# EDGAR Filing Document

**Accession Number:** 0001500604
**File Stem:** 0001752724-25-149949
**Filing Date:** 2025-6
**Character Count:** 252140
**Document Hash:** c97fe278da0660f760e491ea1e1d2e44
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-25-149949.hdr.sgml**: 20250620

**ACCESSION NUMBER**: 0001752724-25-149949

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250430

**FILED AS OF DATE**: 20250620

**DATE AS OF CHANGE**: 20250620

**PERIOD START**: 20251031

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Janus Detroit Street Trust
- **CENTRAL INDEX KEY:** 0001500604

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 1031

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-23112
- **FILM NUMBER:** 251060662

**BUSINESS ADDRESS:**
- **STREET 1:** 151 DETROIT STREET
- **CITY:** DENVER
- **STATE:** CO
- **ZIP:** 80206
- **BUSINESS PHONE:** 303-333-3863

**MAIL ADDRESS:**
- **STREET 1:** 151 DETROIT STREET
- **CITY:** DENVER
- **STATE:** CO
- **ZIP:** 80206

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** Janus ETF Trust
- **DATE OF NAME CHANGE:** 20100902

## Series and Classes Contracts Data

### Janus Henderson Mortgage-Backed Securities ETF (Series ID: S000063007)

| Class ID   | Class Name                                     | Ticker Symbol   |
|:---|:---|:---|
| C000204446 | Janus Henderson Mortgage-Backed Securities ETF | JMBS            |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Janus Detroit Street Trust

- **b. Investment Company Act file number:** 811-23112

- **c. CIK number of Registrant:** 0001500604

- **d. LEI of Registrant:** 5493003MM7OCK5UJW595

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

  - **Street Address 1:** 151 Detroit Street

  - **City:** Denver

  - **State:** CO

  - **Foreign country:** US

  - **Zip / Postal Code:** 80206

  - **Telephone number:** 303-333-3863

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

- **a. Name of Series:** Janus Henderson Mortgage-Backed Securities ETF

- **b. EDGAR series identifier (if any):** S000063007

- **c. LEI of Series:** 549300V6TVE4ZJCDWY16

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

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

- **b. Date as of which information is reported:** 2025-04-30

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $12655253203.78

**Total Liabilities:** $7219157485.11

**Net Assets:** $5436095718.67

**Delayed Delivery Securities:** $142584502.37

**Cash Not Reported:** $16551784.08

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -24540.84860008 | **1-Year:** -396765.31981791 | **5-Year:** -966197.98983584 | **10-Year:** -1636087.51174552 | **30-Year:** -536298.23305852

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

- **3-Month:** -2523.04001019 | **1-Year:** -33655.14116702 | **5-Year:** -33641.51245572 | **10-Year:** -40356.38396396 | **30-Year:** -1533.67236364

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000204446 | 2.50%                | -0.03%               | 0.16%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $27626232.86             | $77412583.26                               |
| Month 2  | $17832503.75             | $-40959259.47                              |
| Month 3  | $-3616452.02             | $-2871037.87                               |

**Designated Index Information**

- **Index Name:** Bloomberg U.S. Mortgage Backed Securities (Statistics Universe)

- **Index Identifier:** LEHM.MC.LEHM000095UUSD

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140XGZ85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   20648098 | PA      | $18911800.43   | 0.35%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                  | UMBS, Single Family, 30 Year                                             | CUSIP: 01F050650<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -349233000 | PA      | $-341871866.83 | -6.29%            | 2055-05-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 15 Year                                                            | CUSIP: 3132CWBH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     273081 | PA      | $261820.18     | 0.00%             | 2033-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                            | CUSIP: 3131YAV98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     276881 | PA      | $270018.56     | 0.00%             | 2048-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                            | U.S. Treasury 2 Year Notes                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -531 | NC      | $-128982.03    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| J.P. Morgan Mortgage Trust                     | J.P. Morgan Mortgage Trust, Series 2024-CES1, Class A1B                  | CUSIP: 46658CAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3355451 | PA      | $3379523.60    | 0.06%             | 2054-06-25      | Variable      | 6.02%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | FNMA, REMIC, Series 2002-53, Class FK                                    | CUSIP: 31392EHN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19218 | PA      | $18995.16      | 0.00%             | 2032-04-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140NHAF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2716988 | PA      | $2779771.43    | 0.05%             | 2053-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                            | CUSIP: 31334YHQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1932697 | PA      | $1716752.66    | 0.03%             | 2049-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                           | FREMF Mortgage Trust, Series 2019-KF70, Class C                          | CUSIP: 30298UAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     789970 | PA      | $720698.38     | 0.01%             | 2029-09-25      | Floating      | 10.45%                | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140XRA54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   47080530 | PA      | $47545286.54   | 0.87%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust            | New Residential Mortgage Loan Trust, Series 2024-RTL1, Class A2          | CUSIP: 64831PAB1<br>LEI: 213800CVLC5IFCJL6C96 | Long             | ABS-MBS          | CORP              | US        |    2750000 | PA      | $2777285.50    | 0.05%             | 2039-03-25      | Variable      | 7.10%                 | Yes           |                  2 | On Loan: No      |
| Mello Mortgage Capital Acceptance              | Mello Mortgage Capital Acceptance, Series 2024-SD1, Class A1             | CUSIP: 58550DAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8174791 | PA      | $7963419.97    | 0.15%             | 2054-04-25      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140ML4S6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     255088 | PA      | $244730.21     | 0.00%             | 2052-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140QUAV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   41270539 | PA      | $40625496.44   | 0.75%             | 2054-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140NAYW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3982317 | PA      | $4149422.97    | 0.08%             | 2053-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140JMBK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     892835 | PA      | $843745.06     | 0.02%             | 2049-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                        | FHLMC STACR REMIC Trust, Series 2024-HQA1, Class M2                      | CUSIP: 35564NCA9<br>LEI: 529900PGKDI4ZEXFQ523 | Long             | ABS-MBS          | CORP              | US        |    9880000 | PA      | $9874466.18    | 0.18%             | 2044-03-25      | Floating      | 6.35%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                            | CUSIP: 3133C2Y85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4223147 | PA      | $4146010.85    | 0.08%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140W0QY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14102361 | PA      | $14399192.11   | 0.26%             | 2055-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corp.                   | Chase Mortgage Finance Corp., Series 2021-CL1, Class M3                  | CUSIP: 46591HBZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2016441 | PA      | $1932995.25    | 0.04%             | 2050-02-25      | Floating      | 5.90%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                            | CUSIP: 3132DVER2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   39678811 | PA      | $40004787.98   | 0.74%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140X7ST7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7093117 | PA      | $6688510.40    | 0.12%             | 2050-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                            | CUSIP: 3132DNGU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3417046 | PA      | $3237095.38    | 0.06%             | 2050-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                            | CUSIP: 3133CHX91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4391962 | PA      | $4569216.43    | 0.08%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2017-163, Class LO                                          | CUSIP: 38380KNA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3503534 | PA      | $2666972.97    | 0.05%             | 2041-05-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust        | Saluda Grade Alternative Mortgage Trust, Series 2023-RTL3, Class A1      | CUSIP: 79583YAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13041070 | PA      | $12913136.69   | 0.24%             | 2029-04-25      | Variable      | 7.00%                 | Yes           |                  2 | On Loan: No      |
| Finance of America Structured Securities Trust | Finance of America Structured Securities Trust, Series 2025-S1, Class A1 | CUSIP: 31741BAB0<br>LEI: 254900W0S6GNEJ457023 | Long             | ABS-MBS          | CORP              | US        |   21977724 | PA      | $20970607.78   | 0.39%             | 2075-02-25      | Fixed         | 3.50%                 | Yes           |                  2 | On Loan: No      |
| NRM FHT1 Excess Owner LLC                      | NRM FHT1 Excess Owner LLC, Series 2025-FHT1, Class A                     | CUSIP: 64832EAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   42912515 | PA      | $43073540.38   | 0.79%             | 2032-03-25      | Variable      | 6.55%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                            | CUSIP: 3133C2KM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1754598 | PA      | $1722549.87    | 0.03%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust            | Connecticut Avenue Securities Trust, Series 2024-R02, Class 1M1          | CUSIP: 20754GAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5411521 | PA      | $5395621.58    | 0.10%             | 2044-02-25      | Floating      | 5.45%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                            | CUSIP: 3133C4ZD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1556183 | PA      | $1611746.68    | 0.03%             | 2053-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140HPR58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     632035 | PA      | $597596.82     | 0.01%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140A35K5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4129533 | PA      | $4296196.01    | 0.08%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140MJ7G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3018836 | PA      | $2763139.05    | 0.05%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FIGRE Trust                                    | FIGRE Trust, Series 2024-HE3, Class A                                    | CUSIP: 31684GAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2154041 | PA      | $2172130.56    | 0.04%             | 2054-07-25      | Variable      | 5.94%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                     | Freddie Mac Pool, 30 Year                                                | CUSIP: 3132DU4X2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1947595 | PA      | $1923073.21    | 0.04%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                            | CUSIP: 3133C4W42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2572136 | PA      | $2571091.83    | 0.05%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                            | CUSIP: 31427NBG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   41339421 | PA      | $39775645.25   | 0.73%             | 2050-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC, REMIC, Series 3028, Class FM                                      | CUSIP: 31396AFB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10012 | PA      | $9901.40       | 0.00%             | 2035-09-15      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                            | CUSIP: 3132DQK70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6721212 | PA      | $6749476.24    | 0.12%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                            | CUSIP: 3133BGDH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3145591 | PA      | $3171737.37    | 0.06%             | 2052-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, REMIC, Series 2010-109, Class BS                                   | CUSIP: 31398NTM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      41248 | PA      | $61013.36      | 0.00%             | 2040-10-25      | Floating      | 6.05%                 | No            |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Linked Notes        | Santander Bank Auto Credit-Linked Notes, Series 2023-A, Class B          | CUSIP: 80290CBU7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     435114 | PA      | $436868.89     | 0.01%             | 2033-06-15      | Fixed         | 6.49%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | FNMA, REMIC, Series 2017-9, Class VL                                     | CUSIP: 3136AVYH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     311729 | PA      | $305404.98     | 0.01%             | 2028-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140HBFX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1264430 | PA      | $1261240.19    | 0.02%             | 2048-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140XLSS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   21630208 | PA      | $20396373.38   | 0.38%             | 2051-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                            | CUSIP: 3133BVVB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3399996 | PA      | $3443753.61    | 0.06%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| RCKT Mortgage Trust                            | RCKT Mortgage Trust, Series 2025-CES2, Class A1B                         | CUSIP: 74942BAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4449528 | PA      | $4430790.88    | 0.08%             | 2055-02-25      | Variable      | 5.60%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                            | CUSIP: 3133C2DM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2776455 | PA      | $2725742.28    | 0.05%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                            | CUSIP: 3133BMRH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2694608 | PA      | $2716286.63    | 0.05%             | 2052-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140NGLQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11525662 | PA      | $11758312.63   | 0.22%             | 2053-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140FPAS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     244608 | PA      | $232464.96     | 0.00%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| EFMT                                           | EFMT, Series 2025-CES1, Class A1B                                        | CUSIP: 26846VAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4079078 | PA      | $4090020.34    | 0.08%             | 2060-01-25      | Variable      | 5.88%                 | Yes           |                  2 | On Loan: No      |
| Tricolor Auto Securitization Trust             | Tricolor Auto Securitization Trust, Series 2024-3A, Class A              | CUSIP: 89617AAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6849157 | PA      | $6840593.04    | 0.13%             | 2028-06-15      | Fixed         | 5.22%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140N4PD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5162121 | PA      | $5177441.03    | 0.10%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust        | Saluda Grade Alternative Mortgage Trust, Series 2024-RTL6, Class A1      | CUSIP: 79585UAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   15216666 | PA      | $15283181.09   | 0.28%             | 2030-07-25      | Variable      | 7.44%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140X8S24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3217322 | PA      | $3040427.46    | 0.06%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140LW5M5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1404594 | PA      | $1422943.33    | 0.03%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                            | CUSIP: 3132DNSB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     448274 | PA      | $422703.03     | 0.01%             | 2050-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140QVVF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   49617980 | PA      | $49677204.33   | 0.91%             | 2054-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                            | CUSIP: 3133C4WZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6934472 | PA      | $6806200.73    | 0.13%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                            | CUSIP: 3133C7WH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1066021 | PA      | $1076926.01    | 0.02%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                            | CUSIP: 3131Y2M21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     101343 | PA      | $98369.93      | 0.00%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140QECU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     936704 | PA      | $906844.32     | 0.02%             | 2050-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140NDU21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3741710 | PA      | $3777941.33    | 0.07%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140XM5T9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   27255458 | PA      | $25511962.57   | 0.47%             | 2053-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140XBSP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1286813 | PA      | $1245775.20    | 0.02%             | 2050-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                            | CUSIP: 3133CG6J1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5516127 | PA      | $5679167.41    | 0.10%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, REMIC, Series 2007-89, Class GF                                    | CUSIP: 31396XPM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15266 | PA      | $15136.39      | 0.00%             | 2037-09-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140XJAP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3972501 | PA      | $3855965.65    | 0.07%             | 2050-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                  | UMBS, Single Family, 30 Year                                             | CUSIP: 01F052656<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -728305851 | PA      | $-726615453.12 | -13.37%           | 2055-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                  | UMBS, Single Family, 30 Year                                             | CUSIP: 01F042657<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -484242390 | PA      | $-462973979.99 | -8.52%            | 2055-05-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FIGRE Trust                                    | FIGRE Trust, Series 2024-HE4, Class B                                    | CUSIP: 31684UAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3280854 | PA      | $3252486.20    | 0.06%             | 2054-09-25      | Variable      | 5.25%                 | Yes           |                  2 | On Loan: No      |
| Prosper Marketplace Issuance Trust             | Prosper Marketplace Issuance Trust, Series 2024-1A, Class A              | CUSIP: 74363CAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     709907 | PA      | $710718.65     | 0.01%             | 2029-08-15      | Fixed         | 6.12%                 | Yes           |                  2 | On Loan: No      |
| FNMA or FHLMC                                  | UMBS, Single Family, 30 Year                                             | CUSIP: 01F022659<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        | 1622789894 | PA      | $1348695812.53 | 24.81%            | 2055-05-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                        | FHLMC STACR REMIC Trust, Series 2023-HQA3, Class M1                      | CUSIP: 35564K3G2<br>LEI: 529900ZTXRUUVE8G8W08 | Long             | ABS-MBS          | CORP              | US        |   13850297 | PA      | $13908707.00   | 0.26%             | 2043-11-25      | Floating      | 6.20%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                            | CUSIP: 3133B7F86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     571228 | PA      | $523631.87     | 0.01%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Other                                                              | CUSIP: 3140FX2R2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13600521 | PA      | $12159848.88   | 0.22%             | 2063-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Huntington Bank Auto Credit-Linked Notes       | Huntington Bank Auto Credit-Linked Notes, Series 2024-1, Class B1        | CUSIP: 44644NAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   13522227 | PA      | $13676797.47   | 0.25%             | 2032-05-20      | Fixed         | 6.15%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140JLKM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     289060 | PA      | $273166.53     | 0.01%             | 2048-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust        | Saluda Grade Alternative Mortgage Trust, Series 2024-RTL4, Class A1      | CUSIP: 79584CAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12445279 | PA      | $12451100.90   | 0.23%             | 2030-02-25      | Variable      | 7.50%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140NLSY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11769588 | PA      | $11769846.36   | 0.22%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140K54D6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     280948 | PA      | $272384.78     | 0.01%             | 2049-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140NG6C9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     711730 | PA      | $717662.09     | 0.01%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | FHLMC Gold Pools, Other                                                  | CUSIP: 3131Y6WK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2317 | PA      | $2093.69       | 0.00%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                            | CUSIP: 3133BVCR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4282655 | PA      | $4339432.44    | 0.08%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                            | CUSIP: 31334XYL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     275782 | PA      | $251552.86     | 0.00%             | 2049-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140X8HQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   19001465 | PA      | $17869685.65   | 0.33%             | 2050-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140X4WA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3786288 | PA      | $3570473.19    | 0.07%             | 2049-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140MRCT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     231799 | PA      | $222386.58     | 0.00%             | 2052-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140QPYS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     941679 | PA      | $862274.35     | 0.02%             | 2052-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140XRDW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   19930292 | PA      | $20349791.08   | 0.37%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140XQNC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7712704 | PA      | $7392613.67    | 0.14%             | 2052-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| LHOME Mortgage Trust                           | LHOME Mortgage Trust, Series 2024-RTL4, Class A2                         | CUSIP: 50205PAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6870000 | PA      | $6859568.59    | 0.13%             | 2039-07-25      | Variable      | 6.09%                 | Yes           |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                        | FHLMC STACR REMIC Trust, Series 2021-DNA7, Class M2                      | CUSIP: 35564KMH9<br>LEI: 5493000ISOMSKCX2AW62 | Long             | ABS-MBS          | CORP              | US        |   14550000 | PA      | $14592902.30   | 0.27%             | 2041-11-25      | Floating      | 6.15%                 | Yes           |                  2 | On Loan: No      |
| ACHM Mortgage Trust                            | ACHM Mortgage Trust, Series 2024-HE1, Class A                            | CUSIP: 00449TAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    8817677 | PA      | $8950886.86    | 0.16%             | 2039-05-25      | Fixed         | 6.55%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140MSCJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1993598 | PA      | $1916083.71    | 0.04%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust            | Connecticut Avenue Securities Trust, Series 2021-R01, Class 1M2          | CUSIP: 20754RAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3158965 | PA      | $3156094.84    | 0.06%             | 2041-10-25      | Floating      | 5.90%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140QM6T6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1861616 | PA      | $1707976.91    | 0.03%             | 2052-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Other                                                              | CUSIP: 31417C6S9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     216233 | PA      | $195568.09     | 0.00%             | 2042-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140A1TN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6630883 | PA      | $6645446.58    | 0.12%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140QVPQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  192818802 | PA      | $193048950.87  | 3.55%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                   | BX Commercial Mortgage Trust, Series 2021-21M, Class A                   | CUSIP: 05609CAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1271945 | PA      | $1264827.93    | 0.02%             | 2036-10-15      | Floating      | 5.17%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140JWB33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      43418 | PA      | $42096.23      | 0.00%             | 2049-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140QBUK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     185198 | PA      | $179543.95     | 0.00%             | 2049-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140W0VV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   25472301 | PA      | $25683537.44   | 0.47%             | 2055-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust            | Connecticut Avenue Securities Trust, Series 2024-R02, Class 1M2          | CUSIP: 20754GAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3168862 | PA      | $3162986.33    | 0.06%             | 2044-02-25      | Floating      | 6.15%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140XNML5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11247421 | PA      | $10605843.08   | 0.20%             | 2051-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140NGLL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2768137 | PA      | $2718220.05    | 0.05%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                            | CUSIP: 3133BAFM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2199773 | PA      | $2013450.85    | 0.04%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2007-37, Class FW                                           | CUSIP: 38375KNR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      21068 | PA      | $20706.91      | 0.00%             | 2037-06-20      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                         | JPMorgan Chase Bank NA, Series 2020-CL1, Class M2                        | CUSIP: 46591HAH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2114299 | PA      | $2153507.77    | 0.04%             | 2057-10-25      | Floating      | 6.94%                 | Yes           |                  2 | On Loan: No      |
| N/A                                            | U.S. Treasury 10 Year Ultra Bond                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -452 | NC      | $-231229.19    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| FREED ABS Trust                                | FREED ABS Trust, Series 2021-3FP, Class D                                | CUSIP: 30322MAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     333370 | PA      | $331386.92     | 0.01%             | 2028-11-20      | Fixed         | 2.37%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | FNMA, REMIC, Series 2010-95, Class FB                                    | CUSIP: 31398NEX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7235 | PA      | $7171.89       | 0.00%             | 2040-09-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140XSAK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15143836 | PA      | $15008108.69   | 0.28%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 year                                                            | CUSIP: 3133BXDH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1903469 | PA      | $1944246.86    | 0.04%             | 2053-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FIGRE Trust                                    | FIGRE Trust, Series 2025-PF1, Class A                                    | CUSIP: 316922AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8855000 | PA      | $8886228.04    | 0.16%             | 2055-06-25      | Variable      | 5.76%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140Q7YC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5905475 | PA      | $5594691.43    | 0.10%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 31418DQJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3453893 | PA      | $3248169.89    | 0.06%             | 2050-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA II, Single Family, 30 Year                                          | CUSIP: 21H032654<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  138246377 | PA      | $125568907.74  | 2.31%             | 2055-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 15 Year                                                            | CUSIP: 3131XDFC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      36003 | PA      | $34777.29      | 0.00%             | 2033-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                            | CUSIP: 3133BX5Y3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4852743 | PA      | $4893851.88    | 0.09%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140N7TE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3165307 | PA      | $3237789.42    | 0.06%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140ACME0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1592747 | PA      | $1603246.99    | 0.03%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Arivo Acceptance Auto Loan Receivables Trust   | Arivo Acceptance Auto Loan Receivables Trust, Series 2024-1A, Class A    | CUSIP: 039943AA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2541161 | PA      | $2555486.16    | 0.05%             | 2028-04-17      | Fixed         | 6.46%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 31418C3E2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3121940 | PA      | $3030356.27    | 0.06%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                        | FHLMC STACR REMIC Trust, Series 2024-DNA3, Class M2                      | CUSIP: 35564NFA6<br>LEI: 529900P3PHNE8PW64Z68 | Long             | ABS-MBS          | CORP              | US        |   11192000 | PA      | $11140669.68   | 0.20%             | 2044-10-25      | Floating      | 5.80%                 | Yes           |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                         | Sequoia Mortgage Trust, Series 2013-5, Class A1                          | CUSIP: 81745AAA5<br>LEI: 549300671OK77JNRLK28 | Long             | ABS-MBS          | CORP              | US        |     697677 | PA      | $604100.98     | 0.01%             | 2043-05-25      | Variable      | 2.50%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140XPN70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11769473 | PA      | $11411046.79   | 0.21%             | 2052-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140NA6C2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7370581 | PA      | $7529456.70    | 0.14%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140A5SH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5347102 | PA      | $5543802.21    | 0.10%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA II, Single Family, 30 Year                                          | CUSIP: 21H052652<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  237444000 | PA      | $237216291.20  | 4.36%             | 2055-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140XL5Y0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11954766 | PA      | $11590697.13   | 0.21%             | 2050-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2005-48, Class AF                                           | CUSIP: 38374LHM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      17404 | PA      | $17074.80      | 0.00%             | 2035-06-20      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 31417GLX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     961751 | PA      | $873895.04     | 0.02%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                        | FHLMC STACR REMIC Trust, Series 2021-DNA5, Class M2                      | CUSIP: 35564KHE2<br>LEI: 5493000ISU5NYXNHD479 | Long             | ABS-MBS          | CORP              | US        |    1191541 | PA      | $1194697.81    | 0.02%             | 2034-01-25      | Floating      | 6.00%                 | Yes           |                  2 | On Loan: No      |
| RCKT Mortgage Trust                            | RCKT Mortgage Trust, Series 2024-CES1, Class A1B                         | CUSIP: 749424AB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    9464612 | PA      | $9536145.92    | 0.18%             | 2044-02-25      | Variable      | 6.32%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140M6N41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   19086929 | PA      | $19229738.93   | 0.35%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140NCRF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2119251 | PA      | $2164651.24    | 0.04%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140EU6G9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      38779 | PA      | $35780.07      | 0.00%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2007-61, Class FA                                           | CUSIP: 38375LLN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10864 | PA      | $10759.26      | 0.00%             | 2037-10-20      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| ACHV ABS TRUST                                 | ACHV ABS TRUST, Series 2023-4CP, Class D                                 | CUSIP: 00092CAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7056000 | PA      | $7134675.33    | 0.13%             | 2030-11-25      | Fixed         | 8.60%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3138YR6F0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     545031 | PA      | $518962.97     | 0.01%             | 2045-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140MNP67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3247494 | PA      | $2972187.82    | 0.05%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140W0UA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   38113822 | PA      | $38457798.81   | 0.71%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Brex Commercial Charge Card Master Trust       | Brex Commercial Charge Card Master Trust, Series 2024-1, Class A1        | CUSIP: 05601DAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7750000 | PA      | $7834192.09    | 0.14%             | 2027-07-15      | Fixed         | 6.05%                 | Yes           |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust        | Saluda Grade Alternative Mortgage Trust, Series 2023-FIG3, Class A       | CUSIP: 79582AAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7246694 | PA      | $7480559.61    | 0.14%             | 2053-08-25      | Variable      | 7.07%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140N0FM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   30509005 | PA      | $30901650.42   | 0.57%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                            | CUSIP: 3133BJP30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2804914 | PA      | $2827854.53    | 0.05%             | 2052-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                            | CUSIP: 3133CJWA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3453599 | PA      | $3480740.42    | 0.06%             | 2053-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC, REMIC, Series 3721, Class FB                                      | CUSIP: 3137GAD20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      46408 | PA      | $45908.37      | 0.00%             | 2040-09-15      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                            | CUSIP: 3132E05R9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1784548 | PA      | $1682753.61    | 0.03%             | 2050-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140NBWR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2897844 | PA      | $2956552.07    | 0.05%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                            | CUSIP: 3132ACNG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     316729 | PA      | $300804.53     | 0.01%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140HAMH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     106207 | PA      | $92293.46      | 0.00%             | 2049-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Reach ABS Trust                                | Reach ABS Trust, Series 2024-2A, Class A                                 | CUSIP: 75525HAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3632407 | PA      | $3645696.63    | 0.07%             | 2031-07-15      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140XBJE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  114097811 | PA      | $107589420.30  | 1.98%             | 2051-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA II, Single Family, 30 Year                                          | CUSIP: 21H050656<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  336146194 | PA      | $329620251.79  | 6.06%             | 2055-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 31418DKW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     257517 | PA      | $249674.58     | 0.00%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140J7UG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     125135 | PA      | $116030.30     | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2007-40, Class FG                                           | CUSIP: 38375KZS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      32755 | PA      | $32224.27      | 0.00%             | 2037-07-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 15 Year                                                            | CUSIP: 3138WHP55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9477 | PA      | $9090.43       | 0.00%             | 2031-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140W0GG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   68494808 | PA      | $69084021.17   | 1.27%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                            | CUSIP: 3133CKZD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6521355 | PA      | $6638777.35    | 0.12%             | 2053-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140NGL81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5610124 | PA      | $5506349.95    | 0.10%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140QNGR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4785071 | PA      | $4389789.14    | 0.08%             | 2052-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHF Issuer Trust                               | FHF Issuer Trust, Series 2024-1A, Class A2                               | CUSIP: 31568AAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3196602 | PA      | $3221159.73    | 0.06%             | 2030-02-15      | Fixed         | 5.69%                 | Yes           |                  2 | On Loan: No      |
| Brean Asset-Backed Securities Trust            | Brean Asset-Backed Securities Trust, Series 2024-RM8, Class A1           | CUSIP: 10637YAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10275377 | PA      | $10018688.24   | 0.18%             | 2064-05-25      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| FNMA or FHLMC                                  | UMBS, Single Family, 30 Year                                             | CUSIP: 01F062655<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  132991000 | PA      | $136954131.80  | 2.52%             | 2055-05-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140JYSB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      92989 | PA      | $80807.38      | 0.00%             | 2049-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BX Trust                                       | BX Trust, Series 2021-BXMF, Class C                                      | CUSIP: 05609RAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3337147 | PA      | $3308676.63    | 0.06%             | 2026-10-15      | Floating      | 5.63%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140W02V6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9004381 | PA      | $8639575.03    | 0.16%             | 2055-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, REMIC, Series 2010-123, Class FL                                   | CUSIP: 31398N2W3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10452 | PA      | $10351.90      | 0.00%             | 2040-11-25      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                      | Towd Point Mortgage Trust, Series 2024-CES2, Class A1B                   | CUSIP: 89182JAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     546572 | PA      | $550719.49     | 0.01%             | 2064-02-25      | Variable      | 6.35%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                           | GNMA II, 30 Year                                                         | CUSIP: 36179TZ57<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     773367 | PA      | $731197.08     | 0.01%             | 2048-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LHOME Mortgage Trust                           | LHOME Mortgage Trust, Series 2022-RTL3, Class A1                         | CUSIP: 50204UAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4090638 | PA      | $4095244.26    | 0.08%             | 2027-11-25      | Variable      | 8.15%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                            | CUSIP: 3133CKYJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1986521 | PA      | $2066694.58    | 0.04%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Other                                                              | CUSIP: 3140FXX49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   36889666 | PA      | $32986608.50   | 0.61%             | 2062-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                            | CUSIP: 3132DNBL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1925627 | PA      | $1766704.59    | 0.03%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                            | CUSIP: 3132E0GW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6488040 | PA      | $6641242.67    | 0.12%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA II, 30 Year                                                         | CUSIP: 3617J6Q80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     143216 | PA      | $139487.06     | 0.00%             | 2048-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Blue Bridge Funding LLC                        | Blue Bridge Funding LLC, Series 2023-1A, Class A                         | CUSIP: 09531MAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2273811 | PA      | $2286661.18    | 0.04%             | 2030-11-15      | Fixed         | 7.37%                 | Yes           |                  2 | On Loan: No      |
| Homeward Opportunities Fund Trust              | Homeward Opportunities Fund Trust, Series 2025-RRTL1, Class A1           | CUSIP: 437919AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12500000 | PA      | $12490715.00   | 0.23%             | 2040-03-25      | Variable      | 5.48%                 | Yes           |                  2 | On Loan: No      |
| ACHM Mortgage Trust                            | ACHM Mortgage Trust, Series 2024-HE1, Class B                            | CUSIP: 00449TAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     801607 | PA      | $828863.12     | 0.02%             | 2039-05-25      | Fixed         | 7.26%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                            | CUSIP: 3133CFRM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   17008617 | PA      | $17511342.16   | 0.32%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                            | CUSIP: 3132ADY69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     119113 | PA      | $113421.34     | 0.00%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140NGLN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1376535 | PA      | $1375330.35    | 0.03%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Other                                                              | CUSIP: 3140FXHC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   23664612 | PA      | $21550477.84   | 0.40%             | 2058-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                  | UMBS, Single Family, 30 Year                                             | CUSIP: 01F040651<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -575916155 | PA      | $-536475688.96 | -9.87%            | 2055-05-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                        | FHLMC STACR REMIC Trust, Series 2025-HQA1, Class M1                      | CUSIP: 35564NGZ0<br>LEI: 529900MBUPRSJMB6GN48 | Long             | ABS-MBS          | CORP              | US        |   17588979 | PA      | $17529460.02   | 0.32%             | 2045-02-25      | Floating      | 5.50%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140XKB74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7205629 | PA      | $7367094.92    | 0.14%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PRPM LLC                                       | PRPM LLC                                                                 | CUSIP: 69392NAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6800000 | PA      | $6438839.76    | 0.12%             | 2055-04-26      | Variable      | 3.25%                 | Yes           |                  2 | On Loan: No      |
| RCKT Mortgage Trust                            | RCKT Mortgage Trust, Series 2024-CES8, Class A1A                         | CUSIP: 749421AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6843334 | PA      | $6861903.94    | 0.13%             | 2044-11-25      | Variable      | 5.49%                 | Yes           |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Linked Notes        | Santander Bank Auto Credit-Linked Notes, Series 2023-B, Class B          | CUSIP: 80290CCB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2532121 | PA      | $2545296.94    | 0.05%             | 2033-12-15      | Fixed         | 5.64%                 | Yes           |                  2 | On Loan: No      |
| NRM FNT1 Excess LLC                            | NRM FNT1 Excess LLC, Series 2024-FNT1, Class A                           | CUSIP: 62956YAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   30718006 | PA      | $30918158.07   | 0.57%             | 2031-11-25      | Variable      | 7.40%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140X85L7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14018522 | PA      | $13591603.36   | 0.25%             | 2050-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140MNNA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1060409 | PA      | $971974.87     | 0.02%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140XHZL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     159276 | PA      | $150518.55     | 0.00%             | 2051-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                            | CUSIP: 3133CHEK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5637669 | PA      | $5804301.85    | 0.11%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 15 Year                                                            | CUSIP: 3132A8GL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      58780 | PA      | $57219.78      | 0.00%             | 2031-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | Freddie Mac Pool, 30 Year                                                | CUSIP: 3132DUXK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   30984095 | PA      | $30729432.29   | 0.57%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140NJDA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1377145 | PA      | $1388624.20    | 0.03%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                            | CUSIP: 3133BXJV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2594205 | PA      | $2621799.93    | 0.05%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FIGRE Trust                                    | FIGRE Trust, Series 2025-HE2, Class A                                    | CUSIP: 31684KAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6423425 | PA      | $6446684.99    | 0.12%             | 2055-03-25      | Variable      | 5.78%                 | Yes           |                  2 | On Loan: No      |
| Chase Mortgage Finance Corp.                   | Chase Mortgage Finance Corp., Series 2021-CL1, Class M2                  | CUSIP: 46591HBY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1816498 | PA      | $1738021.89    | 0.03%             | 2050-02-25      | Floating      | 5.70%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140F9WP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      72046 | PA      | $64242.15      | 0.00%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140QPHP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   19057166 | PA      | $17451695.92   | 0.32%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                            | U.S. Treasury 10 Year Notes                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      -1093 | NC      | $-1745999.10   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140XJKP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2297203 | PA      | $2166165.35    | 0.04%             | 2051-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140NEPG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4204308 | PA      | $4204573.73    | 0.08%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140MLUD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     410179 | PA      | $393587.46     | 0.01%             | 2052-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| LHOME Mortgage Trust                           | LHOME Mortgage Trust, Series 2024-RTL2, Class A1                         | CUSIP: 50205JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5293684 | PA      | $5349547.19    | 0.10%             | 2029-03-25      | Variable      | 7.13%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140XGXG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6341322 | PA      | $5984972.95    | 0.11%             | 2050-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                            | CUSIP: 3131XVQW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      13396 | PA      | $11931.04      | 0.00%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2010-6, Class FG                                            | CUSIP: 38376TSC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7354 | PA      | $7308.41       | 0.00%             | 2040-01-16      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, REMIC, Series 2003-87, Class FG                                    | CUSIP: 31393E4W6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10796 | PA      | $10739.50      | 0.00%             | 2033-09-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140XR3C7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   37107259 | PA      | $36774682.78   | 0.68%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Homeward Opportunities Fund Trust              | Homeward Opportunities Fund Trust, Series 2024-RTL1, Class A1            | CUSIP: 43789FAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   17261000 | PA      | $17330404.75   | 0.32%             | 2029-07-25      | Variable      | 7.12%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                            | CUSIP: 3132DQGE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3013842 | PA      | $3026584.90    | 0.06%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, REMIC, Series 2025-9, Class FA                                     | CUSIP: 3136BVDC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   52816575 | PA      | $52576109.21   | 0.97%             | 2055-03-25      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                            | CUSIP: 3133KHGG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     771919 | PA      | $744987.79     | 0.01%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Series 2021-R02, Class 2B1                                         | CUSIP: 20754KAF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    1150000 | PA      | $1170125.00    | 0.02%             | 2041-11-25      | Floating      | 7.65%                 | Yes           |                  2 | On Loan: No      |
| Alterna Funding III LLC                        | Alterna Funding III LLC, Series 2024-1A, Class A                         | CUSIP: 02157JAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    9807978 | PA      | $9892564.97    | 0.18%             | 2039-05-16      | Fixed         | 6.26%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                            | CUSIP: 3131Y2YX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      78820 | PA      | $78393.13      | 0.00%             | 2048-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Bayview Opportunity Master Fund VII LLC        | Bayview Opportunity Master Fund VII LLC, Series 2024-CAR1, Class B       | CUSIP: 07336QAB8<br>LEI: 254900S53K9VTUR1UX42 | Long             | ABS-O            | CORP              | US        |    4471513 | PA      | $4486373.72    | 0.08%             | 2031-12-26      | Floating      | 5.65%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                           | GNMA II, Single Family, 30 Year                                          | CUSIP: 21H040657<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  107413688 | PA      | $99943495.65   | 1.84%             | 2055-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                            | CUSIP: 3133CFVA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1773391 | PA      | $1777285.99    | 0.03%             | 2053-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Linked Notes        | Santander Bank Auto Credit-Linked Notes, Series 2023-B, Class C          | CUSIP: 80290CCC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5875968 | PA      | $5910570.65    | 0.11%             | 2033-12-15      | Fixed         | 5.93%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140NGMK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1739837 | PA      | $1799385.10    | 0.03%             | 2053-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust            | Connecticut Avenue Securities Trust, Series 2021-R01, Class 1B1          | CUSIP: 20754RAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7320000 | PA      | $7436662.50    | 0.14%             | 2041-10-25      | Floating      | 7.45%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                            | CUSIP: 3132AEVE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   44408309 | PA      | $43104745.02   | 0.79%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust            | Connecticut Avenue Securities Trust, Series 2022-R01, Class 1M1          | CUSIP: 20754LAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1066945 | PA      | $1063824.04    | 0.02%             | 2041-12-25      | Floating      | 5.35%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140QUUU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   37331274 | PA      | $38596979.42   | 0.71%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC, REMIC, Series 2410, Class FX                                      | CUSIP: 31339NJN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11190 | PA      | $11106.71      | 0.00%             | 2032-02-15      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | Freddie Mac Pool, 30 Year                                                | CUSIP: 31426DMQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   56990064 | PA      | $57058086.91   | 1.05%             | 2055-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corp.                   | Chase Mortgage Finance Corp., Series 2021-CL1, Class M1                  | CUSIP: 46591HBX7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3091911 | PA      | $2985149.81    | 0.05%             | 2050-02-25      | Floating      | 5.55%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Mortgage Trust                        | JPMorgan Mortgage Trust, Series 2015-4, Class AM                         | CUSIP: 46644VBP0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     494949 | PA      | $422129.87     | 0.01%             | 2045-06-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 15 Year                                                            | CUSIP: 3140J5EJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9560 | PA      | $9170.37       | 0.00%             | 2032-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140XR2M6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   46461571 | PA      | $46885730.36   | 0.86%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140N0KB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     620130 | PA      | $634330.83     | 0.01%             | 2052-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust        | Saluda Grade Alternative Mortgage Trust, Series 2024-RTL5, Class A1      | CUSIP: 795935AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8254619 | PA      | $8319296.42    | 0.15%             | 2030-04-25      | Variable      | 7.76%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140XDEL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1286852 | PA      | $1216098.18    | 0.02%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Huntington Bank Auto Credit-Linked Notes       | Huntington Bank Auto Credit-Linked Notes, Series 2025-1, Class B         | CUSIP: 446438SX2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7699910 | PA      | $7753173.71    | 0.14%             | 2033-03-21      | Fixed         | 4.96%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                            | CUSIP: 3133C4J54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1811618 | PA      | $1785592.02    | 0.03%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140NDHS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4168202 | PA      | $4261954.89    | 0.08%             | 2053-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140X4X43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1082171 | PA      | $1022670.79    | 0.02%             | 2049-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140XGZE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2282006 | PA      | $2149060.63    | 0.04%             | 2052-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Tricolor Auto Securitization Trust             | Tricolor Auto Securitization Trust, Series 2024-1A, Class A              | CUSIP: 89616LAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     887256 | PA      | $890527.04     | 0.02%             | 2027-10-15      | Fixed         | 6.61%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140A34G5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     933177 | PA      | $935200.16     | 0.02%             | 2053-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140XFC25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6293513 | PA      | $5950595.11    | 0.11%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                            | CUSIP: 3132DTUT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   13799666 | PA      | $13394845.32   | 0.25%             | 2050-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2008-13, Class FB                                           | CUSIP: 38375PNL1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      42691 | PA      | $42265.86      | 0.00%             | 2038-02-20      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                            | CUSIP: 31427M6F3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11370756 | PA      | $10907606.12   | 0.20%             | 2053-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140QDFP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1630559 | PA      | $1533696.57    | 0.03%             | 2050-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                            | CUSIP: 3133B4H81<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     768744 | PA      | $675865.98     | 0.01%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Brean Asset-Backed Securities Trust            | Brean Asset-Backed Securities Trust, Series 2024-RM9, Class A1           | CUSIP: 10638DAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7157875 | PA      | $7046413.73    | 0.13%             | 2064-09-25      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                     | Freddie Mac Pool, 30 Year                                                | CUSIP: 3132DUJB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   15371062 | PA      | $15694597.28   | 0.29%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RCKT Mortgage Trust                            | RCKT Mortgage Trust, Series 2025-CES4, Class A1A                         | CUSIP: 74937YAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   14359679 | PA      | $14494405.07   | 0.27%             | 2055-05-25      | Variable      | 5.81%                 | Yes           |                  2 | On Loan: No      |
| Fora Financial Asset Securitization LLC        | Fora Financial Asset Securitization LLC, Series 2024-1A, Class A         | CUSIP: 34512PAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5038000 | PA      | $5078160.42    | 0.09%             | 2029-08-15      | Fixed         | 6.33%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                            | CUSIP: 3133B9K78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     109375 | PA      | $104951.02     | 0.00%             | 2052-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                            | CUSIP: 3133CFU72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11814577 | PA      | $12091761.30   | 0.22%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| US Bank NA                                     | US Bank NA, Series 2023-1, Class B                                       | CUSIP: 90357PAV6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7554656 | PA      | $7645059.96    | 0.14%             | 2032-08-25      | Fixed         | 6.79%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                            | CUSIP: 3133C4AR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1308206 | PA      | $1289685.14    | 0.02%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2012-75, Class FP                                           | CUSIP: 38378EZ55<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13152 | PA      | $13055.87      | 0.00%             | 2041-07-20      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140XHZN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     319047 | PA      | $300847.61     | 0.01%             | 2051-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                            | CUSIP: 3133WBM37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2839187 | PA      | $2898946.77    | 0.05%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                            | CUSIP: 3133CLL61<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3817478 | PA      | $3895547.31    | 0.07%             | 2053-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, REMIC, Series 2006-20, Class GF                                    | CUSIP: 31395BU43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      60073 | PA      | $59127.16      | 0.00%             | 2036-04-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                  | UMBS, Single Family, 30 Year                                             | CUSIP: 01F032658<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -149653000 | PA      | $-134996284.49 | -2.48%            | 2055-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 15 Year                                                            | CUSIP: 3140K3SF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      44360 | PA      | $42609.17      | 0.00%             | 2034-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140XM4W3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12636803 | PA      | $13111072.86   | 0.24%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                            | U.S. Treasury Ultra Bond                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -795 | NC      | $382237.59     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                            | CUSIP: 3142GRP38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   37302185 | PA      | $38298750.21   | 0.70%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust            | Connecticut Avenue Securities Trust, Series 2025-R03, Class 2M1          | CUSIP: 20754VAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13212417 | PA      | $13248917.56   | 0.24%             | 2045-03-25      | Floating      | 5.95%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                            | CUSIP: 3133C2ZD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1840772 | PA      | $1907513.20    | 0.04%             | 2053-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140MJ7F6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3213624 | PA      | $2945619.77    | 0.05%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, REMIC, Series 2002-16, Class VF                                    | CUSIP: 31392CWW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8492 | PA      | $8460.57       | 0.00%             | 2032-04-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                            | CUSIP: 3133KGGH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5001788 | PA      | $4716690.47    | 0.09%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 year                                                            | CUSIP: 3132DP3P1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6073523 | PA      | $5879831.98    | 0.11%             | 2051-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Lendbuzz Securitization Trust                  | Lendbuzz Securitization Trust, Series 2023-2A, Class A2                  | CUSIP: 52608MAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1376340 | PA      | $1393273.09    | 0.03%             | 2028-10-16      | Fixed         | 7.09%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140XRQ65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   20438749 | PA      | $19124985.21   | 0.35%             | 2053-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140XBJZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6429970 | PA      | $6241343.52    | 0.11%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140MTMY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11383108 | PA      | $10917729.68   | 0.20%             | 2052-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Linked Notes        | Santander Bank Auto Credit-Linked Notes, Series 2024-A, Class C          | CUSIP: 80290CCK8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6684715 | PA      | $6729895.93    | 0.12%             | 2032-06-15      | Fixed         | 5.82%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC, REMIC, Series 2551, Class FD                                      | CUSIP: 31393JAZ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      13933 | PA      | $13794.43      | 0.00%             | 2033-01-15      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140Q7DN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     113639 | PA      | $105370.45     | 0.00%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3138WHKE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1118471 | PA      | $1062291.35    | 0.02%             | 2046-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                            | CUSIP: 3132ACH52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      18199 | PA      | $16227.51      | 0.00%             | 2047-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Other                                                              | CUSIP: 3140FXY55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16400215 | PA      | $13476200.06   | 0.25%             | 2063-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FIGRE Trust                                    | FIGRE Trust, Series 2023-HE3, Class A                                    | CUSIP: 31684CAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    9223575 | PA      | $9419890.79    | 0.17%             | 2053-11-25      | Variable      | 6.44%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140XHLR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4298560 | PA      | $4062216.07    | 0.07%             | 2049-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140A0BE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3254220 | PA      | $3373930.62    | 0.06%             | 2053-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BX Trust                                       | BX Trust, Series 2021-BXMF, Class G                                      | CUSIP: 05609RAS3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2807890 | PA      | $2711388.50    | 0.05%             | 2026-10-15      | Floating      | 7.79%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                     | Freddie Mac Pool, 30 Year                                                | CUSIP: 3142GTE36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  139474769 | PA      | $137718646.58  | 2.53%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 year                                                            | CUSIP: 3133CC4K9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4237773 | PA      | $4280779.17    | 0.08%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, REMIC, Series 2025-12, Class FC                                    | CUSIP: 3136BVFC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  162769758 | PA      | $161757744.42  | 2.98%             | 2055-03-25      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Other                                                              | CUSIP: 3138WJP93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      72947 | PA      | $64481.90      | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 year                                                            | CUSIP: 3133CDHV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3542843 | PA      | $3578508.50    | 0.07%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Other                                                              | CUSIP: 3140FXWG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   51022235 | PA      | $41925417.74   | 0.77%             | 2062-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                            | CUSIP: 3133C2ZG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2325829 | PA      | $2345215.22    | 0.04%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Other                                                              | CUSIP: 31418APM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     263754 | PA      | $238547.87     | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Gracie Point International Funding LLC         | Gracie Point International Funding LLC, Series 2024-1A, Class A          | CUSIP: 38410KAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5000000 | PA      | $4977142.50    | 0.09%             | 2028-03-01      | Floating      | 6.12%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140X8UA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1854078 | PA      | $1743937.10    | 0.03%             | 2050-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140W0WQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10103280 | PA      | $9681992.97    | 0.18%             | 2054-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 31418DPL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3573401 | PA      | $3365534.27    | 0.06%             | 2050-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140NGLR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4238853 | PA      | $4308282.73    | 0.08%             | 2053-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FIGRE Trust                                    | FIGRE Trust, Series 2024-HE1, Class B                                    | CUSIP: 31684HAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2334304 | PA      | $2393089.10    | 0.04%             | 2054-03-25      | Variable      | 6.51%                 | Yes           |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                        | FHLMC STACR REMIC Trust, Series 2021-HQA4, Class M2                      | CUSIP: 35564KNS4<br>LEI: 5493000ISE4NWBTOSK36 | Long             | ABS-MBS          | CORP              | US        |   10089878 | PA      | $10127443.40   | 0.19%             | 2041-12-25      | Floating      | 6.70%                 | Yes           |                  2 | On Loan: No      |
| PRET Trust                                     | PRET Trust, Series 2025-RPL1, Class A1                                   | CUSIP: 69392FAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   16292750 | PA      | $15639241.26   | 0.29%             | 2069-07-25      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                         | Sequoia Mortgage Trust, Series 2019-CH3, Class A19                       | CUSIP: 81748GBN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      84712 | PA      | $76944.60      | 0.00%             | 2049-09-25      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| FIGRE Trust                                    | FIGRE Trust, Series 2024-HE3, Class C                                    | CUSIP: 31684GAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2945704 | PA      | $2970217.13    | 0.05%             | 2054-07-25      | Variable      | 6.23%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2010-125, Class VF                                          | CUSIP: 38377JYJ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        416 | PA      | $412.36        | 0.00%             | 2040-06-20      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140XAY55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3891951 | PA      | $3669945.70    | 0.07%             | 2051-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                            | CUSIP: 3132AEJ80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1257457 | PA      | $1185729.27    | 0.02%             | 2049-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC, REMIC, Series 3738, Class FD                                      | CUSIP: 3137GAYQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10524 | PA      | $10556.39      | 0.00%             | 2040-08-15      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140ML4R8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     130381 | PA      | $125091.16     | 0.00%             | 2052-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 year                                                            | CUSIP: 3133KN3M3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11022914 | PA      | $10671382.60   | 0.20%             | 2051-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 31418DC83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4980 | PA      | $4828.17       | 0.00%             | 2049-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2004-59, Class FP                                           | CUSIP: 38374HYS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      21207 | PA      | $20945.42      | 0.00%             | 2034-08-16      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA II, Other                                                           | CUSIP: 36179UQT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     141615 | PA      | $130978.16     | 0.00%             | 2049-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140NGLU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2481193 | PA      | $2571154.38    | 0.05%             | 2053-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                         | JPMorgan Chase Bank NA, Series 2020-CL1, Class M1                        | CUSIP: 46591HAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   14414412 | PA      | $14683824.99   | 0.27%             | 2057-10-25      | Floating      | 6.69%                 | Yes           |                  2 | On Loan: No      |
| PRET Trust                                     | PRET Trust, Series 2025-RPL2, Class A1                                   | CUSIP: 69392LAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7031000 | PA      | $6750747.15    | 0.12%             | 2064-08-25      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140LXCX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   19842373 | PA      | $19031152.15   | 0.35%             | 2052-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Tricolor Auto Securitization Trust             | Tricolor Auto Securitization Trust, Series 2024-2A, Class A              | CUSIP: 89616PAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2416828 | PA      | $2424794.74    | 0.04%             | 2027-12-15      | Fixed         | 6.36%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                           | GNMA II, Single Family, 30 Year                                          | CUSIP: 21H062651<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |   -9700000 | PA      | $-9915243.00   | -0.18%            | 2055-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | FHLMC Gold Pools, Other                                                  | CUSIP: 3132AED78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     850653 | PA      | $769358.19     | 0.01%             | 2043-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140NGS68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5121785 | PA      | $5225548.01    | 0.10%             | 2053-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 31418DCZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     245599 | PA      | $231589.38     | 0.00%             | 2049-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Janus Henderson Cash Liquidity Fund LLC        | Janus Henderson Cash Liquidity Fund LLC                                  | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             | RF                | US        |  162610638 | NS      | $162643160.54  | 2.99%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140XQ7F8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   83251532 | PA      | $85000480.90   | 1.56%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                            | CUSIP: 3132DV4Z5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     198310 | PA      | $192270.91     | 0.00%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 15 Year                                                            | CUSIP: 3131XCKS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8149 | PA      | $7804.63       | 0.00%             | 2031-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | Freddie Mac Pool, 30 Year                                                | CUSIP: 31427MGS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   35125053 | PA      | $34798818.98   | 0.64%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust        | Saluda Grade Alternative Mortgage Trust, Series 2023-FIG4, Class A       | CUSIP: 79581UAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7647421 | PA      | $7862875.31    | 0.14%             | 2053-11-25      | Variable      | 6.72%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                            | CUSIP: 3133C4KZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6916682 | PA      | $6974333.53    | 0.13%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                  | UMBS, Single Family, 30 Year                                             | CUSIP: 01F060659<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -253280000 | PA      | $-256917100.80 | -4.73%            | 2055-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140W0T70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   65400725 | PA      | $64814566.74   | 1.19%             | 2055-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140W0T88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   74959916 | PA      | $75750078.42   | 1.39%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140N9J49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4656834 | PA      | $4653334.44    | 0.09%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 1999-27, Class FE                                           | CUSIP: 3837H2WA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4330 | PA      | $4343.96       | 0.00%             | 2029-08-16      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| ACHV ABS TRUST                                 | ACHV ABS TRUST, Series 2024-1PL, Class C                                 | CUSIP: 00092BAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1086393 | PA      | $1093394.12    | 0.02%             | 2031-04-25      | Fixed         | 6.42%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                            | CUSIP: 3132DV5G6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     628280 | PA      | $609146.19     | 0.01%             | 2050-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, REMIC, Series 2013-2, Class QF                                     | CUSIP: 3136AB4P5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26012 | PA      | $25689.41      | 0.00%             | 2043-02-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Finance of America Structured Securities Trust | Finance of America Structured Securities Trust, Series 2024-S1, Class A1 | CUSIP: 31740RAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3689373 | PA      | $3565548.91    | 0.07%             | 2074-02-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust            | Connecticut Avenue Securities Trust, Series 2025-R03, Class 2M2          | CUSIP: 20754VAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5970000 | PA      | $5993734.58    | 0.11%             | 2045-03-25      | Floating      | 6.60%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust            | Connecticut Avenue Securities Trust, Series 2024-R05, Class 2M2          | CUSIP: 20754XAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10060000 | PA      | $10016332.54   | 0.18%             | 2044-07-25      | Floating      | 6.05%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                            | CUSIP: 3133C7QG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12266333 | PA      | $12392815.06   | 0.23%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 31418C4F8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1916244 | PA      | $1810884.63    | 0.03%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Finance of America Structured Securities Trust | Finance of America Structured Securities Trust, Series 2024-S3, Class A1 | CUSIP: 31739WAB8<br>LEI: 254900WLTVCTZMOFKI39 | Long             | ABS-MBS          | CORP              | US        |   21290238 | PA      | $20392015.79   | 0.38%             | 2074-04-25      | Fixed         | 3.50%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140XNCU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   22442136 | PA      | $21208221.75   | 0.39%             | 2051-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140XRHR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   25858239 | PA      | $25099673.66   | 0.46%             | 2051-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140A1VT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18839461 | PA      | $19178682.36   | 0.35%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140XHL21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10906215 | PA      | $10002121.78   | 0.18%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LHOME Mortgage Trust                           | LHOME Mortgage Trust, Series 2024-RTL5, Class A2                         | CUSIP: 50205WAB3<br>LEI: 529900ZQNJ23BIJVY871 | Long             | ABS-MBS          | CORP              | US        |    9325000 | PA      | $9279692.62    | 0.17%             | 2039-09-25      | Variable      | 5.75%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 year                                                            | CUSIP: 3132DPMQ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9561769 | PA      | $9759004.08    | 0.18%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LHOME Mortgage Trust                           | LHOME Mortgage Trust, Series 2024-RTL1, Class A1                         | CUSIP: 50205DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6341000 | PA      | $6386090.22    | 0.12%             | 2029-01-25      | Variable      | 7.02%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                            | CUSIP: 3132DSYV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12449029 | PA      | $12710558.39   | 0.23%             | 2054-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                            | CUSIP: 3131Y8MN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      23850 | PA      | $23288.22      | 0.00%             | 2048-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ally Bank Auto Credit-Linked Notes             | Ally Bank Auto Credit-Linked Notes, Series 2024-A, Class D               | CUSIP: 02007GZ71<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2008153 | PA      | $2023253.16    | 0.04%             | 2032-05-17      | Fixed         | 6.32%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, Single Family, 30 Year                                             | CUSIP: 31425USJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8105807 | PA      | $8137541.06    | 0.15%             | 2054-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SREIT Trust                                    | SREIT Trust, Series 2021-MFP, Class B                                    | CUSIP: 78472UAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4194207 | PA      | $4162920.37    | 0.08%             | 2038-11-15      | Floating      | 5.52%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust            | Connecticut Avenue Securities Trust, Series 2025-R01, Class 1M1          | CUSIP: 20755JAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7253515 | PA      | $7218908.01    | 0.13%             | 2045-01-25      | Floating      | 5.45%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                     | Freddie Mac Pool, 30 Year                                                | CUSIP: 3133D1B81<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   20920594 | PA      | $20618236.59   | 0.38%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | Freddie Mac Pool, 30 Year                                                | CUSIP: 3133D1CH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5618398 | PA      | $5736655.70    | 0.11%             | 2054-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2007-59, Class FA                                           | CUSIP: 38375LPU8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      25898 | PA      | $25521.31      | 0.00%             | 2037-10-20      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140NDRF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3246395 | PA      | $3298680.75    | 0.06%             | 2053-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140A0A41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9566350 | PA      | $9738601.00    | 0.18%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140XQ2P1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   43232058 | PA      | $41915474.12   | 0.77%             | 2053-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, Single Family, 30 Year                                             | CUSIP: 3132DUXS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   23521793 | PA      | $23615894.15   | 0.43%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Linked Notes        | Santander Bank Auto Credit-Linked Notes, Series 2022-C, Class C          | CUSIP: 80290CBG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     344329 | PA      | $345037.61     | 0.01%             | 2032-12-15      | Fixed         | 6.99%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140XLJ33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   24296581 | PA      | $22910650.92   | 0.42%             | 2051-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140NGLT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7341565 | PA      | $7603698.77    | 0.14%             | 2053-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140MNNB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     974491 | PA      | $891950.84     | 0.02%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                            | CUSIP: 3132DTTU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7478354 | PA      | $7630825.72    | 0.14%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140XQHM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   31815644 | PA      | $30882315.18   | 0.57%             | 2051-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 31418CYM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1632842 | PA      | $1543064.57    | 0.03%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| RCKT Mortgage Trust                            | RCKT Mortgage Trust, Series 2024-CES5, Class A1B                         | CUSIP: 74938KAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10814521 | PA      | $10918344.90   | 0.20%             | 2044-08-25      | Variable      | 6.05%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140NNSB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2350115 | PA      | $2372576.81    | 0.04%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140MJ6R1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3613730 | PA      | $3176312.84    | 0.06%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140QPQ67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2800010 | PA      | $2564123.10    | 0.05%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                            | CUSIP: 3132DNWL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2002010 | PA      | $1891935.61    | 0.03%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                  | UMBS, Single Family, 30 Year                                             | CUSIP: 01F060659<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  360000000 | PA      | $365169600.00  | 6.72%             | 2055-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140NGH52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1235183 | PA      | $1262965.49    | 0.02%             | 2053-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                            | CUSIP: 31427NHY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   49996900 | PA      | $49113824.99   | 0.90%             | 2055-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                            | CUSIP: 3132DNSD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3821901 | PA      | $3709783.78    | 0.07%             | 2048-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA II, Single Family, 30 Year                                          | CUSIP: 21H022655<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   25296414 | PA      | $21545360.55   | 0.40%             | 2055-05-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140QPY35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     463721 | PA      | $425243.99     | 0.01%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Other                                                              | CUSIP: 3140FXFH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1446579 | PA      | $1238656.44    | 0.02%             | 2057-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                  | UMBS, Single Family, 30 Year                                             | CUSIP: 01F020653<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  376104255 | PA      | $298183351.55  | 5.49%             | 2055-05-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                            | CUSIP: 3133B9MB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2249362 | PA      | $2058839.50    | 0.04%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140Q9ED1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1511142 | PA      | $1466812.22    | 0.03%             | 2048-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140NG2Q2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     748298 | PA      | $754586.29     | 0.01%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust            | Connecticut Avenue Securities Trust, Series 2024-R03, Class 2M2          | CUSIP: 207941AB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13082000 | PA      | $13080360.24   | 0.24%             | 2044-03-25      | Floating      | 6.30%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                            | CUSIP: 3133C4W34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1698809 | PA      | $1668331.68    | 0.03%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| PRET LLC                                       | PRET LLC, Series 2025-NPL4, Class A1                                     | CUSIP: 74136UAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12790000 | PA      | $12789997.44   | 0.24%             | 2055-04-25      | Variable      | 6.37%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Other                                                              | CUSIP: 31418ATD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      81428 | PA      | $73588.27      | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Finance of America Structured Securities Trust | Finance of America Structured Securities Trust, Series 2024-S2, Class A1 | CUSIP: 31739VAA2<br>LEI: 2549004CLYOCOW3IBQ95 | Long             | ABS-O            | CORP              | US        |   14969458 | PA      | $14429720.64   | 0.27%             | 2074-04-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140XQGS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   39549473 | PA      | $38931330.45   | 0.72%             | 2054-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                            | CUSIP: 3133WFD20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5378146 | PA      | $5491346.52    | 0.10%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA II, 30 Year                                                         | CUSIP: 3617J6W91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9280 | PA      | $9201.53       | 0.00%             | 2049-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                            | CUSIP: 31346YWK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     297974 | PA      | $288892.71     | 0.01%             | 2049-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                            | CUSIP: 3132DQ4G8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2860436 | PA      | $2500668.09    | 0.05%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140XQUF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   29891257 | PA      | $29014381.49   | 0.53%             | 2050-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA II, Other                                                           | CUSIP: 36179UMA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     147574 | PA      | $135856.12     | 0.00%             | 2049-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140A5T65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4839908 | PA      | $5017950.54    | 0.09%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Linked Notes        | Santander Bank Auto Credit-Linked Notes, Series 2024-A, Class B          | CUSIP: 80290CCJ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2996597 | PA      | $3013402.51    | 0.06%             | 2032-06-15      | Fixed         | 5.62%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140MHU56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1118943 | PA      | $1025710.83    | 0.02%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 15 Year                                                            | CUSIP: 3132CWDV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     580329 | PA      | $547054.62     | 0.01%             | 2034-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140XN4B7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12006404 | PA      | $12457013.89   | 0.23%             | 2054-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 31418CQB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1334379 | PA      | $1264075.69    | 0.02%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140NC6J3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1887748 | PA      | $1903739.21    | 0.04%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 year                                                            | CUSIP: 3133USKN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   41519666 | PA      | $39236830.33   | 0.72%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140W1ND1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9801758 | PA      | $9405684.39    | 0.17%             | 2053-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140N43N5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1151239 | PA      | $1164341.98    | 0.02%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                            | CUSIP: 3133CEP30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5894731 | PA      | $5907678.21    | 0.11%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140XNBZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   53483040 | PA      | $52713956.77   | 0.97%             | 2053-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140N9KD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2702163 | PA      | $2700132.67    | 0.05%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Other                                                              | CUSIP: 31418ALK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     150201 | PA      | $136571.97     | 0.00%             | 2042-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | Freddie Mac Pool, 30 Year                                                | CUSIP: 31427MR78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12907508 | PA      | $12384568.84   | 0.23%             | 2055-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, REMIC, Series 2020-98, Class AI                                    | CUSIP: 3136BDLE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   19485844 | PA      | $4150221.71    | 0.08%             | 2061-01-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                            | CUSIP: 3133KGF52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     206302 | PA      | $200003.29     | 0.00%             | 2049-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                            | CUSIP: 3133C2ZA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2764602 | PA      | $2762011.02    | 0.05%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                        | FHLMC STACR REMIC Trust, Series 2025-HQA1, Class M2                      | CUSIP: 35564NHA4<br>LEI: 529900MBUPRSJMB6GN48 | Long             | ABS-MBS          | CORP              | US        |   23060148 | PA      | $22872556.36   | 0.42%             | 2045-02-25      | Floating      | 6.00%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140NGMJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1442912 | PA      | $1441470.62    | 0.03%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140QUD37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17652150 | PA      | $17684252.59   | 0.33%             | 2054-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ally Bank Auto Credit-Linked Notes             | Ally Bank Auto Credit-Linked Notes, Series 2024-A, Class C               | CUSIP: 02007GZ63<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3514268 | PA      | $3559836.89    | 0.07%             | 2032-05-17      | Fixed         | 6.02%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140XPA33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   24191379 | PA      | $22861287.52   | 0.42%             | 2051-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140N4EC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1366097 | PA      | $1397379.70    | 0.03%             | 2052-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 31417EMM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     176628 | PA      | $160590.99     | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140MRLZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     706422 | PA      | $677737.57     | 0.01%             | 2052-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| RCKT Mortgage Trust                            | RCKT Mortgage Trust, Series 2024-CES7, Class A1A                         | CUSIP: 749414AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   14137202 | PA      | $14092064.03   | 0.26%             | 2044-10-25      | Variable      | 5.16%                 | Yes           |                  2 | On Loan: No      |
| MHC Commercial Mortgage Trust                  | MHC Commercial Mortgage Trust, Series 2021-MHC, Class A                  | CUSIP: 55316VAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     586117 | PA      | $584707.31     | 0.01%             | 2038-04-15      | Floating      | 5.24%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | FNMA, REMIC, Series 2022-65, Class FB                                    | CUSIP: 3136BPCQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9176491 | PA      | $8916631.39    | 0.16%             | 2052-09-25      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Other                                                              | CUSIP: 3138W7HB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     350316 | PA      | $316587.29     | 0.01%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 15 Year                                                            | CUSIP: 3138WJDM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10874 | PA      | $10428.75      | 0.00%             | 2031-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| LHOME Mortgage Trust                           | LHOME Mortgage Trust, Series 2024-RTL3, Class A1                         | CUSIP: 50205GAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9960000 | PA      | $10071114.76   | 0.19%             | 2029-05-25      | Variable      | 6.90%                 | Yes           |                  2 | On Loan: No      |
| Upstart Securitization Trust                   | Upstart Securitization Trust, Series 2021-1, Class C                     | CUSIP: 91681NAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     842444 | PA      | $839971.91     | 0.02%             | 2031-03-20      | Fixed         | 4.06%                 | Yes           |                  2 | On Loan: No      |
| Foundation Finance Trust                       | Foundation Finance Trust, Series 2023-2A, Class A                        | CUSIP: 35042RAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2113592 | PA      | $2182138.84    | 0.04%             | 2049-06-15      | Fixed         | 6.53%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                            | CUSIP: 31427M5L1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   21284747 | PA      | $20669696.16   | 0.38%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                            | CUSIP: 3132DVEQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   47672605 | PA      | $48094306.11   | 0.88%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140NAUL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5008303 | PA      | $5061169.91    | 0.09%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA II, Single Family, 30 Year                                          | CUSIP: 21H030658<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  175024962 | PA      | $154984253.80  | 2.85%             | 2055-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust            | Connecticut Avenue Securities Trust, Series 2024-R01, Class 1M2          | CUSIP: 20753UAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3140000 | PA      | $3141280.94    | 0.06%             | 2044-01-25      | Floating      | 6.15%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Other                                                              | CUSIP: 31417GJ56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     139025 | PA      | $126311.79     | 0.00%             | 2038-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ABL                                            | ABL, Series 2024-RTL1, Class A2                                          | CUSIP: 00092EAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4840000 | PA      | $4840769.08    | 0.09%             | 2029-09-25      | Variable      | 7.46%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                            | CUSIP: 3133USG21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2118333 | PA      | $2001935.33    | 0.04%             | 2048-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                            | CUSIP: 31334YMG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      84243 | PA      | $73206.88      | 0.00%             | 2049-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust        | Saluda Grade Alternative Mortgage Trust, Series 2024-FIG5, Class B       | CUSIP: 79582MAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2712416 | PA      | $2782732.97    | 0.05%             | 2054-04-25      | Variable      | 6.60%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC, REMIC, Series 3380, Class FM                                      | CUSIP: 31397KTJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      46473 | PA      | $46077.26      | 0.00%             | 2037-10-15      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140XR6S9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   21829131 | PA      | $20944738.24   | 0.39%             | 2054-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140XGHK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  122416499 | PA      | $115433592.39  | 2.12%             | 2051-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA II, Single Family, 30 Year                                          | CUSIP: 21H042653<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  242461488 | PA      | $231969694.49  | 4.27%             | 2055-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC, REMIC, Series 2426, Class FL                                      | CUSIP: 31339W7G5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      20714 | PA      | $20634.84      | 0.00%             | 2032-03-15      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                  | UMBS, Single Family, 30 Year                                             | CUSIP: 01F042657<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   36400000 | PA      | $34801275.60   | 0.64%             | 2055-05-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ACHV ABS TRUST                                 | ACHV ABS TRUST, Series 2024-1PL, Class B                                 | CUSIP: 00092BAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2604960 | PA      | $2629508.37    | 0.05%             | 2031-04-25      | Fixed         | 6.34%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                            | CUSIP: 3133A3FP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     393516 | PA      | $356763.35     | 0.01%             | 2050-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140QFWK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2175550 | PA      | $2109296.27    | 0.04%             | 2050-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140XJTC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4736273 | PA      | $4797996.00    | 0.09%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140N4PF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11105952 | PA      | $11190852.49   | 0.21%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2008-16, Class FC                                           | CUSIP: 383742FU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      20948 | PA      | $20744.75      | 0.00%             | 2038-02-20      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust            | Connecticut Avenue Securities Trust, Series 2021-R03, Class 1M1          | CUSIP: 20754AAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1124636 | PA      | $1120646.95    | 0.02%             | 2041-12-25      | Floating      | 5.20%                 | Yes           |                  2 | On Loan: No      |
| RCKT Mortgage Trust                            | RCKT Mortgage Trust, Series 2023-CES1, Class A1A                         | CUSIP: 74935WAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5649580 | PA      | $5680490.45    | 0.10%             | 2043-06-25      | Variable      | 6.51%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140NCWW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1393950 | PA      | $1405852.84    | 0.03%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140QBCV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     115173 | PA      | $111656.35     | 0.00%             | 2049-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140W0V51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   34007968 | PA      | $33407299.29   | 0.61%             | 2055-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BMP                                            | BMP, Series 2024-MF23, Class A                                           | CUSIP: 05593JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   14000000 | PA      | $13977779.12   | 0.26%             | 2041-06-15      | Floating      | 5.69%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                            | CUSIP: 3133C2ZC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3246515 | PA      | $3362433.03    | 0.06%             | 2053-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140X6ZM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     379949 | PA      | $358598.20     | 0.01%             | 2049-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| RCKT Mortgage Trust                            | RCKT Mortgage Trust, Series 2024-CES6, Class A1B                         | CUSIP: 749410AB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5374539 | PA      | $5383496.86    | 0.10%             | 2044-09-25      | Variable      | 5.55%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                                       | BX Trust, Series 2021-SDMF, Class A                                      | CUSIP: 12434CAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5435823 | PA      | $5400324.83    | 0.10%             | 2034-09-15      | Floating      | 5.03%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | FNMA, REMIC, Series 2013-130, Class FN                                   | CUSIP: 3136AHG53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     100548 | PA      | $98229.69      | 0.00%             | 2042-10-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                            | CUSIP: 3133B7FX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1371180 | PA      | $1205362.19    | 0.02%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                            | CUSIP: 3131Y3DA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1003443 | PA      | $948305.95     | 0.02%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | Freddie Mac Pool, 30 Year                                                | CUSIP: 31427MLR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  112777456 | PA      | $113102788.28  | 2.08%             | 2055-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140XHCF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4390595 | PA      | $4021730.37    | 0.07%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Gracie Point International Funding             | Gracie Point International Funding, Series 2023-2A, Class A              | CUSIP: 38410JAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |     816565 | PA      | $819265.06     | 0.02%             | 2027-03-01      | Floating      | 6.67%                 | Yes           |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Linked Notes        | Santander Bank Auto Credit-Linked Notes, Series 2022-A, Class B          | CUSIP: 80290CAS3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     160571 | PA      | $160524.02     | 0.00%             | 2032-05-15      | Fixed         | 5.28%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                            | CUSIP: 3132DNHU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   14733268 | PA      | $14301059.65   | 0.26%             | 2050-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                            | CUSIP: 3133C2KR8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1241910 | PA      | $1240746.61    | 0.02%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Gold Pool, 30 Year                                                 | CUSIP: 3132Y1W79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2884125 | PA      | $2728836.95    | 0.05%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Other                                                              | CUSIP: 3140FX3Q3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18982964 | PA      | $17001566.24   | 0.31%             | 2064-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                            | CUSIP: 3132DQT48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   26446583 | PA      | $26707562.22   | 0.49%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Reach ABS Trust                                | Reach ABS Trust, Series 2024-1A, Class A                                 | CUSIP: 75526PAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1973967 | PA      | $1981070.03    | 0.04%             | 2031-02-18      | Fixed         | 6.30%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                           | GNMA II, 30 Year                                                         | CUSIP: 3617GDT77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     128899 | PA      | $125367.73     | 0.00%             | 2048-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                            | CUSIP: 3132DSYU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7951512 | PA      | $8118878.30    | 0.15%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                            | CUSIP: 3132DV3L7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1302870 | PA      | $1228551.30    | 0.02%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                            | CUSIP: 3133C2G44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1912647 | PA      | $1878165.15    | 0.03%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140XMPC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12234605 | PA      | $11862013.91   | 0.22%             | 2050-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140MYAQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4315277 | PA      | $4349994.30    | 0.08%             | 2052-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140NGLH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1528062 | PA      | $1573866.48    | 0.03%             | 2053-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140QBPV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     183696 | PA      | $178087.10     | 0.00%             | 2049-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | Freddie Mac Pool, 30 Year                                                | CUSIP: 3142GTT89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   35320906 | PA      | $35605614.59   | 0.65%             | 2055-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | Freddie Mac Pool, 30 Year                                                | CUSIP: 3142GR5Q9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9922809 | PA      | $9520792.75    | 0.18%             | 2054-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140ADPB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7903246 | PA      | $8069596.46    | 0.15%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | Freddie Mac Pool, 30 Year                                                | CUSIP: 31427MBQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   45787597 | PA      | $46751348.40   | 0.86%             | 2055-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140NRPT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2334148 | PA      | $2420012.61    | 0.04%             | 2053-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Other                                                              | CUSIP: 3140FXYK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   23652911 | PA      | $21980390.91   | 0.40%             | 2063-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                        | FHLMC STACR REMIC Trust, Series 2024-HQA2, Class M2                      | CUSIP: 35564NEC3<br>LEI: 5299002OYNAPMJKK2A73 | Long             | ABS-MBS          | CORP              | US        |   18000000 | PA      | $17955140.37   | 0.33%             | 2044-08-25      | Floating      | 6.15%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | FNMA, REMIC, Series 2005-83, Class KT                                    | CUSIP: 31394FUL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16269 | PA      | $15990.66      | 0.00%             | 2035-10-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Other                                                              | CUSIP: 3140FX3R1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   24817329 | PA      | $22173098.77   | 0.41%             | 2064-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                            | CUSIP: 3133BPZ27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1400758 | PA      | $1416465.16    | 0.03%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                  | UMBS, Single Family, 30 Year                                             | CUSIP: 01F032658<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   82500000 | PA      | $74420115.00   | 1.37%             | 2055-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                            | CUSIP: 3133C4J62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1328264 | PA      | $1375689.88    | 0.03%             | 2053-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140JXJ58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     198677 | PA      | $176800.88     | 0.00%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                            | CUSIP: 3133KGF45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1167144 | PA      | $1126424.42    | 0.02%             | 2049-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140A1T23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6337848 | PA      | $6486541.73    | 0.12%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RCKT Mortgage Trust                            | RCKT Mortgage Trust, Series 2025-CES1, Class A1A                         | CUSIP: 749427AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5775277 | PA      | $5810779.00    | 0.11%             | 2045-01-25      | Variable      | 5.65%                 | Yes           |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                      | Towd Point Mortgage Trust, Series 2024-CES1, Class A1B                   | CUSIP: 89183CAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1396460 | PA      | $1401283.54    | 0.03%             | 2064-01-25      | Variable      | 6.05%                 | Yes           |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                        | FHLMC STACR REMIC Trust, Series 2022-DNA2, Class M1A                     | CUSIP: 35564KRE1<br>LEI: 5493000ISA3AUOXQEF68 | Long             | ABS-MBS          | CORP              | US        |     839649 | PA      | $838806.34     | 0.02%             | 2042-02-25      | Floating      | 5.65%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust            | Connecticut Avenue Securities Trust, Series 2021-R03, Class 1M2          | CUSIP: 20754AAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   14835000 | PA      | $14868699.32   | 0.27%             | 2041-12-25      | Floating      | 6.00%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140W0D44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16369845 | PA      | $15706631.55   | 0.29%             | 2054-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3138EPS88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     647858 | PA      | $620987.18     | 0.01%             | 2045-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140NELG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4495736 | PA      | $4533819.99    | 0.08%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| RCKT Mortgage Trust                            | RCKT Mortgage Trust, Series 2024-CES9, Class A1B                         | CUSIP: 749426AB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10545026 | PA      | $10552816.23   | 0.19%             | 2044-12-25      | Variable      | 5.68%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | FNMA, REMIC, Series 2012-100, Class FG                                   | CUSIP: 3136A8QW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8308 | PA      | $8194.80       | 0.00%             | 2042-09-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Bayview Opportunity Master Fund VII LLC        | Bayview Opportunity Master Fund VII LLC, Series 2024-CAR1, Class C       | CUSIP: 07336QAC6<br>LEI: 254900S53K9VTUR1UX42 | Long             | ABS-O            | CORP              | US        |    2176136 | PA      | $2185773.16    | 0.04%             | 2031-12-26      | Floating      | 5.85%                 | Yes           |                  2 | On Loan: No      |
| Galaxy Senior Participation Interest Trust 1   | Galaxy Senior Participation Interest Trust 1                             | CUSIP: 362922AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   14638258 | PA      | $14716515.23   | 0.27%             | 2026-07-31      | Floating      | 0.00%                 | No            |                  3 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                            | CUSIP: 3133C04B5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1296425 | PA      | $1277211.10    | 0.02%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA II, 30 Year                                                         | CUSIP: 36179TSJ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     982671 | PA      | $961163.74     | 0.02%             | 2048-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 year                                                            | CUSIP: 3133C1P87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3491784 | PA      | $3572471.25    | 0.07%             | 2053-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140N9J64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2835952 | PA      | $2785470.86    | 0.05%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| US Auto Funding                                | US Auto Funding, Series 2021-1A, Class C                                 | CUSIP: 90355EAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2568047 | PA      | $2499875.28    | 0.05%             | 2026-05-15      | Fixed         | 2.20%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Gold Pool, 30 Year                                                 | CUSIP: 3132Y2M37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1686525 | PA      | $1595673.30    | 0.03%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                            | CUSIP: 3133CDUZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10142961 | PA      | $10350389.23   | 0.19%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140W0U52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   34721661 | PA      | $33703083.29   | 0.62%             | 2051-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                            | CUSIP: 3133KGJ90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1131824 | PA      | $1092336.27    | 0.02%             | 2049-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140XQVB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   20038947 | PA      | $19451094.14   | 0.36%             | 2051-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140XRAY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   83606324 | PA      | $83873396.46   | 1.54%             | 2054-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                        | FHLMC STACR REMIC Trust, Series 2024-DNA1, Class M2                      | CUSIP: 35564NBA0<br>LEI: 529900N6M839KA246662 | Long             | ABS-MBS          | CORP              | US        |    2617368 | PA      | $2628386.95    | 0.05%             | 2044-02-25      | Floating      | 6.30%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                            | CUSIP: 3133CEQL9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5305494 | PA      | $5413993.46    | 0.10%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities                  | Connecticut Avenue Securities, Series 2025-R01, Class 1M2                | CUSIP: 20755JAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7526000 | PA      | $7471104.04    | 0.14%             | 2045-01-25      | Floating      | 5.85%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3138WGR97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1430999 | PA      | $1272216.20    | 0.02%             | 2046-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                            | CUSIP: 3133C2KK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2290062 | PA      | $2248233.66    | 0.04%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140QCEU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     445561 | PA      | $398328.65     | 0.01%             | 2048-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Gracie Point International Funding LLC         | Gracie Point International Funding LLC, Series 2024-1A, Class B          | CUSIP: 38410KAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3007000 | PA      | $2978628.96    | 0.05%             | 2028-03-01      | Floating      | 6.52%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2007-18, Class FD                                           | CUSIP: 38375JC86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7677 | PA      | $7536.38       | 0.00%             | 2037-04-20      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140AUYM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6436146 | PA      | $6461343.54    | 0.12%             | 2054-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140MMPS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     487247 | PA      | $467537.78     | 0.01%             | 2052-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140QRFW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   33108276 | PA      | $31734225.05   | 0.58%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                            | CUSIP: 3133CG2E6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9493206 | PA      | $9773798.09    | 0.18%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Other                                                              | CUSIP: 3140FX3K6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   20761236 | PA      | $17089204.84   | 0.31%             | 2064-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140N9MH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1490231 | PA      | $1463358.01    | 0.03%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC STACR REMIC Trust, Series 2022-DNA2, Class M2                      | CUSIP: 35564KRN1<br>LEI: 5493000ISA3AUOXQEF68 | Long             | ABS-MBS          | CORP              | US        |   13840929 | PA      | $14343916.39   | 0.26%             | 2042-02-25      | Floating      | 8.10%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140XPLX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13247550 | PA      | $12491880.38   | 0.23%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140XR2W4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   33296515 | PA      | $33429720.72   | 0.61%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140MRCJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     202448 | PA      | $194227.55     | 0.00%             | 2052-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC, REMIC, Series 2469, Class FE                                      | CUSIP: 31392RC58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2705 | PA      | $2718.60       | 0.00%             | 2032-07-15      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140N5CW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15260786 | PA      | $14629796.97   | 0.27%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140XKJ50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   32118671 | PA      | $30863114.59   | 0.57%             | 2053-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | Freddie Mac Pool, 30 Year                                                | CUSIP: 3142GSRN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   19122897 | PA      | $19284438.88   | 0.35%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140XBWA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   24942012 | PA      | $23519264.42   | 0.43%             | 2050-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NRZ Excess Spread-Collateralized Notes         | NRZ Excess Spread-Collateralized Notes, Series 2021-FHT1, Class A        | CUSIP: 62955MAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1922903 | PA      | $1847055.11    | 0.03%             | 2026-07-25      | Fixed         | 3.10%                 | Yes           |                  2 | On Loan: No      |
| Vontive Mortgage Trust                         | Vontive Mortgage Trust, Series 2025-RTL1, Class A1                       | CUSIP: 928884AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   15444000 | PA      | $15566018.41   | 0.29%             | 2030-03-25      | Variable      | 6.51%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3138WJTF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     320516 | PA      | $284951.58     | 0.01%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA II, 30 Year                                                         | CUSIP: 36179TXV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     230963 | PA      | $218369.19     | 0.00%             | 2048-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2010-133, Class FD                                          | CUSIP: 38377MHV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      26844 | PA      | $26686.23      | 0.00%             | 2040-10-16      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust            | Connecticut Avenue Securities Trust, Series 2024-R06, Class 1M2          | CUSIP: 20755RAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4125699 | PA      | $4119864.30    | 0.08%             | 2044-09-25      | Floating      | 5.95%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                     | Freddie Mac Pool, 30 Year                                                | CUSIP: 3142GS5K0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   73044565 | PA      | $73650306.96   | 1.35%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140XQVK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15433360 | PA      | $15758205.95   | 0.29%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NRZ Excess Spread-Collateralized Notes         | NRZ Excess Spread-Collateralized Notes, Series 2020-PLS1, Class A        | CUSIP: 433674AA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     777671 | PA      | $764644.04     | 0.01%             | 2025-12-25      | Fixed         | 3.84%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                            | CUSIP: 3133BAFN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     658288 | PA      | $603389.38     | 0.01%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Linked Notes        | Santander Bank Auto Credit-Linked Notes, Series 2024-B, Class C          | CUSIP: 80280BAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5250000 | PA      | $5249343.22    | 0.10%             | 2033-01-18      | Fixed         | 5.14%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140K8U25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2334548 | PA      | $2073351.69    | 0.04%             | 2050-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2005-65, Class FA                                           | CUSIP: 38374LL25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      21068 | PA      | $20607.26      | 0.00%             | 2035-08-20      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                  | UMBS, Single Family, 30 Year                                             | CUSIP: 01F030652<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  742360354 | PA      | $643598217.22  | 11.84%            | 2055-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140XPGF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8342341 | PA      | $8517932.85    | 0.16%             | 2054-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, REMIC, Series 2012-126, Class SY                                   | CUSIP: 3136A9ZR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     473554 | PA      | $243867.35     | 0.00%             | 2042-11-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                            | CUSIP: 31329Q5T4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     160532 | PA      | $154931.66     | 0.00%             | 2049-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PRPM LLC                                       | PRPM LLC, Series 2024-RCF2, Class A1                                     | CUSIP: 693987AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2629238 | PA      | $2544284.20    | 0.05%             | 2054-03-25      | Variable      | 3.75%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140QUP59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   36735147 | PA      | $37716563.23   | 0.69%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                        | FHLMC STACR REMIC Trust, Series 2024-HQA1, Class M1                      | CUSIP: 35564NBX0<br>LEI: 529900PGKDI4ZEXFQ523 | Long             | ABS-MBS          | CORP              | US        |    9943027 | PA      | $9929547.26    | 0.18%             | 2044-03-25      | Floating      | 5.60%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                            | CUSIP: 3142GRU73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   38755967 | PA      | $38150226.25   | 0.70%             | 2054-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                            | CUSIP: 3131YDFA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     371717 | PA      | $350394.72     | 0.01%             | 2049-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                            | CUSIP: 3133C7HP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1108580 | PA      | $1120010.45    | 0.02%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Huntington Bank Auto Credit-Linked Notes       | Huntington Bank Auto Credit-Linked Notes, Series 2024-2, Class B1        | CUSIP: 44644NAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   19931941 | PA      | $20018882.56   | 0.37%             | 2032-10-20      | Fixed         | 5.44%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140QS3W9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   21024218 | PA      | $21218291.79   | 0.39%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 15 Year                                                            | CUSIP: 3131XC5X1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      63227 | PA      | $61106.62      | 0.00%             | 2032-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2023-116, Class LF                                          | CUSIP: 38384EFT7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5851957 | PA      | $5864361.18    | 0.11%             | 2053-08-20      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                            | CUSIP: 3132ADPD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     171931 | PA      | $162477.99     | 0.00%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                        | FHLMC STACR REMIC Trust, Series 2021-HQA3, Class M2                      | CUSIP: 35564KJP5<br>LEI: 5493000ISHRHX47NOH65 | Long             | ABS-MBS          | CORP              | US        |   26457865 | PA      | $26424792.67   | 0.49%             | 2041-09-25      | Floating      | 6.45%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 15 Year                                                            | CUSIP: 3140K1TP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      46906 | PA      | $44962.66      | 0.00%             | 2034-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                            | CUSIP: 31427MMR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   29412022 | PA      | $28185598.71   | 0.52%             | 2054-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140A1VD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2673270 | PA      | $2679065.17    | 0.05%             | 2053-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140A34Y6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2593502 | PA      | $2646540.63    | 0.05%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                            | CUSIP: 3140N9T97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9197402 | PA      | $9403499.56    | 0.17%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2004-69, Class CF                                           | CUSIP: 38374JAT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      29051 | PA      | $28718.87      | 0.00%             | 2034-07-20      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| Rithm Capital Corp.                            | Rithm Capital Corp.                                                      | CUSIP: 64828TAB8<br>LEI: 549300WNTHGEO5LP2G31 | Long             | DBT              | CORP              | US        |    9213000 | PA      | $9197975.44    | 0.17%             | 2029-04-01      | Fixed         | 8.00%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust            | Connecticut Avenue Securities Trust, Series 2023-R08, Class 1B1          | CUSIP: 20755CAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10982476 | PA      | $11342994.19   | 0.21%             | 2043-10-25      | Floating      | 7.90%                 | Yes           |                  2 | On Loan: No      |
| N/A                                            | U.S. Treasury 5 Year Notes                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       1725 | NC      | $704086.41     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| RAM LLC                                        | RAM LLC, Series 2024-1, Class A                                          | CUSIP: 751313AA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3961417 | PA      | $3980999.25    | 0.07%             | 2039-02-15      | Fixed         | 6.67%                 | Yes           |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-05-30

**Name of Applicant:** Janus Detroit Street Trust

**Signature:** Jesper Nergaard

**Name of Signer:** Jesper Nergaard

**Title:** VP, CFO, Treasurer, and Principal Accounting Officer