: 01F0226C4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        | -49500000 | PA      | $-42034359.02 | -0.75%            | 2055-12-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31393BKD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35894 | PA      | $5130.17      | 0.00%             | 2033-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137BLDP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    360560 | PA      | $372885.88    | 0.01%             | 2038-05-15      | Variable      | 5.41%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136BACY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5828013 | PA      | $5682795.98   | 0.10%             | 2050-06-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137FQEU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7032379 | PA      | $866805.46    | 0.02%             | 2049-12-25      | Floating      | 1.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31398NNU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60225 | PA      | $53289.80     | 0.00%             | 2040-04-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136ARBM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4815994 | PA      | $4432452.23   | 0.08%             | 2046-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 31410FWY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44730 | PA      | $46763.88     | 0.00%             | 2033-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3140X6KR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  71080824 | PA      | $69510432.84  | 1.24%             | 2049-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 31374CR81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  14537481 | PA      | $13552894.72  | 0.24%             | 2048-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae II Pool                                              | CUSIP: 3617AVJA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    251970 | PA      | $242738.20    | 0.00%             | 2047-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mor                         | Morgan Stanley Residential Mortgage Loan Trust 2025-SPL1        | CUSIP: 617946AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3484538 | PA      | $3411336.30   | 0.06%             | 2065-02-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137B1HG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    826035 | PA      | $762197.45    | 0.01%             | 2043-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| TREASURY BILL                                          | United States Treasury Bill                                     | CUSIP: 912797RR0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10000000 | PA      | $9968893.50   | 0.18%             | 2025-12-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae II Pool                                              | CUSIP: 3617AVJN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     83295 | PA      | $79249.41     | 0.00%             | 2047-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38383RPG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11444542 | PA      | $11306581.03  | 0.20%             | 2052-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137ATPL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1782509 | PA      | $197268.12    | 0.00%             | 2042-08-15      | Floating      | 1.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31396YJD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    144461 | PA      | $140772.62    | 0.00%             | 2038-02-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                | CUSIP: 3132DNNE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4322105 | PA      | $3940407.90   | 0.07%             | 2050-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NY Commercial Mortgage Trust                           | NY Commercial Mortgage Trust 2025-299P                          | CUSIP: 62957FAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3230000 | PA      | $3399773.32   | 0.06%             | 2047-02-10      | Variable      | 5.66%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae I Pool                                               | CUSIP: 36295QKB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     66136 | PA      | $67991.99     | 0.00%             | 2038-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38381ATW6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10000000 | PA      | $9306019.00   | 0.17%             | 2048-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HOMES Trust                                            | HOMES 2024-AFC1 Trust                                           | CUSIP: 403945AC2<br>LEI: 2549009KYOPIDSS2IL61 | Long             | ABS-MBS          | CORP              | US        |   4663267 | PA      | $4669621.83   | 0.08%             | 2059-08-25      | Variable      | 5.22%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137H6KT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  16839390 | PA      | $16312429.52  | 0.29%             | 2052-03-25      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| Bank                                                   | BANK 2019-BNK23                                                 | CUSIP: 06541RBC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7687573 | PA      | $178812.94    | 0.00%             | 2052-12-15      | Variable      | 0.68%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38377VQW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3856564 | PA      | $63869.33     | 0.00%             | 2038-02-20      | Floating      | 2.32%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 31397AM59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3464164 | PA      | $3606523.37   | 0.06%             | 2032-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| STRIPS                                                 | United States Treasury Strip Coupon                             | CUSIP: 912834EV6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  20000000 | PA      | $10508909.60  | 0.19%             | 2039-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136BATB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11435603 | PA      | $11182727.27  | 0.20%             | 2050-07-25      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136AFNG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12933414 | PA      | $10920438.18  | 0.20%             | 2043-07-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137H13T1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  43636000 | PA      | $2543398.44   | 0.05%             | 2031-05-25      | Variable      | 1.21%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137H7FG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3799953 | PA      | $3717380.06   | 0.07%             | 2044-08-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                                      | PRPM 2024-RPL4 LLC                                              | CUSIP: 74448MAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  14792958 | PA      | $14499897.23  | 0.26%             | 2054-12-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| HOUSTON GALLERIA MALL TRUST                            | Houston Galleria Mall Trust 2025-HGLR                           | CUSIP: 44216XAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5425000 | PA      | $5644262.23   | 0.10%             | 2045-02-05      | Variable      | 5.46%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                               | JP Morgan Mortgage Trust 2019-INV2                              | CUSIP: 46651DAR7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    857007 | PA      | $779186.42    | 0.01%             | 2050-02-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Starwood Mortgage Residential                          | Starwood Mortgage Residential Trust 2022-3                      | CUSIP: 85571RAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6599284 | PA      | $6580119.65   | 0.12%             | 2067-03-25      | Variable      | 4.16%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137B32M9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  16916487 | PA      | $16146462.47  | 0.29%             | 2043-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38374NV20<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    226151 | PA      | $225829.79    | 0.00%             | 2036-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 31397PRT9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    127263 | PA      | $132869.70    | 0.00%             | 2038-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 31396CNQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1235847 | PA      | $1308338.48   | 0.02%             | 2035-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38374XAM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     23838 | PA      | $811.31       | 0.00%             | 2039-03-20      | Floating      | 2.15%                 | No            |                  2 | On Loan: No      |
| TREASURY BILL                                          | United States Treasury Bill                                     | CUSIP: 912797RQ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 100000000 | PA      | $99763256.00  | 1.79%             | 2025-11-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38374GSA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     58306 | PA      | $58538.91     | 0.00%             | 2034-04-17      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trus                         | Bravo Residential Funding Trust 2025-Nqm3                       | CUSIP: 105927AC1<br>LEI: 254900KREJHICFBDC014 | Long             | ABS-MBS          | CORP              | US        |    889023 | PA      | $896001.12    | 0.02%             | 2065-03-25      | Variable      | 5.57%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SLST                                     | Seasoned Loans Structured Transaction Trust Series 2022-1       | CUSIP: 35564CMD6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  10000000 | PA      | $9385801.00   | 0.17%             | 2032-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 31397RCQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     70922 | PA      | $73375.41     | 0.00%             | 2037-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 31418DW99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11648383 | PA      | $8797365.67   | 0.16%             | 2051-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137FWG95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        | 156634331 | PA      | $8013193.10   | 0.14%             | 2030-06-25      | Variable      | 1.31%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae I Pool                                               | CUSIP: 36241LDP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     29595 | PA      | $29766.42     | 0.00%             | 2039-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 31393NTQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5589 | PA      | $5618.27      | 0.00%             | 2033-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 3132GHBH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    130818 | PA      | $130342.62    | 0.00%             | 2032-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae II Pool                                              | CUSIP: 3617BFRC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    214006 | PA      | $210889.81    | 0.00%             | 2047-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38380XDR5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3053015 | PA      | $371252.43    | 0.01%             | 2048-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31393YES0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52059 | PA      | $52315.74     | 0.00%             | 2034-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137BMNB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    314997 | PA      | $237495.50    | 0.00%             | 2045-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31397SMA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    155266 | PA      | $153501.98    | 0.00%             | 2041-04-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136AAZM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    435138 | PA      | $227686.70    | 0.00%             | 2042-12-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38379WN99<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    654131 | PA      | $133364.32    | 0.00%             | 2046-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                              | CIM Trust 2019-INV1                                             | CUSIP: 12555DAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    704433 | PA      | $676921.98    | 0.01%             | 2049-02-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137H7WJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8917916 | PA      | $7791915.85   | 0.14%             | 2044-09-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31396VCB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16594 | PA      | $16407.00     | 0.00%             | 2037-04-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137H8VE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9574285 | PA      | $8804036.08   | 0.16%             | 2052-09-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 31374CR57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  14379696 | PA      | $12819429.49  | 0.23%             | 2048-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38382FJZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3000000 | PA      | $617101.80    | 0.01%             | 2050-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Non Gold Pool                                       | CUSIP: 31342WBL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    592226 | PA      | $596662.85    | 0.01%             | 2048-12-01      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage                          | Citigroup Commercial Mortgage Trust 2016-P4                     | CUSIP: 29429EAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  85817808 | PA      | $384172.00    | 0.01%             | 2049-07-10      | Variable      | 1.89%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                       | Connecticut Avenue Securities Trust 2025-R02                    | CUSIP: 20754TAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5473406 | PA      | $5486634.64   | 0.10%             | 2045-02-25      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| Arroyo Mortgage Trust                                  | Arroyo Mortgage Trust 2019-2                                    | CUSIP: 042858AD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9000000 | PA      | $8764593.30   | 0.16%             | 2049-04-25      | Variable      | 4.76%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3140HBDE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    356334 | PA      | $355453.92    | 0.01%             | 2048-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                       | Connecticut Avenue Securities Trust 2024-R01                    | CUSIP: 20753UAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1802050 | PA      | $1802691.53   | 0.03%             | 2044-01-25      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                | CUSIP: 3132AA2H6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  21324283 | PA      | $20155158.33  | 0.36%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| TREASURY BILL                                          | United States Treasury Bill                                     | CUSIP: 912797RP4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 120000000 | PA      | $119806700.40 | 2.14%             | 2025-11-18      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137FQPH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7159184 | PA      | $871094.47    | 0.02%             | 2050-01-25      | Floating      | 1.70%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137BP7A1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        | 264940418 | PA      | $217251.14    | 0.00%             | 2026-03-25      | Variable      | 1.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae I Pool                                               | CUSIP: 36291URZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     58972 | PA      | $62054.18     | 0.00%             | 2036-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | 10 YEAR U.S. ULTRA TREASURY BOND                                | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -141 | NC      | $-121171.88   | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3140XJHB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  14288999 | PA      | $13243891.13  | 0.24%             | 2048-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136BDUX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9926318 | PA      | $871291.47    | 0.02%             | 2051-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae II Pool                                              | CUSIP: 3617AVHG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    334319 | PA      | $318348.34    | 0.01%             | 2047-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae I Pool                                               | CUSIP: 36297BH87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    151188 | PA      | $153930.95    | 0.00%             | 2040-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3138WHS45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  26110006 | PA      | $23731922.98  | 0.42%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38376MDW4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1590394 | PA      | $236195.19    | 0.00%             | 2047-01-20      | Floating      | 1.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31396X7A6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    172594 | PA      | $178978.36    | 0.00%             | 2035-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trus                         | BRAVO Residential Funding Trust 2021-NQM1                       | CUSIP: 10569TAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2277561 | PA      | $2146607.85   | 0.04%             | 2049-02-25      | Variable      | 1.33%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 31398JGX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    896159 | PA      | $896448.10    | 0.02%             | 2039-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38383P4G3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12991946 | PA      | $11422981.44  | 0.20%             | 2052-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | US 10YR ULTRA                                                   | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |     -7521 | NC      | $-11054470.97 | -0.20%            |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137FQXL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  65206565 | PA      | $281483.70    | 0.01%             | 2026-10-25      | Variable      | 0.61%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31398PEC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    210937 | PA      | $211432.40    | 0.00%             | 2040-04-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137FQKS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  59029000 | PA      | $1926904.31   | 0.03%             | 2029-11-25      | Variable      | 0.90%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                           | GSMS Trust 2024-Fair                                            | CUSIP: 36270JAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4025000 | PA      | $4144382.31   | 0.07%             | 2029-07-15      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31398PMS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    252736 | PA      | $258513.40    | 0.00%             | 2040-05-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136BRVQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  28398071 | PA      | $22602129.99  | 0.40%             | 2054-05-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SLST                                     | Seasoned Loans Structured Transaction Trust Series 2025-2       | CUSIP: 35564C2S5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  26000000 | PA      | $22399273.00  | 0.40%             | 2035-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31398GMM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39754 | PA      | $40649.88     | 0.00%             | 2040-01-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136B8D30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12539402 | PA      | $12259544.20  | 0.22%             | 2050-03-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137FFXM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        | 158902200 | PA      | $2142160.56   | 0.04%             | 2031-01-25      | Variable      | 0.31%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | U.S. TREASURY BOND                                              | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -167 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BRAVO Residential Funding Trus                         | BRAVO Residential Funding Trust 2021-NQM1                       | CUSIP: 10569TAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    911025 | PA      | $859858.35    | 0.02%             | 2049-02-25      | Variable      | 1.26%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137B8YJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  16936917 | PA      | $15760363.18  | 0.28%             | 2044-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136ALRP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     53491 | PA      | $2641.00      | 0.00%             | 2043-10-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae II Pool                                              | CUSIP: 36230N2R5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     57294 | PA      | $58364.59     | 0.00%             | 2042-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31395DAL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32125 | PA      | $33985.82     | 0.00%             | 2036-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                | CUSIP: 3132DNBX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12911739 | PA      | $11975624.56  | 0.21%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137FYUN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  64367000 | PA      | $2284777.47   | 0.04%             | 2031-03-25      | Variable      | 0.73%                 | No            |                  2 | On Loan: No      |
| SKY1 Trust                                             | SKY Trust 2025-LINE                                             | CUSIP: 830941AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2945663 | PA      | $2967033.99   | 0.05%             | 2042-04-15      | Floating      | 6.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 31393RFB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    690000 | PA      | $701869.66    | 0.01%             | 2033-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                        | United States Treasury Note/Bond                                | CUSIP: 9128284N7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  18000000 | PA      | $17690976.54  | 0.32%             | 2028-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | U.S. TREASURY BOND                                              | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -63 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 31418CPH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     81679 | PA      | $82939.55     | 0.00%             | 2047-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137FUZK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  44087391 | PA      | $4770626.06   | 0.09%             | 2035-05-25      | Variable      | 1.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137FMD74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7343884 | PA      | $7227772.86   | 0.13%             | 2027-09-25      | Fixed         | 2.82%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38374KFR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    156903 | PA      | $156559.03    | 0.00%             | 2034-12-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137H7YC1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9012183 | PA      | $4121476.67   | 0.07%             | 2051-08-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae I Pool                                               | CUSIP: 36186G6E9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     56621 | PA      | $57679.89     | 0.00%             | 2040-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137HH6L0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11475000 | PA      | $11720278.13  | 0.21%             | 2032-01-25      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137FMU83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  32464912 | PA      | $114880.34    | 0.00%             | 2026-05-25      | Variable      | 0.96%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137F83U5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  24471000 | PA      | $1304125.66   | 0.02%             | 2030-11-25      | Variable      | 1.19%                 | No            |                  2 | On Loan: No      |
| STRIPS                                                 | United States Treasury Strip Coupon                             | CUSIP: 912834FB9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  25750000 | PA      | $13341543.65  | 0.24%             | 2040-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | U.S. TREASURY BOND                                              | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -25 | NC      | $-390.63      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 31393LFT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     60656 | PA      | $62370.49     | 0.00%             | 2033-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38375QFE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     56438 | PA      | $2972.57      | 0.00%             | 2038-04-16      | Floating      | 3.55%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137FNWZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  46951063 | PA      | $261400.04    | 0.00%             | 2026-07-25      | Variable      | 1.26%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136B8RV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8526970 | PA      | $1289414.27   | 0.02%             | 2050-02-25      | Floating      | 1.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae II Pool                                              | CUSIP: 36179NJF6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     60582 | PA      | $63704.86     | 0.00%             | 2043-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137APLG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     21857 | PA      | $180.10       | 0.00%             | 2027-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae I Pool                                               | CUSIP: 36210BDM4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     25927 | PA      | $26740.90     | 0.00%             | 2029-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31398MUM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    105728 | PA      | $93769.12     | 0.00%             | 2040-03-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31396LC99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    123849 | PA      | $122639.61    | 0.00%             | 2036-12-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38374XSE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     56160 | PA      | $1657.87      | 0.00%             | 2038-09-20      | Floating      | 3.45%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | U.S. TREASURY BOND                                              | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -21 | NC      | $-328.13      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38380BHQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    360118 | PA      | $259037.93    | 0.00%             | 2046-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38374MLY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    117024 | PA      | $98999.89     | 0.00%             | 2035-06-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 31398KHZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     39988 | PA      | $40603.11     | 0.00%             | 2039-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137FVAV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  24342602 | PA      | $23646824.68  | 0.42%             | 2050-08-25      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38380B3G8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    303000 | PA      | $212882.77    | 0.00%             | 2046-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust                                | Flagstar Mortgage Trust 2018-2                                  | CUSIP: 33851HAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    109857 | PA      | $106145.85    | 0.00%             | 2048-04-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3140XJ5B5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  33678812 | PA      | $31124244.72  | 0.56%             | 2052-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137FQVN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2154387 | PA      | $2110095.09   | 0.04%             | 2050-01-25      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38379ENH1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1898368 | PA      | $174828.70    | 0.00%             | 2044-08-20      | Floating      | 1.45%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 3128M7FQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     87817 | PA      | $91031.07     | 0.00%             | 2039-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | U.S. TREASURY BOND                                              | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -92 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38377NF41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    422336 | PA      | $367081.91    | 0.01%             | 2040-12-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3140QAHZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3236128 | PA      | $3130174.09   | 0.06%             | 2048-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38374JPK6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    117748 | PA      | $916.94       | 0.00%             | 2034-10-16      | Floating      | 1.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38380MYS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  26718098 | PA      | $19903938.62  | 0.36%             | 2060-11-16      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137H7AV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5810186 | PA      | $5632219.80   | 0.10%             | 2052-05-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                    | Freddie Mac STACR REMIC Trust 2024-DNA2                         | CUSIP: 35564NCW1<br>LEI: 529900GRKKKHILZX4347 | Long             | ABS-MBS          | CORP              | US        |   6202380 | PA      | $6235059.37   | 0.11%             | 2044-05-25      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38379NPR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3666 | PA      | $0.00         | 0.00%             | 2037-05-16      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137HAMP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10000000 | PA      | $10439574.00  | 0.19%             | 2031-06-25      | Variable      | 5.43%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137F72T1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  77535017 | PA      | $4121994.11   | 0.07%             | 2030-10-25      | Variable      | 1.21%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38383LNJ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10173000 | PA      | $9468485.16   | 0.17%             | 2052-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | U.S. TREASURY BOND                                              | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -84 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137BQBX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8021908 | PA      | $7605827.04   | 0.14%             | 2044-03-15      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                | CUSIP: 3132DNBS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  17502102 | PA      | $16221882.76  | 0.29%             | 2048-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multiclass Certifi                         | Freddie Mac Multiclass Certificates Series 2015-P001            | CUSIP: 3137FQY23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  79276000 | PA      | $3413018.10   | 0.06%             | 2028-09-27      | Variable      | 1.82%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137FMTU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        | 155877560 | PA      | $8023735.03   | 0.14%             | 2034-04-25      | Variable      | 0.90%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137A0XA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    550000 | PA      | $551869.23    | 0.01%             | 2040-08-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137FVAT9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  31254541 | PA      | $30328021.79  | 0.54%             | 2050-07-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 3128MCXR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       369 | PA      | $368.11       | 0.00%             | 2026-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 3128MEZN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1653 | PA      | $1651.43      | 0.00%             | 2029-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136ANAM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    875000 | PA      | $764162.00    | 0.01%             | 2045-04-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38376CXX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     63562 | PA      | $53172.55     | 0.00%             | 2037-11-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | ULTRA U.S. TREASURY BOND                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -7 | NC      | $-328.13      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | U.S. TREASURY BOND                                              | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -200 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Wells Fargo Commercial Mortgag                         | Wells Fargo Commercial Mortgage Trust 2025-B33RP                | CUSIP: 95004RAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5100000 | PA      | $5110458.06   | 0.09%             | 2042-08-15      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137H1YX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  79917765 | PA      | $3806866.73   | 0.07%             | 2031-06-25      | Variable      | 1.03%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3138APD62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1053741 | PA      | $1031327.76   | 0.02%             | 2042-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137BDZM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    641339 | PA      | $11676.61     | 0.00%             | 2028-11-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38379AWF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4151278 | PA      | $35936.37     | 0.00%             | 2044-03-16      | Variable      | 0.33%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38378F3M0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2223000 | PA      | $1883979.83   | 0.03%             | 2043-02-16      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                | CUSIP: 31329MUV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8573552 | PA      | $7946734.05   | 0.14%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 3132VMK79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1425251 | PA      | $1378246.47   | 0.02%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 31339WW85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     43512 | PA      | $2276.33      | 0.00%             | 2029-01-15      | Floating      | 3.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38374LCL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     64535 | PA      | $63683.80     | 0.00%             | 2035-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | U.S. TREASURY BOND                                              | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -47 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae II Pool                                              | CUSIP: 3617ARK55<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    650291 | PA      | $642224.81    | 0.01%             | 2047-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137FTJK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4228782 | PA      | $4126537.67   | 0.07%             | 2049-07-25      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136BVXE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7231834 | PA      | $7295094.85   | 0.13%             | 2055-05-25      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136BW2X3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7140099 | PA      | $6014852.63   | 0.11%             | 2048-07-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38376FJN3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5487869 | PA      | $492500.59    | 0.01%             | 2035-11-16      | Floating      | 2.10%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multiclass Certifi                         | Freddie Mac Multiclass Certificates Series 2015-P001            | CUSIP: 3137H1M86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        | 100924000 | PA      | $4013636.46   | 0.07%             | 2028-10-27      | Variable      | 1.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 31405FTE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     99851 | PA      | $101515.59    | 0.00%             | 2033-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SLST                                     | Seasoned Loans Structured Transaction Trust Series 2019-2       | CUSIP: 35564CCZ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  12670641 | PA      | $12173998.63  | 0.22%             | 2029-09-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137FWHV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  71358711 | PA      | $3817955.05   | 0.07%             | 2030-07-25      | Variable      | 1.41%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31396WKF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    997600 | PA      | $979572.59    | 0.02%             | 2037-06-25      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | U.S. TREASURY BOND                                              | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -13 | NC      | $-406.25      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 3128UNBB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1935 | PA      | $1969.67      | 0.00%             | 2037-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38379VEB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8507708 | PA      | $8371853.10   | 0.15%             | 2046-02-20      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137H7EX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  33673000 | PA      | $31580189.38  | 0.57%             | 2052-05-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38375KWU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     61137 | PA      | $52261.17     | 0.00%             | 2037-07-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38383UTR1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7560645 | PA      | $7434417.71   | 0.13%             | 2052-08-20      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 3132GSUC1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12584 | PA      | $12100.45     | 0.00%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PFS Financing Corp.                                    | PFS Financing Corp                                              | CUSIP: 69335PFY6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $4034321.60   | 0.07%             | 2030-05-15      | Fixed         | 4.47%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                                   | Fannie Mae REMIC Trust 2007-W1                                  | CUSIP: 31396XD43<br>LEI: 5493006KCWOV61WOTM60 | Long             | ABS-MBS          | USGSE             | US        |   1606622 | PA      | $1649897.96   | 0.03%             | 2047-06-25      | Variable      | 5.24%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38383PN49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  14197667 | PA      | $11655213.02  | 0.21%             | 2052-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137A8AM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2170417 | PA      | $2168875.68   | 0.04%             | 2041-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | U.S. TREASURY BOND                                              | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -41 | NC      | $-1281.25     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137FP5D3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8210697 | PA      | $8026926.22   | 0.14%             | 2049-09-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 31368HMU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23706 | PA      | $25149.10     | 0.00%             | 2036-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                        | Fannie Mae Interest Strip                                       | CUSIP: 3136FCWD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45961 | PA      | $6237.89      | 0.00%             | 2035-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 31281LCL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     60820 | PA      | $60944.41     | 0.00%             | 2035-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38383RC96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  15346292 | PA      | $11835174.25  | 0.21%             | 2051-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137HDVT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  13095138 | PA      | $12387669.12  | 0.22%             | 2054-08-25      | Floating      | 3.66%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136ABFP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    667369 | PA      | $582998.70    | 0.01%             | 2043-01-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3140W1MM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  23736590 | PA      | $23892533.64  | 0.43%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3140W1ZF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  16994226 | PA      | $16927371.76  | 0.30%             | 2050-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                              | Fannie Mae or Freddie Mac                                       | CUSIP: 01F0406C6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        | -80000000 | PA      | $-75880973.60 | -1.36%            | 2055-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | U.S. TREASURY BOND                                              | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -663 | NC      | $-51796.88    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136ACCG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    690000 | PA      | $483616.93    | 0.01%             | 2043-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Exeter Select Automobile Recei                         | Exeter Select Automobile Receivables Trust 2025-1               | CUSIP: 30185AAF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4250000 | PA      | $4381369.20   | 0.08%             | 2031-09-15      | Fixed         | 6.14%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3138EKNK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    310130 | PA      | $295315.58    | 0.01%             | 2043-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                               | JP Morgan Mortgage Trust                                        | CUSIP: 46593VAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $3029037.00   | 0.05%             | 2055-11-25      | Variable      | 5.82%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137FN3E8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2852060 | PA      | $2789926.97   | 0.05%             | 2049-08-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae II Pool                                              | CUSIP: 36179UK35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1439458 | PA      | $1513866.53   | 0.03%             | 2049-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3140XHLH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  21130872 | PA      | $20017277.03  | 0.36%             | 2048-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137FPJL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  57790000 | PA      | $2256212.91   | 0.04%             | 2029-09-25      | Variable      | 1.14%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3140XHCW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7353704 | PA      | $7137763.50   | 0.13%             | 2042-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| STRIPS                                                 | United States Treasury Strip Coupon                             | CUSIP: 912833Y46<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3890000 | PA      | $2348840.97   | 0.04%             | 2037-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | U.S. TREASURY BOND                                              | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -81 | NC      | $-8859.38     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136BTZJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  32530330 | PA      | $32727854.57  | 0.59%             | 2054-12-25      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38384X5M1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11504346 | PA      | $11537252.64  | 0.21%             | 2054-11-20      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31396KB50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26695 | PA      | $28256.13     | 0.00%             | 2036-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                     | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2019-3   | CUSIP: 35563PLC1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   9121903 | PA      | $8622651.08   | 0.15%             | 2058-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38383PP62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7890964 | PA      | $6291875.69   | 0.11%             | 2052-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136BSDB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4664400 | PA      | $4443693.65   | 0.08%             | 2033-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136AGC91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    195852 | PA      | $159739.28    | 0.00%             | 2043-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 31409GV86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28123 | PA      | $28479.24     | 0.00%             | 2037-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136B27D8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2331248 | PA      | $2255211.08   | 0.04%             | 2058-10-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137F72F1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  70811000 | PA      | $1357772.60   | 0.02%             | 2027-10-25      | Variable      | 1.11%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | U.S. TREASURY BOND                                              | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -749 | NC      | $-140437.50   | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3138MSDD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    168627 | PA      | $156402.84    | 0.00%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 31292KZX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7052 | PA      | $7255.83      | 0.00%             | 2040-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3140HBDR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    204943 | PA      | $205046.32    | 0.00%             | 2048-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137H7AS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5504744 | PA      | $5183045.72   | 0.09%             | 2037-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31395BVS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23684 | PA      | $2699.93      | 0.00%             | 2036-03-25      | Floating      | 2.28%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137H1Z58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        | 103540836 | PA      | $1999383.89   | 0.04%             | 2028-07-25      | Variable      | 0.86%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                              | Fannie Mae or Freddie Mac                                       | CUSIP: 01F0526C1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  35086000 | PA      | $35425339.86  | 0.63%             | 2055-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                | CUSIP: 3132AAP73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  15868305 | PA      | $15084801.90  | 0.27%             | 2045-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137H6ZG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9750000 | PA      | $7705526.40   | 0.14%             | 2050-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3140JBEB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8397286 | PA      | $7487076.80   | 0.13%             | 2048-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | U.S. TREASURY BOND                                              | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -465 | NC      | $-290625.00   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Wells Fargo Commercial Mortgag                         | Wells Fargo Commercial Mortgage Trust 2018-C47                  | CUSIP: 95002DBR9<br>LEI: 549300VHRKFNCWVN9Y77 | Long             | ABS-MBS          | CORP              | US        |   3519700 | PA      | $3501058.96   | 0.06%             | 2061-09-15      | Variable      | 4.67%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae II Pool                                              | CUSIP: 3620AQAS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    369406 | PA      | $359877.06    | 0.01%             | 2036-06-20      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136BS3A1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2154063 | PA      | $2141400.12   | 0.04%             | 2035-11-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136A6AH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    293055 | PA      | $280284.98    | 0.01%             | 2042-05-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137ACW96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1217425 | PA      | $1227785.31   | 0.02%             | 2041-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137ANCR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12958 | PA      | $12035.10     | 0.00%             | 2041-05-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                               | JP Morgan Mortgage Trust 2004-S2                                | CUSIP: 466247JX2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3303 | PA      | $3204.11      | 0.00%             | 2019-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                | CUSIP: 31427PY73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        | 117108219 | PA      | $112457478.02 | 2.01%             | 2049-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NYO Commercial Mortgage Trust                          | NYO Commercial Mortgage Trust 2021-1290                         | CUSIP: 62955HAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5300000 | PA      | $5281136.77   | 0.09%             | 2038-11-15      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31395BW33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    189593 | PA      | $8686.29      | 0.00%             | 2030-11-25      | Floating      | 2.38%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | U.S. TREASURY BOND                                              | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -166 | NC      | $-287906.25   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136B4PW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7169904 | PA      | $7106077.47   | 0.13%             | 2049-05-25      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136B5SZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9237594 | PA      | $870708.86    | 0.02%             | 2049-08-25      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                                 | Sequoia Mortgage Trust 2018-CH1                                 | CUSIP: 81747DCC1<br>LEI: 549300ZUG1L9OO3W6B29 | Long             | ABS-MBS          | CORP              | US        |   4378680 | PA      | $4241152.42   | 0.08%             | 2048-03-25      | Variable      | 4.43%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38379XMH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7231381 | PA      | $6129588.27   | 0.11%             | 2046-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust                         | Pagaya AI Debt Grantor Trust 2024-10                            | CUSIP: 69544MAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3586158 | PA      | $3602480.23   | 0.06%             | 2032-06-15      | Fixed         | 5.18%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3138AKXX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     61422 | PA      | $61809.04     | 0.00%             | 2031-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 31410LMD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    492138 | PA      | $489875.97    | 0.01%             | 2043-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31394DGJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     69818 | PA      | $68639.25     | 0.00%             | 2035-04-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 31403E7J0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11348 | PA      | $11413.29     | 0.00%             | 2029-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Bank                                                   | BANK 2022-BNK43                                                 | CUSIP: 06541QAT2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3450000 | PA      | $3460804.02   | 0.06%             | 2055-08-15      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | US LONG BOND(CBT)                                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |     -1512 | NC      | $-1202685.77  | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Onslow Bay Financial LLC                               | OBX 2021-NQM4 Trust                                             | CUSIP: 67115DAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5172532 | PA      | $4478120.67   | 0.08%             | 2061-10-25      | Variable      | 1.96%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38378NNC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3842 | PA      | $3654.94      | 0.00%             | 2044-11-16      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 3128LXG20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    146071 | PA      | $149923.85    | 0.00%             | 2035-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31393EHE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    355000 | PA      | $349180.13    | 0.01%             | 2033-08-25      | Fixed         | 4.29%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38379YEV6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1762188 | PA      | $152934.35    | 0.00%             | 2040-05-20      | Floating      | 1.85%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38380XHF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5922222 | PA      | $5481169.44   | 0.10%             | 2048-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                       | Freddie Mac Strips                                              | CUSIP: 31325UDY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     48937 | PA      | $933.27       | 0.00%             | 2028-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38381J2J5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  50315864 | PA      | $2548397.86   | 0.05%             | 2063-06-16      | Variable      | 0.70%                 | No            |                  2 | On Loan: No      |
| STRIPS                                                 | United States Treasury Strip Coupon                             | CUSIP: 912833Y20<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9185000 | PA      | $5836916.68   | 0.10%             | 2036-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137HJSW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2069118 | PA      | $2086139.35   | 0.04%             | 2055-02-25      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | ULTRA U.S. TREASURY BOND                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -60 | NC      | $-2812.50     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | U.S. TREASURY BOND                                              | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -77 | NC      | $-175656.25   | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38382AEN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7490468 | PA      | $6937133.55   | 0.12%             | 2049-10-20      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38380RFV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9297153 | PA      | $3384994.83   | 0.06%             | 2062-06-16      | Fixed         | 1.83%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38378ACU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     26513 | PA      | $2368.70      | 0.00%             | 2041-04-20      | Floating      | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 31413RK47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     77465 | PA      | $80207.08     | 0.00%             | 2038-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137FNHT0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5273066 | PA      | $723766.27    | 0.01%             | 2049-06-15      | Floating      | 1.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136BN6P6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  23831851 | PA      | $23558581.11  | 0.42%             | 2052-10-25      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137BRGT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     68933 | PA      | $1436.77      | 0.00%             | 2054-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 31416XLP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        90 | PA      | $90.19        | 0.00%             | 2026-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136AEJ24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    400086 | PA      | $342690.62    | 0.01%             | 2043-06-25      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Gracie Point International Fun                         | Gracie Point International Funding 2024-1 LLC                   | CUSIP: 38410KAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4030000 | PA      | $4036980.77   | 0.07%             | 2028-03-01      | Floating      | 6.06%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | U.S. TREASURY BOND                                              | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -57 | NC      | $-34734.38    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136BSQ65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5195796 | PA      | $5163879.45   | 0.09%             | 2035-10-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136B3MR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  22573722 | PA      | $21352880.71  | 0.38%             | 2048-11-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38383M3M8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  23600000 | PA      | $21662524.96  | 0.39%             | 2051-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 31335AGB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    150089 | PA      | $142475.80    | 0.00%             | 2045-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38378GZP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    591887 | PA      | $8504.94      | 0.00%             | 2027-12-16      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 31395TYA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    785000 | PA      | $814380.20    | 0.01%             | 2035-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38382AEP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1702379 | PA      | $20932.28     | 0.00%             | 2049-10-20      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                               | OBX 2018-EXP1 Trust                                             | CUSIP: 67097VAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    733671 | PA      | $702541.77    | 0.01%             | 2048-04-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136ADZ44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    747323 | PA      | $139424.40    | 0.00%             | 2043-05-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 31402RAQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    160185 | PA      | $168130.30    | 0.00%             | 2032-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | U.S. TREASURY BOND                                              | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -415 | NC      | $-804062.50   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| STRIPS                                                 | United States Treasury Strip Coupon                             | CUSIP: 912834JP4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  25825000 | PA      | $12637274.97  | 0.23%             | 2041-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38374HVU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     23561 | PA      | $23766.81     | 0.00%             | 2034-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                              | Fannie Mae or Freddie Mac                                       | CUSIP: 01F0506C5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  30469000 | PA      | $30295358.69  | 0.54%             | 2055-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137FQ4B6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  67754367 | PA      | $1939461.98   | 0.03%             | 2029-10-25      | Variable      | 0.83%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137FF4B0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        | 107703000 | PA      | $1896585.21   | 0.03%             | 2027-12-25      | Variable      | 0.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                | CUSIP: 3132DM5D3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10318441 | PA      | $9827160.71   | 0.18%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 31393VKV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    664371 | PA      | $659374.63    | 0.01%             | 2033-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137BR2M6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    136619 | PA      | $77833.66     | 0.00%             | 2043-08-15      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38374Y6D0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    737504 | PA      | $26179.77     | 0.00%             | 2037-07-20      | Floating      | 2.45%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan                          | New Residential Mortgage Loan Trust 2015-2                      | CUSIP: 64829EAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2905897 | PA      | $2881455.64   | 0.05%             | 2055-08-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | U.S. TREASURY BOND                                              | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -90 | NC      | $-111093.75   | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137FWHX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  55652865 | PA      | $3752199.64   | 0.07%             | 2030-08-25      | Variable      | 1.60%                 | No            |                  2 | On Loan: No      |
| Mello Mortgage Capital Accepta                         | Mello Mortgage Capital Acceptance 2018-MTG2                     | CUSIP: 585499AJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3550477 | PA      | $3417385.42   | 0.06%             | 2048-10-25      | Variable      | 4.36%                 | No            |                  2 | On Loan: No      |
| First Trust AAA CMBS ETF                               | First Trust AAA CMBS ETF                                        | CUSIP: 33738D762<br>LEI: 254900TMRGSMLWIAPA66 | Long             | EC               | RF                | US        |     20000 | NS      | $410202.00    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38381HJA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  20459642 | PA      | $12032414.58  | 0.22%             | 2063-05-16      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust                         | Pagaya AI Debt Trust 2025-4                                     | CUSIP: 69547DAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $5038251.50   | 0.09%             | 2033-01-17      | Fixed         | 5.37%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137AMGA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     49376 | PA      | $638.89       | 0.00%             | 2027-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38378KSU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     86539 | PA      | $72751.40     | 0.00%             | 2053-12-16      | Variable      | 2.57%                 | No            |                  2 | On Loan: No      |
| PFS Financing Corp.                                    | PFS Financing Corp                                              | CUSIP: 69335PFW0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2500000 | PA      | $2510505.50   | 0.04%             | 2029-04-15      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3133TGKG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       299 | PA      | $15.62        | 0.00%             | 2028-10-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trus                         | CSAIL 2020-C19 Commercial Mortgage Trust                        | CUSIP: 12597NAU7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  55980473 | PA      | $1986315.94   | 0.04%             | 2053-03-15      | Variable      | 1.09%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | U.S. TREASURY BOND                                              | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -400 | NC      | $-306250.00   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Towd Point Mortgage Trust                              | Towd Point Mortgage Trust 2019-1                                | CUSIP: 89177BAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5894405 | PA      | $5751648.53   | 0.10%             | 2058-03-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136A2HE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2055437 | PA      | $2023129.84   | 0.04%             | 2041-11-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae I Pool                                               | CUSIP: 36297GM80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    160223 | PA      | $157101.93    | 0.00%             | 2040-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae I Pool                                               | CUSIP: 36200M7J6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     38583 | PA      | $38888.53     | 0.00%             | 2033-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136A1MS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    750000 | PA      | $680542.20    | 0.01%             | 2041-10-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137H7EW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5371618 | PA      | $5183609.60   | 0.09%             | 2033-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                | CUSIP: 31427NRL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  14466027 | PA      | $14005772.28  | 0.25%             | 2050-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae I Pool                                               | CUSIP: 36200MLT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     56045 | PA      | $56919.39     | 0.00%             | 2033-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38376JCQ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2273822 | PA      | $93461.13     | 0.00%             | 2036-04-20      | Floating      | 1.95%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                               | OBX 2025-NQM6 Trust                                             | CUSIP: 67448UAA0<br>LEI: 254900W46UQEWQMYYZ02 | Long             | ABS-MBS          | CORP              | US        |   2203552 | PA      | $2223942.38   | 0.04%             | 2065-03-25      | Variable      | 5.60%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | U.S. TREASURY BOND                                              | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -56 | NC      | $-33250.00    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38374MBY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1249937 | PA      | $1248849.16   | 0.02%             | 2035-10-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38385CCE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5781109 | PA      | $5820650.97   | 0.10%             | 2055-01-20      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136B3TV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2878517 | PA      | $2688792.76   | 0.05%             | 2048-12-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Winwater Mortgage Loan Trust                           | WinWater Mortgage Loan Trust 2016-1                             | CUSIP: 97655JCB6<br>LEI: 5493007FSEV8PHXVE122 | Long             | ABS-MBS          | CORP              | US        |   2717002 | PA      | $2615240.60   | 0.05%             | 2046-01-20      | Variable      | 3.78%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137FTF28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2515155 | PA      | $637783.45    | 0.01%             | 2049-12-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3140X6JS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  61693206 | PA      | $60349606.43  | 1.08%             | 2044-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38380MLC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  18680976 | PA      | $13897884.24  | 0.25%             | 2060-06-16      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 3132H7DA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     83216 | PA      | $83439.98     | 0.00%             | 2044-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SLST                                     | Seasoned Loans Structured Transaction Trust Series 2019-3       | CUSIP: 35564CEE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3065136 | PA      | $2945459.04   | 0.05%             | 2029-11-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136AHFX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  31056628 | PA      | $30000910.77  | 0.54%             | 2033-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | U.S. TREASURY BOND                                              | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -356 | NC      | $-166875.00   | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac - STACR                                    | Freddie Mac STACR REMIC Trust 2024-HQA1                         | CUSIP: 35564NCA9<br>LEI: 529900PGKDI4ZEXFQ523 | Long             | ABS-MBS          | CORP              | US        |   8000000 | PA      | $8094281.60   | 0.14%             | 2044-03-25      | Floating      | 6.18%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae I Pool                                               | CUSIP: 36200NRJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     53983 | PA      | $54604.13     | 0.00%             | 2034-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137F6JT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8502652 | PA      | $688849.13    | 0.01%             | 2045-10-15      | Variable      | 1.93%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                     | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2019-2   | CUSIP: 35563PKG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  16960754 | PA      | $16418259.06  | 0.29%             | 2058-08-26      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31398SKS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2821000 | PA      | $2722538.35   | 0.05%             | 2040-12-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31392CDZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3180 | PA      | $3321.35      | 0.00%             | 2032-04-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                                      | PRPM 2025-RPL4 LLC                                              | CUSIP: 74448NAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5296891 | PA      | $5027785.42   | 0.09%             | 2055-05-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31392JGL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3449 | PA      | $3421.26      | 0.00%             | 2033-03-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136AQT75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2267 | PA      | $4.39         | 0.00%             | 2044-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38376K2G5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     58754 | PA      | $60810.86     | 0.00%             | 2039-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | U.S. TREASURY BOND                                              | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -280 | NC      | $-83125.00    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 3128K8VV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    221115 | PA      | $217191.85    | 0.00%             | 2035-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CoreVest American Finance Ltd                          | CoreVest American Finance 2021-2 Trust                          | CUSIP: 21873BAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1004680 | PA      | $971138.50    | 0.02%             | 2054-07-15      | Fixed         | 1.41%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137HHSZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  32079959 | PA      | $32239710.57  | 0.58%             | 2054-12-25      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 31396AAK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     63428 | PA      | $6265.99      | 0.00%             | 2035-08-15      | Floating      | 2.34%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae II Pool                                              | CUSIP: 36202DSQ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     19768 | PA      | $20534.85     | 0.00%             | 2032-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3138WHTF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  34439309 | PA      | $32382834.16  | 0.58%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38381RHP7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    748276 | PA      | $107497.14    | 0.00%             | 2040-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38380F6N1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2655934 | PA      | $467883.69    | 0.01%             | 2047-08-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multiclass Certifi                         | Freddie Mac Multiclass Certificates Series 2015-P001            | CUSIP: 3137FTZY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  96907000 | PA      | $2485431.97   | 0.04%             | 2027-12-27      | Variable      | 2.01%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31398SGL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    134166 | PA      | $7633.89      | 0.00%             | 2040-11-25      | Floating      | 1.70%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | U.S. TREASURY BOND                                              | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -272 | NC      | $-93500.00    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac - SCRT                                     | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2019-4   | CUSIP: 35563PML0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2905152 | PA      | $2695476.04   | 0.05%             | 2059-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multiclass Certifi                         | Freddie Mac Multiclass Certificates Series 2015-P001            | CUSIP: 3137FV2D3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  43833627 | PA      | $1361498.77   | 0.02%             | 2028-12-27      | Variable      | 2.44%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137B27G9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  20818099 | PA      | $19772533.14  | 0.35%             | 2043-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136BUDS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  22055580 | PA      | $22072425.66  | 0.40%             | 2054-11-25      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38384BJS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10738770 | PA      | $9750518.58   | 0.17%             | 2053-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3140XGEU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9974555 | PA      | $9915067.85   | 0.18%             | 2049-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137FJZ51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1762781 | PA      | $1761383.99   | 0.03%             | 2028-10-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38383RDP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  20915694 | PA      | $15409539.35  | 0.28%             | 2051-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136BTLF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13449857 | PA      | $13483512.83  | 0.24%             | 2054-07-25      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multiclass Certifi                         | Freddie Mac Multiclass Certificates Series 2021-RR19            | CUSIP: 3137H2P57<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  20098730 | PA      | $948306.34    | 0.02%             | 2029-04-27      | Variable      | 2.01%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | U.S. TREASURY BOND                                              | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -345 | NC      | $-177890.63   | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae II Pool                                              | CUSIP: 36193FLA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    131570 | PA      | $132210.30    | 0.00%             | 2041-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137B4HE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2750000 | PA      | $2640628.65   | 0.05%             | 2043-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MSILF Treasury Portfolio                               | MSILF Treasury Portfolio                                        | CUSIP: 61747C582<br>LEI: 549300D1XR6GP7EZ0T47 | Long             | STIV             | RF                | US        | 102204610 | NS      | $102204610.09 | 1.83%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3138MFN52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1185970 | PA      | $1137149.06   | 0.02%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae I Pool                                               | CUSIP: 3620AL7G3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    136986 | PA      | $136696.92    | 0.00%             | 2040-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136ALK26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    678628 | PA      | $591156.38    | 0.01%             | 2044-12-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136AU5M9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12562781 | PA      | $11516899.47  | 0.21%             | 2047-02-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38381AP59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3186799 | PA      | $3038051.21   | 0.05%             | 2048-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137AV5X1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    169410 | PA      | $2773.65      | 0.00%             | 2027-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust                         | Pagaya AI Debt Grantor Trust 2025-2                             | CUSIP: 69545GAF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2427677 | PA      | $2434428.83   | 0.04%             | 2032-10-15      | Variable      | 4.90%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | ULTRA U.S. TREASURY BOND                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -77 | NC      | $-15640.63    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | U.S. TREASURY BOND                                              | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -329 | NC      | $-215906.25   | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137H9AD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  15438494 | PA      | $15270309.03  | 0.27%             | 2052-09-25      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136AKVK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    218259 | PA      | $171.56       | 0.00%             | 2044-08-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multiclass Certifi                         | Freddie Mac Multiclass Certificates Series 2015-P001            | CUSIP: 3137FV2B7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        | 112919000 | PA      | $6727985.03   | 0.12%             | 2029-01-27      | Variable      | 2.84%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38377UX86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     68163 | PA      | $3928.75      | 0.00%             | 2041-01-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137HJSV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  22351856 | PA      | $22630190.44  | 0.41%             | 2055-02-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137HH6B2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        | 113233000 | PA      | $5521371.30   | 0.10%             | 2031-08-25      | Variable      | 0.99%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 31283HS89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7300 | PA      | $7613.74      | 0.00%             | 2032-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae II Pool                                              | CUSIP: 36179RB40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     55247 | PA      | $58024.09     | 0.00%             | 2045-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JW Commercial Mortgage Trust 2                         | JW Trust 2024-BERY                                              | CUSIP: 46676AAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3500000 | PA      | $3508276.80   | 0.06%             | 2039-11-15      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137H92G3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  26525883 | PA      | $26313548.53  | 0.47%             | 2052-09-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | U.S. TREASURY BOND                                              | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -40 | NC      | $-32500.00    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137BNRK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7694500 | PA      | $918191.57    | 0.02%             | 2046-04-15      | Floating      | 1.65%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38376T2N1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7907 | PA      | $7619.63      | 0.00%             | 2040-01-16      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNA VI LLC                                             | FNA VI LLC                                                      | CUSIP: 34411YAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2409431 | PA      | $2260823.50   | 0.04%             | 2032-01-10      | Fixed         | 1.35%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 312946C79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     57205 | PA      | $56142.72     | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31396YSL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2114 | PA      | $42.12        | 0.00%             | 2038-02-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                     | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2019-2   | CUSIP: 35563PKJ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  12889005 | PA      | $12212350.74  | 0.22%             | 2058-08-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 31418SYU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3016 | PA      | $3027.61      | 0.00%             | 2030-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31396YHW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15739 | PA      | $15390.92     | 0.00%             | 2038-02-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38374KGD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    282781 | PA      | $282328.73    | 0.01%             | 2034-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                                             | MFRA 2024-NQM3 Trust                                            | CUSIP: 55287GAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12024774 | PA      | $12109495.01  | 0.22%             | 2069-12-25      | Variable      | 5.72%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | 10 YEAR U.S. TREASURY NOTE                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -286 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 31397TJN3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    100761 | PA      | $1542.42      | 0.00%             | 2038-05-15      | Floating      | 1.70%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137FQA52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6933302 | PA      | $6869843.60   | 0.12%             | 2049-12-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3140XFZG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  28017550 | PA      | $26698932.51  | 0.48%             | 2044-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136AN7L5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11630110 | PA      | $11215993.52  | 0.20%             | 2045-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137AWVX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     68980 | PA      | $1142.64      | 0.00%             | 2027-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3138EQPX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    276220 | PA      | $277494.74    | 0.00%             | 2042-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae II Pool                                              | CUSIP: 36182D3G8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     21100 | PA      | $20326.85     | 0.00%             | 2043-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 313920PF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       795 | PA      | $11.04        | 0.00%             | 2031-08-18      | Floating      | 3.80%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137HCUG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  18812974 | PA      | $14895766.81  | 0.27%             | 2054-05-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38374NPM3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    353994 | PA      | $353050.17    | 0.01%             | 2036-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | 10 YEAR U.S. TREASURY NOTE                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -168 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38379XH60<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    204468 | PA      | $212915.93    | 0.00%             | 2045-11-20      | Variable      | 5.48%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137FRTX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  14277191 | PA      | $13948208.80  | 0.25%             | 2050-03-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31398THN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    230738 | PA      | $57042.18     | 0.00%             | 2050-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| TSY INFL IX N/B                                        | United States Treasury Inflation Indexed Bonds                  | CUSIP: 91282CJH5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  37000000 | PA      | $40585642.22  | 0.73%             | 2028-10-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Capital Street Master Trust                            | Capital Street Master Trust                                     | CUSIP: 14051LAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2500000 | PA      | $2502445.00   | 0.04%             | 2029-08-16      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 31418CNT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    120618 | PA      | $119746.31    | 0.00%             | 2047-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137FPJJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  55858537 | PA      | $1588817.89   | 0.03%             | 2029-09-25      | Variable      | 0.87%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se                         | Wells Fargo Mortgage Backed Securities 2019-1 Trust             | CUSIP: 95001TAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    158903 | PA      | $151823.50    | 0.00%             | 2048-11-25      | Variable      | 3.92%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae I Pool                                               | CUSIP: 36290RU43<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    107457 | PA      | $107247.11    | 0.00%             | 2033-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38375GGT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4343026 | PA      | $373108.95    | 0.01%             | 2042-07-16      | Floating      | 1.95%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | 10 YEAR U.S. TREASURY NOTE                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -20 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BMO Mortgage Trust                                     | BMO 2024-5C3 Mortgage Trust                                     | CUSIP: 09660QAU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  78500000 | PA      | $2494361.05   | 0.04%             | 2057-02-15      | Variable      | 1.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38382FNH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  14014801 | PA      | $2645850.08   | 0.05%             | 2049-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3140JAJR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4049229 | PA      | $4041649.98   | 0.07%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38373MC32<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    551212 | PA      | $554739.06    | 0.01%             | 2037-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38376LWH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    893216 | PA      | $1211.92      | 0.00%             | 2035-07-20      | Floating      | 0.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137FJG45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    439911 | PA      | $429301.54    | 0.01%             | 2048-11-15      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38379JUY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10654487 | PA      | $9615186.56   | 0.17%             | 2045-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3140W1D67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  49155569 | PA      | $41785271.38  | 0.75%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                         | Fannie Mae-Aces                                                 | CUSIP: 3136BPRZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  26742934 | PA      | $19378259.02  | 0.35%             | 2053-01-25      | Variable      | 3.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137A62R2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1769912 | PA      | $1812003.42   | 0.03%             | 2041-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | 10 YEAR U.S. TREASURY NOTE                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -91 | NC      | $-1421.88     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31396YBM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37853 | PA      | $38782.25     | 0.00%             | 2037-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Capital Street Master Trust                            | Capital Street Master Trust                                     | CUSIP: 14051LAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $5024572.00   | 0.09%             | 2028-10-16      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 31416YJD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1082577 | PA      | $1063161.19   | 0.02%             | 2040-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust                                | Flagstar Mortgage Trust 2019-2                                  | CUSIP: 33852BAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1141838 | PA      | $1032078.84   | 0.02%             | 2049-12-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136BTTR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  22458812 | PA      | $22519975.87  | 0.40%             | 2054-11-25      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137H76P3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  13584478 | PA      | $12429166.09  | 0.22%             | 2051-02-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137H3EZ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  78491000 | PA      | $3381235.30   | 0.06%             | 2031-09-25      | Variable      | 0.85%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38373SM61<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    157545 | PA      | $157111.91    | 0.00%             | 2033-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                           | CSMC 2018-RPL9 Trust                                            | CUSIP: 12654PAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    229531 | PA      | $222229.04    | 0.00%             | 2057-09-25      | Variable      | 3.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3140GYPN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9570 | PA      | $9498.46      | 0.00%             | 2047-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | 10 YEAR U.S. TREASURY NOTE                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -164 | NC      | $-5125.00     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137GAFQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     30975 | PA      | $1987.47      | 0.00%             | 2030-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 3128MDBR3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6982 | PA      | $6964.82      | 0.00%             | 2026-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137FQKG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  64993000 | PA      | $2461726.86   | 0.04%             | 2029-10-25      | Variable      | 1.08%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3140J8JM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8913274 | PA      | $8720925.58   | 0.16%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 3132HQPT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    254842 | PA      | $244475.75    | 0.00%             | 2042-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage T                         | Ellington Financial Mortgage Trust 2022-2                       | CUSIP: 31572YAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5398946 | PA      | $5384105.94   | 0.10%             | 2067-04-25      | Variable      | 4.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3138WMLN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     53299 | PA      | $49559.59     | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38378TLD0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    953680 | PA      | $766071.59    | 0.01%             | 2043-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 31396FPT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     26846 | PA      | $27216.20     | 0.00%             | 2035-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3140XDN28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3517141 | PA      | $3500606.88   | 0.06%             | 2046-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | 10 YEAR U.S. TREASURY NOTE                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -170 | NC      | $-148750.00   | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137F5J75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4109380 | PA      | $3693120.67   | 0.07%             | 2048-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38379KU30<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2729786 | PA      | $2639862.42   | 0.05%             | 2035-05-16      | Variable      | 2.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38383PC90<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  13753531 | PA      | $11382085.46  | 0.20%             | 2052-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136ATXX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5022485 | PA      | $4947849.86   | 0.09%             | 2046-09-25      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 3132FTAW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1308406 | PA      | $1300299.18   | 0.02%             | 2035-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31396QAU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1501989 | PA      | $1543333.16   | 0.03%             | 2037-02-25      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multiclass Certifi                         | Freddie Mac Multiclass Certificates Series 2020-RR14            | CUSIP: 3137F85E9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  34897468 | PA      | $4628594.26   | 0.08%             | 2034-03-27      | Variable      | 2.13%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 3128M7L61<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     39517 | PA      | $39911.88     | 0.00%             | 2039-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                        | United States Treasury Note/Bond                                | CUSIP: 91282CHQ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  58600000 | PA      | $59402316.63  | 1.06%             | 2028-07-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 31418ALJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35996 | PA      | $33387.12     | 0.00%             | 2042-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | US 10YR NOTE (CBT)                                              | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |     -2571 | NC      | $-1558261.51  | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136AG6S6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13189404 | PA      | $12740780.99  | 0.23%             | 2033-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 31339NKJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     98921 | PA      | $101126.73    | 0.00%             | 2032-02-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31394DYA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    375654 | PA      | $402280.44    | 0.01%             | 2035-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 31371NGR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3395 | PA      | $3377.61      | 0.00%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                         | Fannie Mae-Aces                                                 | CUSIP: 3136BRLB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13493088 | PA      | $11460180.53  | 0.21%             | 2053-04-25      | Variable      | 4.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3140W2WL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  51201657 | PA      | $49669029.10  | 0.89%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                                      | PRPM 2025-7 LLC                                                 | CUSIP: 69382YAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3917095 | PA      | $3921854.19   | 0.07%             | 2030-08-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| STRIPS                                                 | United States Treasury Strip Coupon                             | CUSIP: 912834KH0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  30750000 | PA      | $14839663.72  | 0.27%             | 2041-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137F5MU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12269325 | PA      | $11762077.59  | 0.21%             | 2048-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136ATVK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3952738 | PA      | $344671.24    | 0.01%             | 2046-09-25      | Floating      | 1.80%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | 10 YEAR U.S. TREASURY NOTE                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -38 | NC      | $-29687.50    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae I Pool                                               | CUSIP: 36241LNG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     49429 | PA      | $51542.90     | 0.00%             | 2040-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137H8UD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        | 200000000 | PA      | $3467282.00   | 0.06%             | 2032-08-25      | Variable      | 0.25%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137FXQT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  51000000 | PA      | $2517329.40   | 0.05%             | 2030-10-25      | Variable      | 1.13%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137H63G8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3004590 | PA      | $2759434.68   | 0.05%             | 2037-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 31371LNF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12833 | PA      | $13175.81     | 0.00%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137BLTL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     49521 | PA      | $4255.69      | 0.00%             | 2035-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38376UJQ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2817736 | PA      | $365276.63    | 0.01%             | 2047-04-16      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38374XBQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     72648 | PA      | $3951.37      | 0.00%             | 2039-03-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                | CUSIP: 3132DNQN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5685378 | PA      | $5400508.35   | 0.10%             | 2050-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                        | United States Treasury Note/Bond                                | CUSIP: 91282CLX7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10000000 | PA      | $10103125.00  | 0.18%             | 2027-11-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | ULTRA U.S. TREASURY BOND                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -184 | NC      | $-63250.00    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | 10 YEAR U.S. TREASURY NOTE                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -158 | NC      | $-91343.75    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae I Pool                                               | CUSIP: 3620A6D61<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2854899 | PA      | $2848241.27   | 0.05%             | 2039-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 31398EDX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    960767 | PA      | $978461.27    | 0.02%             | 2039-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3138WA4D6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1641807 | PA      | $1676603.76   | 0.03%             | 2044-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31393DRP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4765 | PA      | $4755.63      | 0.00%             | 2027-11-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38383P5T4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10917513 | PA      | $8462280.05   | 0.15%             | 2052-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 3128KHFQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     47720 | PA      | $49766.79     | 0.00%             | 2036-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38383PV40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8296746 | PA      | $7900204.35   | 0.14%             | 2052-04-20      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31398GUS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     95436 | PA      | $6807.96      | 0.00%             | 2040-01-25      | Floating      | 1.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                | CUSIP: 3132DNBR3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12863705 | PA      | $11846677.04  | 0.21%             | 2047-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae II Pool                                              | CUSIP: 36179QN80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8444 | PA      | $7681.12      | 0.00%             | 2044-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | 10 YEAR U.S. TREASURY NOTE                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -157 | NC      | $-53968.75    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31393CSV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    192813 | PA      | $198280.70    | 0.00%             | 2033-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38379CUJ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11997 | PA      | $626.56       | 0.00%             | 2040-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3138APDU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    231636 | PA      | $226781.13    | 0.00%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                             | Progress Residential 2025-SFR1 Trust                            | CUSIP: 74334NAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5484964 | PA      | $5259270.03   | 0.09%             | 2042-02-17      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 31398LXJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    407927 | PA      | $418114.78    | 0.01%             | 2040-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137BA4P4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6632476 | PA      | $6496817.64   | 0.12%             | 2044-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38383RK55<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9093008 | PA      | $4771876.01   | 0.09%             | 2052-02-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                       | Freddie Mac Strips                                              | CUSIP: 31325TUP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4831980 | PA      | $518549.09    | 0.01%             | 2042-09-15      | Floating      | 1.65%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                                      | PRPM 2024-RPL3 LLC                                              | CUSIP: 69381LAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8698102 | PA      | $8517850.82   | 0.15%             | 2054-11-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 31335A3R7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    133934 | PA      | $122455.72    | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | 10 YEAR U.S. TREASURY NOTE                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -177 | NC      | $-35953.13    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 31410K5J9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6244 | PA      | $6628.58      | 0.00%             | 2038-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137F82T9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  76786046 | PA      | $2775370.19   | 0.05%             | 2030-11-25      | Variable      | 0.87%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 3128M8UG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    110198 | PA      | $113386.81    | 0.00%             | 2041-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 31335ADT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    230504 | PA      | $240388.81    | 0.00%             | 2041-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 3128M9GH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    254931 | PA      | $264944.20    | 0.00%             | 2040-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3140JB4P8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6166350 | PA      | $5719211.92   | 0.10%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137AT5V0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    768507 | PA      | $701139.18    | 0.01%             | 2042-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137AYVG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5227685 | PA      | $4737498.90   | 0.08%             | 2032-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae I Pool                                               | CUSIP: 3620AATY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     39915 | PA      | $40863.97     | 0.00%             | 2039-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 31385XQC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5426 | PA      | $5613.55      | 0.00%             | 2033-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | 10 YEAR U.S. TREASURY NOTE                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -512 | NC      | $-64000.00    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae I Pool                                               | CUSIP: 3622A2E99<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    131848 | PA      | $135575.38    | 0.00%             | 2042-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae I Pool                                               | CUSIP: 3620AQK69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     71109 | PA      | $69641.79     | 0.00%             | 2035-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                       | Freddie Mac Strips                                              | CUSIP: 31325TYW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    150998 | PA      | $18462.52     | 0.00%             | 2043-01-15      | Floating      | 1.65%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137HAYT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  18456944 | PA      | $16148096.64  | 0.29%             | 2053-11-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 31398VFK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    107000 | PA      | $106086.09    | 0.00%             | 2040-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3140XJDA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13119342 | PA      | $12448407.15  | 0.22%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan                          | New Residential Mortgage Loan Trust 2018-4                      | CUSIP: 64828FCQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7040701 | PA      | $6923646.19   | 0.12%             | 2048-01-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| Salomon Brothers Mortgage Secu                         | Citigroup Global Markets Mortgage Securities VII Inc            | CUSIP: 79549AXS3<br>LEI: 549300VB2N1G56GWKB41 | Long             | ABS-MBS          | CORP              | US        |       213 | PA      | $212.08       | 0.00%             | 2018-12-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 31417Y2K2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1707 | PA      | $1735.80      | 0.00%             | 2031-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137B22X7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    500000 | PA      | $443519.95    | 0.01%             | 2043-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | 10 YEAR U.S. TREASURY NOTE                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -432 | NC      | $-121500.00   | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae II Pool                                              | CUSIP: 3622A2QQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2141837 | PA      | $2184021.44   | 0.04%             | 2045-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3140JB2M7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  14156133 | PA      | $13628902.91  | 0.24%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae I Pool                                               | CUSIP: 36297BHR5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     36312 | PA      | $36970.61     | 0.00%             | 2040-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137FX3V8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  63500000 | PA      | $3870407.55   | 0.07%             | 2030-09-25      | Variable      | 1.43%                 | No            |                  2 | On Loan: No      |
| BWAY Mortgage Trust                                    | BWAY Trust 2025-1535                                            | CUSIP: 12430BAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1480000 | PA      | $1552928.18   | 0.03%             | 2042-05-05      | Variable      | 7.46%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                         | Fannie Mae-Aces                                                 | CUSIP: 3136BPRX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  24190932 | PA      | $23734540.82  | 0.42%             | 2037-12-25      | Variable      | 3.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3140XGRF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  16286015 | PA      | $15405909.27  | 0.28%             | 2048-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137B16B3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    732650 | PA      | $707050.77    | 0.01%             | 2033-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                              | Fannie Mae or Freddie Mac                                       | CUSIP: 01F030611<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        | -26291000 | PA      | $-23302452.87 | -0.42%            | 2056-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136AAFH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    380250 | PA      | $329537.02    | 0.01%             | 2042-12-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | 10 YEAR U.S. TREASURY NOTE                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |     -1116 | NC      | $-470812.50   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| STRIPS                                                 | United States Treasury Strip Coupon                             | CUSIP: 912834DV7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10000000 | PA      | $5403235.70   | 0.10%             | 2039-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137FLYL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  15492258 | PA      | $708894.75    | 0.01%             | 2034-03-25      | Variable      | 0.77%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137BYGP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    600000 | PA      | $506701.68    | 0.01%             | 2047-05-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136AHFT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  33262850 | PA      | $32207605.78  | 0.58%             | 2033-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 3132HM7C9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     51554 | PA      | $49329.47     | 0.00%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| STRIPS                                                 | United States Treasury Strip Coupon                             | CUSIP: 9128334Z0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  63418000 | PA      | $42997087.54  | 0.77%             | 2035-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137ALAF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    250530 | PA      | $260202.61    | 0.00%             | 2040-08-15      | Variable      | 5.54%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3140XHHW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  33853101 | PA      | $33943250.20  | 0.61%             | 2044-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 31416LU53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55467 | PA      | $56596.79     | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136BV6G8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  30921544 | PA      | $30764645.01  | 0.55%             | 2055-06-25      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | 2 YEAR U.S. TREASURY NOTE                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -334 | NC      | $-0.01        | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3140XKN97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1223314 | PA      | $1269787.59   | 0.02%             | 2049-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                       | Freddie Mac Strips                                              | CUSIP: 3132HTUJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3781344 | PA      | $2962144.26   | 0.05%             | 2043-09-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137HAHL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2559691 | PA      | $2174457.01   | 0.04%             | 2053-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137H8WD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5010187 | PA      | $4962205.90   | 0.09%             | 2052-09-25      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3138WHAM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    127297 | PA      | $118089.82    | 0.00%             | 2046-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                | CUSIP: 3132DM6Y6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8038699 | PA      | $7629239.72   | 0.14%             | 2049-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3138EQYB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    613068 | PA      | $614986.85    | 0.01%             | 2034-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137FPJA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  56131157 | PA      | $2873887.18   | 0.05%             | 2034-08-25      | Variable      | 0.85%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38376GL99<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2149075 | PA      | $1964270.90   | 0.04%             | 2052-09-16      | Variable      | 3.45%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38378TTN0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    311487 | PA      | $309611.56    | 0.01%             | 2042-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | 2 YEAR U.S. TREASURY NOTE                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -200 | NC      | $-15625.20    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136AHG38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1003000 | PA      | $1002694.49   | 0.02%             | 2041-06-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31398G3T4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    229249 | PA      | $216387.21    | 0.00%             | 2040-02-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31397QNH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    110358 | PA      | $111871.33    | 0.00%             | 2040-05-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38379KAF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  17800559 | PA      | $16144992.66  | 0.29%             | 2055-05-16      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                | CUSIP: 31427M5H0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  27311167 | PA      | $25593751.14  | 0.46%             | 2049-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38381A3V6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5543587 | PA      | $5307072.31   | 0.09%             | 2048-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 31408FKM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    141236 | PA      | $147122.48    | 0.00%             | 2036-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137AVJZ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     21865 | PA      | $3129.97      | 0.00%             | 2042-10-15      | Floating      | 1.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38383RBL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  18427619 | PA      | $15750494.65  | 0.28%             | 2046-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38375XME1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    262651 | PA      | $2586.80      | 0.00%             | 2038-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | 2 YEAR U.S. TREASURY NOTE                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -81 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| TREASURY BILL                                          | United States Treasury Bill                                     | CUSIP: 912797QP5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  20000000 | PA      | $19993664.20  | 0.36%             | 2025-11-06      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3140XFBP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10676897 | PA      | $9758783.69   | 0.17%             | 2047-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                           | CSMC 2021-RPL6 Trust                                            | CUSIP: 12657GAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    931741 | PA      | $849790.31    | 0.02%             | 2060-10-25      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137FTZU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  24006055 | PA      | $1737987.97   | 0.03%             | 2030-04-25      | Variable      | 1.84%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137H7L27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  15862251 | PA      | $14024253.48  | 0.25%             | 2052-05-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137H9KK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8722872 | PA      | $8753118.91   | 0.16%             | 2042-06-25      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| BWAY Mortgage Trust                                    | BWAY Trust 2025-1535                                            | CUSIP: 12430BAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3753000 | PA      | $3896278.28   | 0.07%             | 2042-05-05      | Variable      | 6.31%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 31398EXD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    177000 | PA      | $176091.35    | 0.00%             | 2039-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38379VAD6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    213751 | PA      | $173247.95    | 0.00%             | 2046-02-16      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                                      | PRPM 2025-RCF4 LLC                                              | CUSIP: 69382WAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1443729 | PA      | $1430677.08   | 0.03%             | 2055-08-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | 2 YEAR U.S. TREASURY NOTE                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -300 | NC      | $-14062.80    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 31397RDR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    126916 | PA      | $131689.51    | 0.00%             | 2038-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 31292HN34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1526 | PA      | $1591.17      | 0.00%             | 2032-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| STRIPS                                                 | United States Treasury Strip Coupon                             | CUSIP: 9128334X5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6000000 | PA      | $4276613.22   | 0.08%             | 2034-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137FWHG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  56411370 | PA      | $5192350.73   | 0.09%             | 2035-07-25      | Variable      | 1.32%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136BPAQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  19062925 | PA      | $18875543.75  | 0.34%             | 2052-10-25      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                              | Towd Point Mortgage Trust 2019-HY2                              | CUSIP: 89177HAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2999618 | PA      | $3067485.14   | 0.05%             | 2058-05-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3140XKN71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1248813 | PA      | $1236930.36   | 0.02%             | 2042-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3140X6FD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  22651675 | PA      | $21403097.21  | 0.38%             | 2048-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BPR Trust                                              | BPR Trust 2021-WILL                                             | CUSIP: 05591VAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4299603 | PA      | $4321688.36   | 0.08%             | 2038-06-15      | Floating      | 5.90%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 3128M9MP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     30850 | PA      | $30095.51     | 0.00%             | 2042-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | ULTRA U.S. TREASURY BOND                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -63 | NC      | $-169312.50   | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | 2 YEAR U.S. TREASURY NOTE                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -62 | NC      | $-9687.50     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 31416BSR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23105 | PA      | $24527.92     | 0.00%             | 2038-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| VCAT Asset Securitization, LLC                         | VCAT 2025 NPL2 LLC                                              | CUSIP: 92243PAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3710885 | PA      | $3716848.11   | 0.07%             | 2055-01-25      | Variable      | 5.98%                 | No            |                  2 | On Loan: No      |
| MSWF Commercial Mortgage Trust                         | MSWF Commercial Mortgage Trust 2023-1                           | CUSIP: 55376CAP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  22148290 | PA      | $1111713.47   | 0.02%             | 2056-05-15      | Variable      | 0.86%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136ADR35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    750000 | PA      | $618454.35    | 0.01%             | 2043-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CFCRE Commercial Mortgage Trus                         | CFCRE Commercial Mortgage Trust 2017-C8                         | CUSIP: 12532CBE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 200801789 | PA      | $2957950.92   | 0.05%             | 2050-06-15      | Variable      | 1.47%                 | No            |                  2 | On Loan: No      |
| TSY INFL IX N/B                                        | United States Treasury Inflation Indexed Bonds                  | CUSIP: 91282CLV1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  35000000 | PA      | $36647157.81  | 0.66%             | 2029-10-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 3132H3HW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     55991 | PA      | $53095.08     | 0.00%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan                          | New Residential Mortgage Loan Trust 2016-3                      | CUSIP: 64829HAM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1971328 | PA      | $1929267.65   | 0.03%             | 2056-09-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137FTZS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        | 113395503 | PA      | $6685855.56   | 0.12%             | 2030-04-25      | Variable      | 1.64%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38374BDT7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    152568 | PA      | $152396.73    | 0.00%             | 2033-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | US 2YR NOTE (CBT)                                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      2938 | NC      | $-500458.00   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136BPEZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  19073840 | PA      | $18865591.88  | 0.34%             | 2052-10-25      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 3132XXEZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    299412 | PA      | $299025.08    | 0.01%             | 2048-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38374UNN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1970926 | PA      | $2087062.53   | 0.04%             | 2039-05-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38378FUX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     46224 | PA      | $5515.41      | 0.00%             | 2042-10-16      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                              | Fannie Mae or Freddie Mac                                       | CUSIP: 01F040610<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        | -28210000 | PA      | $-26760834.25 | -0.48%            | 2056-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                | CUSIP: 3132D9H56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7660077 | PA      | $7230179.37   | 0.13%             | 2042-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| STRIPS                                                 | United States Treasury Strip Coupon                             | CUSIP: 9128334Y3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3852000 | PA      | $2678086.98   | 0.05%             | 2034-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38378UBE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    567825 | PA      | $72152.22     | 0.00%             | 2043-09-20      | Floating      | 1.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae I Pool                                               | CUSIP: 3622A2ZG0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    287491 | PA      | $295488.01    | 0.01%             | 2041-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                               | JP Morgan Mortgage Trust Series 2025-3                          | CUSIP: 46593RAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11850000 | PA      | $11877987.33  | 0.21%             | 2055-09-25      | Variable      | 5.64%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | 2 YEAR U.S. TREASURY NOTE                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -116 | NC      | $-27187.62    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae I Pool                                               | CUSIP: 36297GQQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    530177 | PA      | $539798.16    | 0.01%             | 2041-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137HHUT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9700000 | PA      | $9932976.54   | 0.18%             | 2032-01-25      | Fixed         | 4.76%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 31414UW87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17932 | PA      | $18549.51     | 0.00%             | 2036-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31393XSN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    145084 | PA      | $149666.61    | 0.00%             | 2034-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae II Pool                                              | CUSIP: 36180BA35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    247452 | PA      | $241156.25    | 0.00%             | 2033-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                | CUSIP: 3132AC2L3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  39869331 | PA      | $36047035.95  | 0.65%             | 2047-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31394CCQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    164341 | PA      | $997.80       | 0.00%             | 2033-07-25      | Floating      | 0.40%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38381EWE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  23994330 | PA      | $12469795.47  | 0.22%             | 2061-09-16      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136AXAN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13415709 | PA      | $11941435.51  | 0.21%             | 2047-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38379RT37<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1954262 | PA      | $1608676.91   | 0.03%             | 2056-12-16      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                       | THREE-MONTH SOFR                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |      -500 | NC      | $-96875.00    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137FX3Q9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8000000 | PA      | $7108519.20   | 0.13%             | 2030-08-25      | Fixed         | 1.41%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137BPBU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    163672 | PA      | $115951.97    | 0.00%             | 2046-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 31393L2Q5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    137306 | PA      | $142279.17    | 0.00%             | 2033-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38382FP81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  19759118 | PA      | $4358235.12   | 0.08%             | 2050-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38380RAP5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6700000 | PA      | $3472345.82   | 0.06%             | 2062-08-16      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae I Pool                                               | CUSIP: 3620A9N98<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    170125 | PA      | $169471.02    | 0.00%             | 2040-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136AEZ67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    144706 | PA      | $132307.01    | 0.00%             | 2043-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136B2GN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    885163 | PA      | $861941.86    | 0.02%             | 2048-06-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                     | Freddie Mac Seasoned Credit Risk Transfer Trust 2017-4          | CUSIP: 35563PDJ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2300760 | PA      | $2275239.08   | 0.04%             | 2057-06-25      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SLST                                     | Seasoned Loans Structured Transaction Trust Series 2025-1       | CUSIP: 35564CWZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2121986 | PA      | $2130165.75   | 0.04%             | 2035-05-25      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                       | THREE-MONTH SOFR                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |      -305 | NC      | $-93406.25    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136B06R2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2885340 | PA      | $2448153.22   | 0.04%             | 2048-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae I Pool                                               | CUSIP: 36176DKS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    206508 | PA      | $205783.87    | 0.00%             | 2041-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                         | Morgan Stanley Capital I Trust 2018-MP                          | CUSIP: 61691DAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4527000 | PA      | $4306950.68   | 0.08%             | 2040-07-11      | Variable      | 4.28%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137AFGX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2149345 | PA      | $2120587.38   | 0.04%             | 2041-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31398GJE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    987740 | PA      | $1036286.16   | 0.02%             | 2039-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31397SMD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59730 | PA      | $4393.02      | 0.00%             | 2041-04-25      | Variable      | 1.77%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 31394YH98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    172091 | PA      | $175919.86    | 0.00%             | 2034-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 3132XXS34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    435101 | PA      | $434538.61    | 0.01%             | 2048-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3140XG7K9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  29026574 | PA      | $27596059.71  | 0.49%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137FPVL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8471895 | PA      | $8300850.55   | 0.15%             | 2049-11-25      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                       | THREE-MONTH SOFR                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |      -305 | NC      | $-162031.25   | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Winwater Mortgage Loan Trust                           | WinWater Mortgage Loan Trust 2016-1                             | CUSIP: 97655JBS0<br>LEI: 5493007FSEV8PHXVE122 | Long             | ABS-MBS          | CORP              | US        |    522749 | PA      | $505833.52    | 0.01%             | 2030-12-20      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae I Pool                                               | CUSIP: 36225B3E6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     24107 | PA      | $25205.83     | 0.00%             | 2033-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3138A2CR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    205367 | PA      | $193700.33    | 0.00%             | 2041-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137F62R7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  37151661 | PA      | $1887423.26   | 0.03%             | 2030-09-25      | Variable      | 1.17%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137BMNX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    533210 | PA      | $399934.75    | 0.01%             | 2046-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137FLEW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3678984 | PA      | $3371351.11   | 0.06%             | 2049-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136ALDV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  32965059 | PA      | $30320025.11  | 0.54%             | 2044-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 31419JSX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1708584 | PA      | $1756000.78   | 0.03%             | 2040-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38379PC54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2899302 | PA      | $211895.49    | 0.00%             | 2045-05-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                               | JP Morgan Mortgage Trust 2020-INV1                              | CUSIP: 46591VBH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3173977 | PA      | $2832120.15   | 0.05%             | 2050-08-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | 5 YEAR U.S. TREASURY NOTE                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -112 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae I Pool                                               | CUSIP: 3620AYFN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     78543 | PA      | $78950.30     | 0.00%             | 2040-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                | CUSIP: 3132DNB69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8454398 | PA      | $7997429.25   | 0.14%             | 2048-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38379VYP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4397313 | PA      | $4331036.81   | 0.08%             | 2043-11-20      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                       | Freddie Mac Strips                                              | CUSIP: 31325TN96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    242858 | PA      | $25681.06     | 0.00%             | 2042-08-15      | Floating      | 1.65%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137H6UD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  14876294 | PA      | $11907990.03  | 0.21%             | 2052-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                       | Connecticut Avenue Securities Trust 2024-R05                    | CUSIP: 20754XAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4650506 | PA      | $4662137.53   | 0.08%             | 2044-07-25      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                    | Freddie Mac STACR REMIC Trust 2025-DNA1                         | CUSIP: 35564NFY4<br>LEI: 529900WZAMS87JCAOC53 | Long             | ABS-MBS          | CORP              | US        |   1718750 | PA      | $1721263.50   | 0.03%             | 2045-01-25      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31394ERF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1307889 | PA      | $1366282.69   | 0.02%             | 2035-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38379QPM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    179864 | PA      | $13434.84     | 0.00%             | 2044-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Provident Funding Mortgage Tru                         | Provident Funding Mortgage Trust 2019-1                         | CUSIP: 74387LAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1018978 | PA      | $884531.72    | 0.02%             | 2049-12-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | 5 YEAR U.S. TREASURY NOTE                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -372 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3138ALJ32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14768 | PA      | $14843.92     | 0.00%             | 2041-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38376T7H9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6713985 | PA      | $5733512.54   | 0.10%             | 2047-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                                             | MFA 2025-NQM1 Trust                                             | CUSIP: 55287JAA4<br>LEI: 254900T233AM4RM23465 | Long             | ABS-MBS          | CORP              | US        |   1772179 | PA      | $1781010.96   | 0.03%             | 2070-03-25      | Variable      | 5.44%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137FQ3C5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        | 122620393 | PA      | $2629655.64   | 0.05%             | 2029-09-25      | Variable      | 0.65%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137H9C80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4606063 | PA      | $4599048.18   | 0.08%             | 2031-12-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                     | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2017-2   | CUSIP: 35563PBH1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    490957 | PA      | $489442.70    | 0.01%             | 2056-08-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38379CA89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    677490 | PA      | $668529.55    | 0.01%             | 2044-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FannieMae Grantor Trust                                | Fannie Mae Grantor Trust 2002-T8                                | CUSIP: 31392DSE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  11813291 | PA      | $12371589.72  | 0.22%             | 2032-07-25      | Variable      | 6.80%                 | No            |                  2 | On Loan: No      |
| OSCAR US Funding Trust                                 | Oscar US Funding XVII LLC                                       | CUSIP: 68784BAC8<br>LEI: 353800UI8625NXT7ND41 | Long             | ABS-O            | CORP              | US        |   4900000 | PA      | $4914057.12   | 0.09%             | 2029-03-12      | Fixed         | 4.47%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38377LBY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1406100 | PA      | $1422586.44   | 0.03%             | 2040-06-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | 5 YEAR U.S. TREASURY NOTE                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -50 | NC      | $-390.65      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Vista Point Securitization Tru                         | Vista Point Securitization Trust 2020-1                         | CUSIP: 92838WAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6662000 | PA      | $6603890.71   | 0.12%             | 2065-03-25      | Variable      | 4.15%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38374JBT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     28627 | PA      | $28873.11     | 0.00%             | 2034-09-20      | Floating      | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137ANZG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1316857 | PA      | $1258693.83   | 0.02%             | 2042-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae I Pool                                               | CUSIP: 3620ARQ20<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    552810 | PA      | $549134.35    | 0.01%             | 2040-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 3129882Y3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    487244 | PA      | $487630.25    | 0.01%             | 2039-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136ATDD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11510000 | PA      | $9464485.39   | 0.17%             | 2046-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38376PWN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    732000 | PA      | $741524.78    | 0.01%             | 2039-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38380CDE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    126150 | PA      | $13820.04     | 0.00%             | 2046-12-16      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Provident Funding Mortgage Tru                         | Provident Funding Mortgage Trust 2020-1                         | CUSIP: 743874AJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2193535 | PA      | $1898143.76   | 0.03%             | 2050-02-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 31397KTL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     41526 | PA      | $40389.24     | 0.00%             | 2036-11-15      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | 5 YEAR U.S. TREASURY NOTE                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -200 | NC      | $-82812.60    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 3128K96H2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     51112 | PA      | $53305.90     | 0.00%             | 2036-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136AGQC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     96814 | PA      | $85797.63     | 0.00%             | 2043-10-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3140J9J77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3084649 | PA      | $3116269.50   | 0.06%             | 2038-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38383T5C3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12000000 | PA      | $10483611.60  | 0.19%             | 2052-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137BQPQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    674072 | PA      | $70004.76     | 0.00%             | 2044-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3140JLQM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    773850 | PA      | $734011.02    | 0.01%             | 2048-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38383RBC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12135381 | PA      | $9468278.05   | 0.17%             | 2051-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 31335AFH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    391162 | PA      | $391092.05    | 0.01%             | 2045-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31398PHK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    500000 | PA      | $505802.20    | 0.01%             | 2040-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136AYT37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2439519 | PA      | $2087275.03   | 0.04%             | 2057-11-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | US ULTRA BOND CBT                                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |     -2294 | NC      | $-9320030.27  | -0.17%            |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | US 5YR NOTE (CBT)                                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |     -1375 | NC      | $-1540.84     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae I Pool                                               | CUSIP: 3620A9P96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     43038 | PA      | $44255.37     | 0.00%             | 2039-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136A6A53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21794 | PA      | $335.98       | 0.00%             | 2027-06-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38379RQH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4467276 | PA      | $2822197.75   | 0.05%             | 2059-05-16      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137AWMU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    206918 | PA      | $33192.12     | 0.00%             | 2042-08-15      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 3128M7CJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7800 | PA      | $7774.87      | 0.00%             | 2031-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 31398JSS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    500610 | PA      | $24645.94     | 0.00%             | 2039-09-15      | Floating      | 2.45%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                       | Freddie Mac Strips                                              | CUSIP: 3133Q3ND9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4183656 | PA      | $3632521.02   | 0.07%             | 2054-05-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38383T5D1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  22341349 | PA      | $19520280.05  | 0.35%             | 2052-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                       | Connecticut Avenue Securities Trust 2022-R02                    | CUSIP: 20754BAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $5113197.50   | 0.09%             | 2042-01-25      | Floating      | 7.18%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137FTZM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  88993728 | PA      | $8938512.21   | 0.16%             | 2035-02-25      | Variable      | 1.51%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | 5 YEAR U.S. TREASURY NOTE                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -154 | NC      | $-84218.75    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 3128KV4H5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    102290 | PA      | $106364.59    | 0.00%             | 2037-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136BQGQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5822539 | PA      | $4829852.65   | 0.09%             | 2053-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137B3FV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11838 | PA      | $6869.36      | 0.00%             | 2043-01-15      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae I Pool                                               | CUSIP: 36297GP46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     82257 | PA      | $80653.93     | 0.00%             | 2040-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31394DQF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34614 | PA      | $3063.18      | 0.00%             | 2035-05-25      | Floating      | 2.40%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae I Pool                                               | CUSIP: 36225BYU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    160649 | PA      | $163656.28    | 0.00%             | 2033-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38377LBS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     89000 | PA      | $87332.55     | 0.00%             | 2040-09-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31394CCK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    762978 | PA      | $64531.22     | 0.00%             | 2035-02-25      | Floating      | 2.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3140X5NP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11108726 | PA      | $11103863.43  | 0.20%             | 2047-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| STRIPS                                                 | United States Treasury Strip Coupon                             | CUSIP: 9128335A4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10200000 | PA      | $6741304.34   | 0.12%             | 2035-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | 5 YEAR U.S. TREASURY NOTE                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -25 | NC      | $-7421.88     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| STRIPS                                                 | United States Treasury Strip Coupon                             | CUSIP: 9128337E4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10000000 | PA      | $6277368.80   | 0.11%             | 2036-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137F84T7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        | 115201144 | PA      | $3937056.70   | 0.07%             | 2030-11-25      | Variable      | 0.84%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                           | CSMC Series 2019-UVIL                                           | CUSIP: 12656DAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2800000 | PA      | $2636336.64   | 0.05%             | 2041-12-15      | Fixed         | 3.16%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136ACE56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     92507 | PA      | $1934.26      | 0.00%             | 2028-03-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38380T4U7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2450363 | PA      | $28741.78     | 0.00%             | 2040-05-20      | Floating      | 0.50%                 | No            |                  2 | On Loan: No      |
| GMAC Mortgage Corporation Loan                         | GMACM Mortgage Loan Trust 2003-J10                              | CUSIP: 36185NM72<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       723 | PA      | $476.98       | 0.00%             | 2019-01-25      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137AUAF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     57204 | PA      | $1022.55      | 0.00%             | 2027-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3138ER2K5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    910854 | PA      | $908773.70    | 0.02%             | 2047-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136AYMD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4509924 | PA      | $4015313.59   | 0.07%             | 2057-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage T                         | EFMT 2023-1                                                     | CUSIP: 26844QAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6066536 | PA      | $6062665.29   | 0.11%             | 2068-02-25      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | 5 YEAR U.S. TREASURY NOTE                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -40 | NC      | $-7500.00     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 3128MJDT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1063 | PA      | $1117.26      | 0.00%             | 2036-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities                          | GS Mortgage-Backed Securities Trust 2022-LTV2                   | CUSIP: 36266VAR5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10000000 | PA      | $7301705.00   | 0.13%             | 2052-06-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 31393LCM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     56928 | PA      | $5670.91      | 0.00%             | 2033-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| STRIPS                                                 | United States Treasury Strip Coupon                             | CUSIP: 9128335B2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  27339000 | PA      | $17602894.52  | 0.32%             | 2036-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137H7KJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11913344 | PA      | $10453567.20  | 0.19%             | 2051-08-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BX Trust                                               | BX Commercial Mortgage Trust 2020-VIV4                          | CUSIP: 05608MAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2900000 | PA      | $2687371.13   | 0.05%             | 2044-03-09      | Fixed         | 2.84%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SLST                                     | Seasoned Loans Structured Transaction Trust Series 2021-1       | CUSIP: 35564CKH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  18292896 | PA      | $16843244.10  | 0.30%             | 2031-05-26      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| STRIPS                                                 | United States Treasury Strip Coupon                             | CUSIP: 9128337F1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6500000 | PA      | $3977297.55   | 0.07%             | 2037-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| One Bryant Park Trust                                  | One Bryant Park Trust 2019-OBP                                  | CUSIP: 68236JAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2250000 | PA      | $2078212.05   | 0.04%             | 2054-09-15      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                                      | PRPM 2025-RPL3 LLC                                              | CUSIP: 69392NAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1864850 | PA      | $1801182.58   | 0.03%             | 2055-04-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | 5 YEAR U.S. TREASURY NOTE                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -85 | NC      | $-11289.11    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 3132GSKA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     37662 | PA      | $36939.11     | 0.00%             | 2042-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae I Pool                                               | CUSIP: 36292MS86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     39926 | PA      | $40853.05     | 0.00%             | 2036-04-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Island Finance Trust 2025-1                            | Island Finance Trust 2025-1                                     | CUSIP: 463920AA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $3034893.60   | 0.05%             | 2035-03-19      | Fixed         | 6.54%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae I Pool                                               | CUSIP: 36291FVQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4044 | PA      | $4108.27      | 0.00%             | 2034-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136B3WL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5781225 | PA      | $5541300.96   | 0.10%             | 2049-01-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3138APE87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    724916 | PA      | $784605.03    | 0.01%             | 2041-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                       | Freddie Mac Strips                                              | CUSIP: 31325UPV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3849 | PA      | $12.41        | 0.00%             | 2026-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 3132MQFB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    632845 | PA      | $633767.96    | 0.01%             | 2045-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38380ASK4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5318856 | PA      | $830432.52    | 0.01%             | 2046-09-20      | Floating      | 1.95%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage T                         | Ellington Financial Mortgage Trust 2019-2                       | CUSIP: 31573TAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2422000 | PA      | $2336208.40   | 0.04%             | 2059-11-25      | Variable      | 3.47%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | 5 YEAR U.S. TREASURY NOTE                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -161 | NC      | $-28929.77    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| PRP Advisors, LLC                                      | PRPM 2025-RCF5 LLC                                              | CUSIP: 69384AAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1925000 | PA      | $1922825.91   | 0.03%             | 2055-10-25      | Variable      | 4.84%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38376F4G4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    174029 | PA      | $169911.73    | 0.00%             | 2039-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                | CUSIP: 3132DNJP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  15280545 | PA      | $14484724.36  | 0.26%             | 2049-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38374DKM0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    177775 | PA      | $177727.86    | 0.00%             | 2037-12-20      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust                         | Pagaya AI Debt Grantor Trust 2025-1                             | CUSIP: 69544NAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3364214 | PA      | $3390438.96   | 0.06%             | 2032-07-15      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137FV5S7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  82019000 | PA      | $5307925.20   | 0.09%             | 2030-06-25      | Variable      | 1.58%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae I Pool                                               | CUSIP: 3620AMEE8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     55130 | PA      | $56334.81     | 0.00%             | 2040-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust                                | Flagstar Mortgage Trust 2018-4                                  | CUSIP: 33851LAM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3349131 | PA      | $3144316.32   | 0.06%             | 2048-07-25      | Variable      | 4.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136ATD76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    261343 | PA      | $47940.81     | 0.00%             | 2046-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38380BC94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6051648 | PA      | $5538111.10   | 0.10%             | 2046-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multiclass Certifi                         | Freddie Mac Multiclass Certificates Series 2021-RR15            | CUSIP: 3137F92K6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        | 112345000 | PA      | $10449511.78  | 0.19%             | 2034-10-27      | Variable      | 1.56%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                        | Fannie Mae Interest Strip                                       | CUSIP: 3136FAMX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33501 | PA      | $3264.26      | 0.00%             | 2032-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 3128P7UF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9348 | PA      | $9194.45      | 0.00%             | 2032-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38373AM52<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    722341 | PA      | $728491.34    | 0.01%             | 2039-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136AJV86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19468 | PA      | $492.07       | 0.00%             | 2029-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38379AVB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    454433 | PA      | $5162.95      | 0.00%             | 2028-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Research-Driven Pagaya Motor A                         | Research-Driven Pagaya Motor Trust 2025-5                       | CUSIP: 76089KAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8000000 | PA      | $7986637.60   | 0.14%             | 2034-06-26      | Fixed         | 4.84%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38376FEC2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    354624 | PA      | $376681.93    | 0.01%             | 2039-08-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3140XKTP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  21515252 | PA      | $20803868.44  | 0.37%             | 2049-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| STRIPS                                                 | United States Treasury Strip Coupon                             | CUSIP: 912834AE8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  23853000 | PA      | $13638795.24  | 0.24%             | 2038-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38377TAY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    321475 | PA      | $321269.21    | 0.01%             | 2041-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                | CUSIP: 3133SKDP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  15463454 | PA      | $12276878.77  | 0.22%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38379QAH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    255881 | PA      | $265053.97    | 0.00%             | 2038-01-20      | Variable      | 5.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136B5EY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5149053 | PA      | $5049263.77   | 0.09%             | 2049-07-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Arbor Multifamily Mortgage Sec                         | Arbor Multifamily Mortgage Securities Trust 2020-MF1            | CUSIP: 03881BAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1493390 | PA      | $1397465.53   | 0.03%             | 2053-05-15      | Fixed         | 2.76%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae I Pool                                               | CUSIP: 3620AC7F5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     24885 | PA      | $24927.96     | 0.00%             | 2039-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136ACLY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6931259 | PA      | $6347747.46   | 0.11%             | 2043-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38373SV20<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1817589 | PA      | $1813109.78   | 0.03%             | 2033-04-16      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38379EKC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    742081 | PA      | $81180.60     | 0.00%             | 2044-05-20      | Floating      | 2.10%                 | No            |                  2 | On Loan: No      |
| STRIPS                                                 | United States Treasury Strip Coupon                             | CUSIP: 9128337U8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  28288000 | PA      | $20410481.10  | 0.37%             | 2033-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136B3WA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1531029 | PA      | $1423782.52   | 0.03%             | 2049-01-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137BQXX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    771702 | PA      | $704892.36    | 0.01%             | 2036-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31393XRL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    133013 | PA      | $137214.39    | 0.00%             | 2034-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| First Trust Long Duration Opportunities ETF            | First Trust Long Duration Opportunities ETF                     | CUSIP: 33738D606<br>LEI: 54930081NDDOB374EM36 | Long             | EC               | RF                | US        |     73956 | NS      | $1623703.98   | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                | CUSIP: 3132DNJN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8520167 | PA      | $8095021.71   | 0.14%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                       | Freddie Mac Strips                                              | CUSIP: 31325UPS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13433 | PA      | $226.00       | 0.00%             | 2027-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3140XTD40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13793994 | PA      | $13626430.89  | 0.24%             | 2051-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 3132HNBD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     36296 | PA      | $34610.16     | 0.00%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BMO Mortgage Trust                                     | BMO 2025-C13 Mortgage Trust                                     | CUSIP: 05592YAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  64645000 | PA      | $5113981.91   | 0.09%             | 2058-10-15      | Variable      | 1.22%                 | No            |                  2 | On Loan: No      |
| Arbor Multifamily Mortgage Sec                         | Arbor Multifamily Mortgage Securities Trust 2020-MF1            | CUSIP: 03881BAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  19400000 | PA      | $18093972.60  | 0.32%             | 2053-05-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                        | Fannie Mae Interest Strip                                       | CUSIP: 3136FLCE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    213559 | PA      | $30220.11     | 0.00%             | 2042-04-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137FH4X8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3367354 | PA      | $3075491.58   | 0.06%             | 2048-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31392FLJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     84289 | PA      | $81450.19     | 0.00%             | 2032-09-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38376LU98<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    239265 | PA      | $237779.00    | 0.00%             | 2041-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136BAHZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  14388309 | PA      | $14041394.30  | 0.25%             | 2050-06-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31398FVJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     97000 | PA      | $99277.94     | 0.00%             | 2039-11-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136ADCB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55540 | PA      | $39281.18     | 0.00%             | 2043-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137F4W73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2120481 | PA      | $251584.09    | 0.00%             | 2048-04-15      | Floating      | 1.85%                 | No            |                  2 | On Loan: No      |
| First Trust Intermediate Government Opportunities ETF  | First Trust Intermediate Government Opportunities ETF           | CUSIP: 33738D838<br>LEI: 5493000G9GN9OLNUML64 | Long             | EC               | RF                | US        |     60000 | NS      | $1234200.00   | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38380CS95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2484776 | PA      | $249716.98    | 0.00%             | 2035-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38378GM88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    979190 | PA      | $1022462.07   | 0.02%             | 2042-12-20      | Variable      | 6.27%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31398FTF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    133776 | PA      | $136788.09    | 0.00%             | 2039-11-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Bank                                                   | BANK 2020-BNK26                                                 | CUSIP: 06540JBM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8184663 | PA      | $314692.11    | 0.01%             | 2063-03-15      | Variable      | 1.19%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 3132H4A92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7207 | PA      | $6692.16      | 0.00%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | ULTRA U.S. TREASURY BOND                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -8 | NC      | $-10625.00    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38374VSP5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3732313 | PA      | $3732853.92   | 0.07%             | 2039-06-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3140H74S3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30919 | PA      | $31345.98     | 0.00%             | 2048-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                                      | PRPM 2025-2 LLC                                                 | CUSIP: 69382HAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5391217 | PA      | $5407978.66   | 0.10%             | 2030-05-25      | Variable      | 6.47%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae I Pool                                               | CUSIP: 36294SLD7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    201448 | PA      | $210339.42    | 0.00%             | 2037-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| TIAA Bank Mortgage Loan Trust                          | TIAA Bank Mortgage Loan Trust 2018-3                            | CUSIP: 88632AAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    708387 | PA      | $673883.42    | 0.01%             | 2048-11-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38381NPY8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  36625830 | PA      | $34693436.69  | 0.62%             | 2055-06-20      | Floating      | 2.91%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31394UET5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     69514 | PA      | $72530.09     | 0.00%             | 2035-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137B0PK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    905000 | PA      | $846710.85    | 0.02%             | 2043-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                               | Benchmark 2024-V6 Mortgage Trust                                | CUSIP: 081927AC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  75106772 | PA      | $2989249.54   | 0.05%             | 2057-03-15      | Variable      | 1.34%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137F62P1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  76352916 | PA      | $2932280.28   | 0.05%             | 2030-09-25      | Variable      | 0.95%                 | No            |                  2 | On Loan: No      |
| Gracie Point International Fun                         | Gracie Point International Funding 2025-1 LLC                   | CUSIP: 38411WAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  16300000 | PA      | $16308599.88  | 0.29%             | 2028-08-15      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38375XBM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    304200 | PA      | $308777.80    | 0.01%             | 2038-06-16      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38380CAX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    464000 | PA      | $451143.58    | 0.01%             | 2046-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38377FVF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1140970 | PA      | $1214481.28   | 0.02%             | 2040-05-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 31398KRU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    223985 | PA      | $222327.40    | 0.00%             | 2036-03-15      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan                          | New Residential Mortgage Loan Trust 2016-1                      | CUSIP: 64829FAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2543339 | PA      | $2468206.60   | 0.04%             | 2056-03-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                | CUSIP: 3132DVKW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  14925210 | PA      | $13511375.28  | 0.24%             | 2049-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31396QLV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4400000 | PA      | $4492114.44   | 0.08%             | 2039-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                        | United States Treasury Note/Bond                                | CUSIP: 91282CMF5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  15000000 | PA      | $15204785.10  | 0.27%             | 2028-01-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38380NLL1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2047624 | PA      | $1136412.66   | 0.02%             | 2061-05-16      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                                      | PRPM 2025-NQM2 Trust                                            | CUSIP: 693983AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4555929 | PA      | $4590931.76   | 0.08%             | 2070-04-25      | Variable      | 5.69%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137H7G72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  26512410 | PA      | $24797367.27  | 0.44%             | 2052-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137FRNY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8706789 | PA      | $7959140.51   | 0.14%             | 2040-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137ATJQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19897 | PA      | $2323.66      | 0.00%             | 2042-08-15      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3138ENRL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    375673 | PA      | $377868.04    | 0.01%             | 2043-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Arbor Multifamily Mortgage Sec                         | Arbor Multifamily Mortgage Securities Trust 2020-MF1            | CUSIP: 03881BAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2963000 | PA      | $2765097.97   | 0.05%             | 2053-05-15      | Variable      | 3.06%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136AGPZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    379979 | PA      | $357386.59    | 0.01%             | 2043-05-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31394FHE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20436 | PA      | $1809.66      | 0.00%             | 2035-09-25      | Floating      | 1.79%                 | No            |                  2 | On Loan: No      |
| FIVE 2023-V1                                           | FIVE 2023-V1 Mortgage Trust                                     | CUSIP: 337964AD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  26014506 | PA      | $324947.19    | 0.01%             | 2056-02-10      | Variable      | 0.67%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137FUCU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6977067 | PA      | $6805922.39   | 0.12%             | 2050-01-25      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S                         | BBCMS 2018-TALL Mortgage Trust                                  | CUSIP: 05548WAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7000000 | PA      | $6609979.60   | 0.12%             | 2037-03-15      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3140XQXJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  47181473 | PA      | $43025884.94  | 0.77%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137B2Y53<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  15057707 | PA      | $12489915.92  | 0.22%             | 2043-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38380YZK4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3688192 | PA      | $539198.86    | 0.01%             | 2044-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                        | United States Treasury Note/Bond                                | CUSIP: 91282CKA8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  30000000 | PA      | $30167578.20  | 0.54%             | 2027-02-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                | CUSIP: 3133SSSS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5793686 | PA      | $5487255.80   | 0.10%             | 2046-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NRTH PARK Mortgage Trust                               | NRTH Commercial Mortgage Trust 2025-PARK                        | CUSIP: 669985AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5611500 | PA      | $5621626.51   | 0.10%             | 2040-10-15      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38380CYG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1098667 | PA      | $1009039.08   | 0.02%             | 2047-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137F64T1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  46072531 | PA      | $1078686.95   | 0.02%             | 2027-09-25      | Variable      | 1.57%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 31398KD98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     71880 | PA      | $64773.49     | 0.00%             | 2037-12-15      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3138YDAP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     54099 | PA      | $54242.51     | 0.00%             | 2045-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38373YD92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     91064 | PA      | $90813.02     | 0.00%             | 2033-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3138WLC43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    146993 | PA      | $144750.72    | 0.00%             | 2047-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137FL2N3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  28341266 | PA      | $804764.43    | 0.01%             | 2034-01-25      | Variable      | 0.48%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae II Pool                                              | CUSIP: 36183KUN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    236821 | PA      | $234102.71    | 0.00%             | 2044-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137F84L4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  35410560 | PA      | $1720404.35   | 0.03%             | 2030-11-25      | Variable      | 1.08%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                               | JP Morgan Mortgage Trust 2019-INV1                              | CUSIP: 46591DAX7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5046151 | PA      | $4965961.81   | 0.09%             | 2049-09-25      | Variable      | 4.92%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137H6TV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12866529 | PA      | $11329941.30  | 0.20%             | 2052-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137F64R5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        | 121292238 | PA      | $1835939.96   | 0.03%             | 2027-09-25      | Variable      | 1.17%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3140MM5G9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3690069 | PA      | $3677356.49   | 0.07%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                               | JP Morgan Mortgage Trust 2019-8                                 | CUSIP: 46591KBE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    484733 | PA      | $437901.03    | 0.01%             | 2050-03-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae I Pool                                               | CUSIP: 36241KJP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4714 | PA      | $4813.04      | 0.00%             | 2032-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38383LHV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11106000 | PA      | $10605899.04  | 0.19%             | 2041-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 313920B41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       691 | PA      | $692.82       | 0.00%             | 2031-09-25      | Floating      | 8.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137FJD63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2093712 | PA      | $1980130.49   | 0.04%             | 2048-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38376FUK6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    739628 | PA      | $745730.07    | 0.01%             | 2039-09-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137GARQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    158663 | PA      | $17227.64     | 0.00%             | 2040-10-15      | Floating      | 1.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3138EKGA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48879 | PA      | $46554.33     | 0.00%             | 2042-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137H8H87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4000000 | PA      | $3881226.00   | 0.07%             | 2031-02-25      | Fixed         | 3.46%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                        | Fannie Mae Interest Strip                                       | CUSIP: 3136FLCA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    201017 | PA      | $28403.23     | 0.00%             | 2041-11-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3140HBD62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    831792 | PA      | $829892.45    | 0.01%             | 2048-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38378TPS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     96390 | PA      | $7692.25      | 0.00%             | 2043-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 31417YDA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28373 | PA      | $28434.05     | 0.00%             | 2029-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Arroyo Mortgage Trust                                  | Arroyo Mortgage Trust 2021-1R                                   | CUSIP: 042853AB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1459088 | PA      | $1326252.89   | 0.02%             | 2048-10-25      | Variable      | 1.48%                 | No            |                  2 | On Loan: No      |
| HOMES Trust                                            | HOMES 2025-AFC2 Trust                                           | CUSIP: 43761YAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2544797 | PA      | $2562651.49   | 0.05%             | 2060-06-25      | Variable      | 5.47%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136BSR98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5260116 | PA      | $5246425.53   | 0.09%             | 2035-11-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137FVNL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  53269611 | PA      | $2942719.85   | 0.05%             | 2030-06-25      | Variable      | 1.34%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38374K2D4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     70853 | PA      | $70719.95     | 0.00%             | 2035-04-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 3132G7GV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     31500 | PA      | $30925.95     | 0.00%             | 2033-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3140JBPS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  18691250 | PA      | $18275442.14  | 0.33%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137FURQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12830815 | PA      | $12508359.77  | 0.22%             | 2050-07-25      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31394UCM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1555904 | PA      | $1579081.87   | 0.03%             | 2035-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137F8ZV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5700000 | PA      | $5076653.70   | 0.09%             | 2030-12-25      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                                 | Sequoia Mortgage Trust 2017-CH1                                 | CUSIP: 81746HAN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    165292 | PA      | $157421.45    | 0.00%             | 2047-08-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3140JCQT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  26407167 | PA      | $24618819.06  | 0.44%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                                       | COLT 2025-4 Mortgage Loan Trust                                 | CUSIP: 12674HAA0<br>LEI: 2138002WIT3BHLQD3E93 | Long             | ABS-MBS          | CORP              | US        |   4401761 | PA      | $4453239.96   | 0.08%             | 2070-04-25      | Variable      | 5.79%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3140FXGR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  15526453 | PA      | $15475420.77  | 0.28%             | 2047-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137FNX70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  71918347 | PA      | $2439628.53   | 0.04%             | 2029-07-25      | Variable      | 1.08%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                | CUSIP: 3132DVL78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3992927 | PA      | $3611320.74   | 0.06%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38381QSW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  32606706 | PA      | $29245688.49  | 0.52%             | 2055-08-20      | Floating      | 3.36%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3140QNGW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  25132900 | PA      | $23206460.67  | 0.42%             | 2052-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Farmer Mac Agricultural Real E                         | FARM 2024-1 Mortgage Trust                                      | CUSIP: 30335JAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5013082 | PA      | $4905264.18   | 0.09%             | 2053-10-01      | Variable      | 4.69%                 | No            |                  2 | On Loan: No      |
| Arroyo Mortgage Trust                                  | Arroyo Mortgage Trust 2021-1R                                   | CUSIP: 042853AC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2014417 | PA      | $1834062.06   | 0.03%             | 2048-10-25      | Variable      | 1.64%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                | CUSIP: 3131XQ6T8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12388058 | PA      | $11770353.20  | 0.21%             | 2045-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136AUDV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2177187 | PA      | $2146066.03   | 0.04%             | 2046-11-25      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3138M4KK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    152929 | PA      | $146255.60    | 0.00%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 3837427Z0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     89403 | PA      | $90693.04     | 0.00%             | 2038-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust                         | Pagaya AI Debt Grantor Trust 2024-11                            | CUSIP: 69544AAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4156555 | PA      | $4172893.79   | 0.07%             | 2032-07-15      | Fixed         | 5.09%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                    | Freddie Mac Stacr Remic Trust 2025-Hqa1                         | CUSIP: 35564NGY3<br>LEI: 529900MBUPRSJMB6GN48 | Long             | ABS-MBS          | CORP              | US        |   3312500 | PA      | $3317290.54   | 0.06%             | 2045-02-25      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136BN3L8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  25827974 | PA      | $25436284.76  | 0.46%             | 2052-09-25      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38385GUG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  20247828 | PA      | $19370795.38  | 0.35%             | 2055-05-20      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38379YV39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4144302 | PA      | $515004.50    | 0.01%             | 2045-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31396L4R8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1114665 | PA      | $1090878.75   | 0.02%             | 2036-12-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 31397KDY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     40314 | PA      | $41835.15     | 0.00%             | 2037-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 31296UZ46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     54120 | PA      | $54285.83     | 0.00%             | 2034-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137FTG43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  35529637 | PA      | $2499232.83   | 0.04%             | 2030-04-25      | Variable      | 1.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136B46X1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3304808 | PA      | $3234733.47   | 0.06%             | 2049-07-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| TENN VALLEY AUTHORITY                                  | Tennessee Valley Authority                                      | CUSIP: 880591FC1<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |  10225000 | PA      | $10342360.40  | 0.19%             | 2055-02-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31392JM71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10616 | PA      | $10493.63     | 0.00%             | 2033-03-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3140JCLB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  16130345 | PA      | $15140903.21  | 0.27%             | 2048-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                        | Fannie Mae Interest Strip                                       | CUSIP: 3136FCTX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59034 | PA      | $7631.45      | 0.00%             | 2035-11-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                              | Fannie Mae or Freddie Mac                                       | CUSIP: 01F0326C3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        | -10000000 | PA      | $-9213142.30  | -0.16%            | 2055-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137H7G31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  14670642 | PA      | $13440765.13  | 0.24%             | 2052-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136BWAF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12877951 | PA      | $12820655.88  | 0.23%             | 2055-06-25      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| PRKCM Trust                                            | PRKCM 2025-HOME1                                                | CUSIP: 69382FAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    897939 | PA      | $907994.77    | 0.02%             | 2060-02-25      | Variable      | 5.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3138ERNL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  50329553 | PA      | $45456587.19  | 0.81%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137HLXX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        | 219981386 | PA      | $5522258.72   | 0.10%             | 2030-02-25      | Variable      | 0.64%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38376JCK8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     59876 | PA      | $57739.57     | 0.00%             | 2039-11-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31394VL99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9923016 | PA      | $6585.21      | 0.00%             | 2035-02-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                     | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2017-1   | CUSIP: 35563PAT6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   9803788 | PA      | $9498176.39   | 0.17%             | 2056-01-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | 10 YEAR U.S. ULTRA TREASURY BOND                                | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -20 | NC      | $-625.00      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137B3CM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5388000 | PA      | $5071452.31   | 0.09%             | 2043-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38375L4C1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    365436 | PA      | $364545.64    | 0.01%             | 2037-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SLST                                     | Seasoned Loans Structured Transaction Trust Series 2019-2       | CUSIP: 35564CDD6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  11000000 | PA      | $10373743.60  | 0.19%             | 2029-09-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Research-Driven Pagaya Motor A                         | Research-Driven Pagaya Motor Asset Trust 2025-1                 | CUSIP: 76089YAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2149886 | PA      | $2154421.90   | 0.04%             | 2033-06-27      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 3132H3XT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    543746 | PA      | $515619.82    | 0.01%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38374UCB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    492764 | PA      | $498014.90    | 0.01%             | 2039-05-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 3128M6VF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     72048 | PA      | $74921.45     | 0.00%             | 2038-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities                          | GS Mortgage-Backed Securities Trust 2021-PJ6                    | CUSIP: 36262LAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2827204 | PA      | $2550206.19   | 0.05%             | 2051-11-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| GSAMP Trust                                            | GSAMP Trust 2006-SEA1                                           | CUSIP: 36244LAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1105753 | PA      | $1358174.84   | 0.02%             | 2036-05-25      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136A2PK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1613090 | PA      | $77091.98     | 0.00%             | 2041-03-25      | Floating      | 2.35%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 31393VKU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    304757 | PA      | $311394.30    | 0.01%             | 2033-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137AHZ76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5636308 | PA      | $767584.59    | 0.01%             | 2041-11-15      | Floating      | 1.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136ASF50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12290530 | PA      | $1608748.00   | 0.03%             | 2046-07-25      | Floating      | 1.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38383YWD0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10802044 | PA      | $8937122.87   | 0.16%             | 2052-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3138ERTY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5228680 | PA      | $4970514.99   | 0.09%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PRKCM Trust                                            | PRKCM 2025-HOME1                                                | CUSIP: 69382FAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2572594 | PA      | $2596534.24   | 0.05%             | 2060-02-25      | Variable      | 5.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3140X4NA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1317714 | PA      | $1254790.57   | 0.02%             | 2046-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                        | Fannie Mae Interest Strip                                       | CUSIP: 3136FCEY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32173 | PA      | $3925.73      | 0.00%             | 2033-12-25      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                     | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2019-1   | CUSIP: 35563PJF7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  17706265 | PA      | $17236445.13  | 0.31%             | 2058-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137H73N1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4802446 | PA      | $4489619.11   | 0.08%             | 2031-12-25      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 31398KP61<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    815731 | PA      | $846923.04    | 0.02%             | 2037-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multiclass Certifi                         | Freddie Mac Multiclass Certificates Series 2021-P011            | CUSIP: 3137H2NR1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3900597 | PA      | $422218.17    | 0.01%             | 2045-09-25      | Variable      | 1.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 31417FUA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    381819 | PA      | $352798.85    | 0.01%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 31371NLR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28880 | PA      | $30317.17     | 0.00%             | 2037-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38379R6F5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2847414 | PA      | $1800523.34   | 0.03%             | 2057-09-16      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                                      | PRPM 2024-RPL2 LLC                                              | CUSIP: 69381DAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4257877 | PA      | $4151003.77   | 0.07%             | 2054-05-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38376CKS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    455000 | PA      | $455688.05    | 0.01%             | 2039-09-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38377UAJ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    771202 | PA      | $770031.32    | 0.01%             | 2041-03-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora                         | Chase Home Lending Mortgage Trust 2019-ATR2                     | CUSIP: 16159GAL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1693074 | PA      | $1612796.53   | 0.03%             | 2049-07-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38375JJ71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     79865 | PA      | $1905.69      | 0.00%             | 2037-05-20      | Floating      | 2.05%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                | CUSIP: 3132DQPZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  29802659 | PA      | $27540709.31  | 0.49%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                     | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2019-3   | CUSIP: 35563PLK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   9428798 | PA      | $8989057.90   | 0.16%             | 2058-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38382P4V1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5262593 | PA      | $688863.98    | 0.01%             | 2051-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136BAB78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4779089 | PA      | $4649569.57   | 0.08%             | 2050-07-25      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 31418BYF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1621 | PA      | $1445.20      | 0.00%             | 2046-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38379QDE2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5689927 | PA      | $5353662.72   | 0.10%             | 2045-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137FLN75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  68018000 | PA      | $114217.87    | 0.00%             | 2026-02-25      | Variable      | 0.44%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae I Pool                                               | CUSIP: 36213FP56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13847 | PA      | $14099.64     | 0.00%             | 2033-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 31335AAV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6551 | PA      | $6518.22      | 0.00%             | 2043-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136AEQT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    327489 | PA      | $26122.47     | 0.00%             | 2033-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                              | Towd Point Mortgage Trust 2017-4                                | CUSIP: 89173UAH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1850000 | PA      | $1479267.22   | 0.03%             | 2057-06-25      | Variable      | 3.65%                 | No            |                  2 | On Loan: No      |
| CoreVest American Finance Trus                         | CoreVest American Finance 2021-3 Trust                          | CUSIP: 21873NAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    661839 | PA      | $648645.46    | 0.01%             | 2054-10-15      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 31371MRA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37061 | PA      | $37624.28     | 0.00%             | 2036-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust                         | Pagaya AI Debt Grantor Trust 2025-5                             | CUSIP: 69548WAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2500000 | PA      | $2514931.50   | 0.05%             | 2033-03-15      | Fixed         | 5.11%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 31281LCS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    164436 | PA      | $167791.91    | 0.00%             | 2038-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae I Pool                                               | CUSIP: 36241LXC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     91216 | PA      | $93042.94     | 0.00%             | 2041-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 31292LW68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     66866 | PA      | $62084.24     | 0.00%             | 2042-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38385GPR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  22911561 | PA      | $22899232.54  | 0.41%             | 2055-05-20      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137H53U9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8815818 | PA      | $6165310.58   | 0.11%             | 2052-01-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                        | Fannie Mae Interest Strip                                       | CUSIP: 3136FANS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     81187 | PA      | $9844.52      | 0.00%             | 2032-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38374GV41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    336874 | PA      | $338156.82    | 0.01%             | 2034-06-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Farmer Mac Agricultural Real E                         | FARM 2024-2 Mortgage Trust                                      | CUSIP: 307910AC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5846918 | PA      | $5776295.13   | 0.10%             | 2054-08-01      | Variable      | 5.19%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31397QQC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1507000 | PA      | $1580887.61   | 0.03%             | 2041-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136ASPG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8774460 | PA      | $7402257.30   | 0.13%             | 2046-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae II Pool                                              | CUSIP: 3620C5BG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    439063 | PA      | $422315.18    | 0.01%             | 2040-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137ALYJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1878000 | PA      | $1770013.69   | 0.03%             | 2042-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae I Pool                                               | CUSIP: 36241KAZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    133950 | PA      | $138717.10    | 0.00%             | 2034-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                               | JP Morgan Mortgage Trust 2019-1                                 | CUSIP: 46650HAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1119402 | PA      | $1051282.82   | 0.02%             | 2049-05-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 31294MFY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       645 | PA      | $643.66       | 0.00%             | 2026-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae II Pool                                              | CUSIP: 36178YGE9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1659926 | PA      | $1607333.55   | 0.03%             | 2042-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38379FDE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  28512076 | PA      | $22530670.02  | 0.40%             | 2045-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CoreVest American Finance Ltd                          | CoreVest American Finance 2020-3 Trust                          | CUSIP: 21873CAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    931739 | PA      | $919344.40    | 0.02%             | 2053-08-15      | Fixed         | 1.36%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                              | Fannie Mae or Freddie Mac                                       | CUSIP: 01F0426C2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        | -32814000 | PA      | $-31969692.50 | -0.57%            | 2055-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137FTFW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  38645000 | PA      | $643667.26    | 0.01%             | 2027-03-25      | Variable      | 1.37%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multiclass Certifi                         | Freddie Mac Multiclass Certificates Series 2020-RR09            | CUSIP: 3137FTG84<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  47500000 | PA      | $2900820.25   | 0.05%             | 2029-02-27      | Variable      | 2.20%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38382FT46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7097422 | PA      | $1492161.30   | 0.03%             | 2050-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                              | Fannie Mae or Freddie Mac                                       | CUSIP: 01F032617<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        | -51116000 | PA      | $-47105878.75 | -0.84%            | 2056-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38379RMR1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3433341 | PA      | $2079062.86   | 0.04%             | 2059-05-16      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                        | Fannie Mae Interest Strip                                       | CUSIP: 3136FCCR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    114742 | PA      | $13545.41     | 0.00%             | 2034-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38377XLV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4808 | PA      | $1.80         | 0.00%             | 2026-08-16      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                        | United States Treasury Note/Bond                                | CUSIP: 91282CKJ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  34000000 | PA      | $34405078.04  | 0.62%             | 2027-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 31397HM70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    124088 | PA      | $110694.73    | 0.00%             | 2037-05-15      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 31416BNN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8720 | PA      | $9256.80      | 0.00%             | 2037-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CoreVest American Finance Ltd                          | Corevest American Finance 2021-1 Trust                          | CUSIP: 21873LAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5186878 | PA      | $5108152.29   | 0.09%             | 2053-04-15      | Fixed         | 1.57%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                       | Freddie Mac Strips                                              | CUSIP: 31282YWM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     83930 | PA      | $9088.53      | 0.00%             | 2036-08-15      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| STRIPS                                                 | United States Treasury Strip Coupon                             | CUSIP: 912833X88<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  58205000 | PA      | $38960769.32  | 0.70%             | 2035-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 3128M92Q4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    234077 | PA      | $229292.23    | 0.00%             | 2044-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 31418ALC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16177 | PA      | $16099.70     | 0.00%             | 2032-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae II Pool                                              | CUSIP: 3617JKVA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    257796 | PA      | $259684.87    | 0.00%             | 2049-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31398FDQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1850183 | PA      | $1857352.92   | 0.03%             | 2039-10-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 3128K8ZA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     90746 | PA      | $93207.46     | 0.00%             | 2035-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38380GAD6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3249397 | PA      | $354171.95    | 0.01%             | 2047-08-16      | Floating      | 2.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136BRT64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11883282 | PA      | $10841268.75  | 0.19%             | 2045-10-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31394VL57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21979 | PA      | $22179.94     | 0.00%             | 2035-02-25      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31394AWK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     94927 | PA      | $94752.98     | 0.00%             | 2034-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor                         | JPMCC Commercial Mortgage Securities Trust 2017-JP5             | CUSIP: 46647TAR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1462209 | PA      | $1452718.35   | 0.03%             | 2050-03-15      | Fixed         | 3.46%                 | No            |                  2 | On Loan: No      |
| Hilton USA Trust                                       | Hilton USA Trust 2016-HHV                                       | CUSIP: 43300LAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4250000 | PA      | $4209483.90   | 0.08%             | 2038-11-05      | Fixed         | 3.72%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31397S7M0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    203995 | PA      | $208750.31    | 0.00%             | 2041-06-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137H1YZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  41565013 | PA      | $2531375.80   | 0.05%             | 2031-07-25      | Variable      | 1.21%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136AHVZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  18222758 | PA      | $16817316.68  | 0.30%             | 2044-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136A1ZF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     71496 | PA      | $255.66       | 0.00%             | 2026-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                              | Fannie Mae or Freddie Mac                                       | CUSIP: 01F0306C7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        | -40000000 | PA      | $-35443749.60 | -0.63%            | 2055-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CoreVest American Finance Ltd                          | Corevest American Finance 2020-4 Trust                          | CUSIP: 21873AAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    361257 | PA      | $360581.41    | 0.01%             | 2052-12-15      | Fixed         | 1.17%                 | No            |                  2 | On Loan: No      |
| STRIPS                                                 | United States Treasury Strip Coupon                             | CUSIP: 912833X96<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  13500000 | PA      | $8807780.57   | 0.16%             | 2035-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SLST                                     | Seasoned Loans Structured Transaction Trust Series 2021-1       | CUSIP: 35564CJU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3837474 | PA      | $3579223.97   | 0.06%             | 2031-05-26      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                | CUSIP: 3132A2XV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    789077 | PA      | $822680.45    | 0.01%             | 2035-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                             | Progress Residential 2025-SFR3 Trust                            | CUSIP: 74334BAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4341000 | PA      | $4136265.85   | 0.07%             | 2042-07-17      | Fixed         | 3.39%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                     | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2018-4   | CUSIP: 35563PHF9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  22549302 | PA      | $21951350.78  | 0.39%             | 2058-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 31395KL92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    198422 | PA      | $195831.11    | 0.00%             | 2034-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3133THHD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1187 | PA      | $1206.46      | 0.00%             | 2028-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Metlife Securitization Trust                           | METLIFE SECURITIZATION TRUST 2018-1                             | CUSIP: 59166DAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3626190 | PA      | $3546019.65   | 0.06%             | 2057-03-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38380VVB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    986328 | PA      | $750827.43    | 0.01%             | 2047-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136B9JR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11969763 | PA      | $3639846.93   | 0.07%             | 2050-03-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38383RAN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  35403944 | PA      | $28974180.75  | 0.52%             | 2051-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                | CUSIP: 3132E0NW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8681263 | PA      | $8452636.32   | 0.15%             | 2049-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137FUZZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  29273633 | PA      | $1984503.49   | 0.04%             | 2030-05-25      | Variable      | 1.67%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137FUAH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3961145 | PA      | $3875949.60   | 0.07%             | 2050-07-25      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136B4CS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9355549 | PA      | $8531882.14   | 0.15%             | 2056-11-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multiclass Certifi                         | Freddie Mac Multiclass Certificates Series 2020-RR09            | CUSIP: 3137FTG68<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  37600000 | PA      | $2407076.80   | 0.04%             | 2028-11-27      | Variable      | 2.63%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137H9M71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    656042 | PA      | $652361.77    | 0.01%             | 2032-01-25      | Fixed         | 3.78%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-12-19

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

**Signature:** Derek Maltbie

**Name of Signer:** Derek Maltbie

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