# EDGAR Filing Document

**Accession Number:** 0000806564
**File Stem:** 0001410368-25-011928
**Filing Date:** 2025-9
**Character Count:** 355457
**Document Hash:** f95b4c891c0157b7a2bc94c654727180
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001410368-25-011928.hdr.sgml**: 20250926

**ACCESSION NUMBER**: 0001410368-25-011928

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20250731

**FILED AS OF DATE**: 20250926

**DATE AS OF CHANGE**: 20250926

**PERIOD START**: 20251031

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** MORGAN STANLEY MORTGAGE SECURITIES TRUST
- **CENTRAL INDEX KEY:** 0000806564

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-04917
- **FILM NUMBER:** 251347395

**BUSINESS ADDRESS:**
- **STREET 1:** 1585 BROADWAY
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10036
- **BUSINESS PHONE:** 800-869-6397

**MAIL ADDRESS:**
- **STREET 1:** 1585 BROADWAY
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10036

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** MORGAN STANLEY FEDERAL SECURITIES TRUST
- **DATE OF NAME CHANGE:** 20010618

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** MORGAN STANLEY DEAN WITTER FEDERAL SECURITIES TRUST
- **DATE OF NAME CHANGE:** 19980622

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** WITTER DEAN FEDERAL SECURITIES TRUST
- **DATE OF NAME CHANGE:** 19930210

## Series and Classes Contracts Data

### Morgan Stanley Mortgage Securities Trust (Series ID: S000002467)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000006611 | A            | MTGAX           |
| C000006613 | L            | MTGCX           |
| C000006614 | I            | MTGDX           |
| C000155975 | Class C      | MSMTX           |
| C000198813 | Class R6     | MORGX           |

## Nport-Ex

**Morgan Stanley Mortgage Securities Trust**

**Portfolio of Investments ■ July 31, 2025 (unaudited)**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **PRINCIPAL<br> AMOUNT<br> (000)** |  | **COUPON<br> RATE** | **MATURITY<br> DATE** | **VALUE** |
|  | **Agency Adjustable Rate Mortgages (0.4%)** |  |  |  |
| $1586 | Federal Home Loan Mortgage Corporation Conventional Pools:<br> SOFR30A + 2.17% | &nbsp;&nbsp;&nbsp;&nbsp;6.123(a)% | 09/01/54 | $1601798 |
| 833 | Government National Mortgage Association Various Pools: | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.064(a) | 03/20/71 | 749647 |
|  | **Total Agency Adjustable Rate Mortgages** *(Cost $2,313,737)* |  |  | 2351445 |
|  | **Agency Fixed Rate Mortgages (32.4%)** |  |  |  |
|  | Federal Home Loan Mortgage Corporation, <br> Conventional Pools: |  |  |  |
| 1263 |  | 2.00 | 04/01/51 - 10/01/51 | 967259 |
| 1871 |  | 2.50 | 05/01/50 - 11/01/52 | 1498856 |
| 9999 |  | 3.00 | 04/01/50 - 12/01/51 | 8512301 |
| 53 |  | 3.50 | 08/01/49 | 47879 |
| 1731 |  | 4.00 | 07/01/49 - 11/01/52 | 1584809 |
| 1445 |  | 4.50 | 10/01/52 | 1358847 |
|  | &nbsp;&nbsp;&nbsp;Gold Pools: |  |  |  |
| 393 |  | 3.50 | 06/01/42 - 09/01/47 | 363924 |
| 227 |  | 4.00 | 12/01/41 - 10/01/44 | 216473 |
| 250 |  | 4.50 | 03/01/41 - 01/01/49 | 244317 |
| 41 |  | 5.00 | 12/01/40 - 05/01/41 | 41687 |
| 5 |  | 5.50 | 07/01/37 | 5275 |
| 8 |  | 6.00 | 12/01/37 | 8307 |
| 3 |  | 6.50 | 06/01/29 | 3518 |
| 13 |  | 7.50 | 05/01/35 | 13915 |
| 5 |  | 8.00 | 08/01/32 | 5302 |
| 9 |  | 8.50 | 08/01/31 | 9892 |
|  | Federal National Mortgage Association, <br> August TBA: |  |  |  |
| 5000 | &nbsp;&nbsp;&nbsp;(b) | 2.00 | 08/01/54 | 3910157 |
| 8000 | &nbsp;&nbsp;&nbsp;(b) | 2.50 | 08/01/54 | 6553750 |
| 20000 | &nbsp;&nbsp;&nbsp;(b) | 3.00 | 08/01/55 | 17117968 |
| 20000 | &nbsp;&nbsp;&nbsp;(b) | 4.50 | 08/01/54 | 18973438 |
| 13000 | &nbsp;&nbsp;&nbsp;(b) | 5.00 | 08/01/54 | 12653165 |
| 40000 | &nbsp;&nbsp;&nbsp;(b) | 5.50 | 08/01/54 | 39785938 |
| 10000 | &nbsp;&nbsp;&nbsp;(b) | 6.00 | 08/01/54 | 10138672 |
|  | &nbsp;&nbsp;&nbsp;Conventional Pools: |  |  |  |
| 1124 |  | 1.50 | 01/01/51 - 03/01/51 | 852561 |
| 9824 |  | 2.00 | 11/01/50 - 11/01/51 | 7504513 |
| 8214 |  | 2.50 | 02/01/50 - 02/01/52 | 6585014 |
| 2406 |  | 3.00 | 08/01/46 - 04/01/52 | 2040596 |
| 4559 |  | 3.50 | 09/01/42 - 10/01/52 | 4071390 |

---

**Morgan Stanley Mortgage Securities Trust**

**Portfolio of Investments ■ July 31, 2025 (unaudited)** *continued*

---

| | | | | |
|:---|:---|:---|:---|:---|
| **PRINCIPAL<br> AMOUNT<br> (000)** |  | **COUPON<br> RATE** | **MATURITY<br> DATE** | **VALUE** |
| $737 |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.00% | 04/01/45 - 09/01/48 | $693924 |
| 348 |  | 4.50 | 08/01/40 - 08/01/49 | 331694 |
| 58 |  | 5.00 | 12/01/40 - 07/01/41 | 59056 |
| 4 |  | 5.50 | 08/01/37 | 3829 |
| 4400 |  | 6.00 | 07/01/53 | 4480918 |
| 117 |  | 6.50 | 02/01/28 - 11/01/33 | 121207 |
| 8 |  | 7.00 | 10/01/30 - 06/01/32 | 8164 |
| 16 |  | 7.50 | 08/01/37 | 16490 |
| 15 |  | 8.00 | 04/01/33 | 15343 |
| 16 |  | 8.50 | 10/01/32 | 16576 |
|  | Government National Mortgage Association, <br> August TBA: |  |  |  |
| 5400 | &nbsp;&nbsp;&nbsp;(b) | 4.00 | 08/20/54 | 4973003 |
| 3700 | &nbsp;&nbsp;&nbsp;(b) | 5.00 | 08/20/54 | 3611744 |
| 6900 | &nbsp;&nbsp;&nbsp;(b) | 6.00 | 08/20/54 | 6995387 |
| 4000 | &nbsp;&nbsp;&nbsp;(b) | 6.50 | 08/20/54 | 4106043 |
|  | &nbsp;&nbsp;&nbsp;Various Pools: |  |  |  |
| 2191 |  | 2.50 | 03/20/50 - 04/20/51 | 1821369 |
| 986 |  | 3.00 | 09/20/49 - 08/20/50 | 847000 |
| 1622 |  | 3.50 | 05/20/43 - 10/20/50 | 1448497 |
| 851 |  | 4.00 | 07/15/44 - 11/20/51 | 782918 |
| 1323 |  | 4.50 | 12/20/48 - 08/20/54 | 1256103 |
| 3512 |  | 5.00 | 05/20/41 - 12/20/54 | 3435971 |
| 5204 |  | 5.50 | 08/20/54 - 12/20/54 | 5221166 |
| 835 |  | 6.00 | 08/20/52 - 08/20/54 | 851211 |
| 1360 |  | 6.50 | 11/20/52 - 08/20/54 | 1409162 |
| 2973 |  | 7.00 | 12/20/52 - 08/20/64 | 3059480 |
| 249 |  | 7.50 | 10/20/53 - 08/20/54 | 258754 |
| 1758 |  | 8.00 | 07/20/54 | 1788403 |
|  | **Total Agency Fixed Rate Mortgages** *(Cost $194,287,015)* |  |  | 192683135 |
|  | **Asset-Backed Securities (18.2%)** |  |  |  |
|  | ABFC Trust, |  |  |  |
| 217 | &nbsp;&nbsp;&nbsp;Class A1, 1 Month Term SOFR + 0.89% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.247(a) | 10/25/33 | 215622 |
| 182 | &nbsp;&nbsp;&nbsp;Class M1, 1 Month Term SOFR + 1.01% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.367(a) | 02/25/34 | 181829 |
| 109 | &nbsp;&nbsp;&nbsp;Class M5, 1 Month Term SOFR + 1.06% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.412(a) | 07/25/34 | 104325 |
| 1236 | ACE Securities Corp. Home Equity Loan Trust (c) | 0.00 | 11/25/29 | 909684 |
| 5800 | ACM Auto Trust, Class B (c) | 9.21 | 08/20/31 | 5974491 |
|  | Amortizing Residential Collateral Trust, |  |  |  |
| 408 | &nbsp;&nbsp;&nbsp;Class A, 1 Month Term SOFR + 0.40% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.074(a) | 10/25/31 | 401275 |
| 283 | &nbsp;&nbsp;&nbsp;Class A1, 1 Month Term SOFR + 0.87% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.227(a) | 10/25/32 | 262757 |

---

**Morgan Stanley Mortgage Securities Trust**

**Portfolio of Investments ■ July 31, 2025 (unaudited)** *continued*

---

| | | | | |
|:---|:---|:---|:---|:---|
| **PRINCIPAL<br> AMOUNT<br> (000)** |  | **COUPON<br> RATE** | **MATURITY<br> DATE** | **VALUE** |
|  | Bayview Financial Revolving Asset Trust, |  |  |  |
| $767 | &nbsp;&nbsp;&nbsp;Class A1, 1 Month Term SOFR + 1.11% (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.467(a)% | 12/28/40 | $822613 |
| 383 | &nbsp;&nbsp;&nbsp;Class M2, 1 Month Term SOFR + 3.61% (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7.967(a) | 12/28/40 | 1376339 |
| 18 | Bear Stearns Asset Backed Securities Trust, Class A3<br> 1 Month Term SOFR + 1.41% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.767(a) | 10/27/32 | 18404 |
| 1315 | Business Loan Express Business Loan Trust, Class A<br> 1 Month Term SOFR + 0.51% (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.865(a) | 10/20/40 | 1224158 |
| 1742 | Cascade MH Asset Trust, Class A (c) | 4.25 | 08/25/54 | 1687766 |
| 404 | Conseco Finance Corp., Class M1 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7.75(a) | 06/15/27 | 406236 |
|  | CoreVest American Finance Trust, Class XA, IO |  |  |  |
| 2233 | &nbsp;&nbsp;&nbsp;(c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.863(a) | 07/15/54 | 52562 |
| 482 | &nbsp;&nbsp;&nbsp;(c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.66 (a) | 08/15/53 | 5953 |
| 1576 | &nbsp;&nbsp;&nbsp;(c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.792(a) | 12/15/52 | 9001 |
| 461 | Countrywide Asset-Backed Certificates, Class M2<br> 1 Month Term SOFR + 2.29% (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.642(a) | 03/25/33 | 474186 |
| 5642 | CWHEQ Revolving Home Equity Loan Trust, Class 2A<br> 1 Month Term SOFR + 0.35% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.696(a) | 12/15/35 | 5450303 |
| 493 | Delta Funding Home Equity Loan Trust, Class A1A<br> 1 Month Term SOFR + 0.93% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.276(a) | 09/15/29 | 472240 |
|  | ECAF I Ltd., |  |  |  |
| 19 | &nbsp;&nbsp;&nbsp;Class A1 (Ireland) (c) | &nbsp;&nbsp;&nbsp;&nbsp;3.473 | 06/15/40 | 13877 |
| 325 | &nbsp;&nbsp;&nbsp;Class A2 (Cayman Islands) (c) | &nbsp;&nbsp;&nbsp;&nbsp;4.947 | 06/15/40 | 290724 |
| 132 | EquiFirst Mortgage Loan Trust, Class M7<br> 1 Month Term SOFR + 3.11% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7.467(a) | 10/25/34 | 123875 |
|  | European Residential Loan Securitisation 2019-NPL1 DAC, |  |  |  |
| 1211 | &nbsp;&nbsp;&nbsp;Class A, 1 Month EURIBOR + 3.25% (Ireland) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.154(a) | 07/24/54 | 1397730 |
| 1603 | &nbsp;&nbsp;&nbsp;Class C, 1 Month EURIBOR + 7.25% (Ireland) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9.154(a) | 07/24/54 | 1785951 |
| $239 | Falcon Aerospace Ltd., Class A (Cayman Islands) (c) | &nbsp;&nbsp;&nbsp;&nbsp;3.597 | 09/15/39 | 234407 |
| 6800 | Finance of America HECM Buyout, Class M4 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.00 (a) | 10/01/34 | 6197562 |
| 138 | Financial Asset Securities Corp. AAA Trust, Class A<br> 1 Month Term SOFR + 0.52% (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.879(a) | 02/27/35 | 134742 |
|  | FMC GMSR Issuer Trust, |  |  |  |
| 1200 | &nbsp;&nbsp;&nbsp;Class A (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.62 (a) | 07/25/26 | 1140750 |
| 2000 | &nbsp;&nbsp;&nbsp;Class A (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.45 (a) | 01/25/26 | 1948964 |
| 3525 | &nbsp;&nbsp;&nbsp;Class A (c) | 6.19 | 04/25/27 | 3533300 |
| 3800 | &nbsp;&nbsp;&nbsp;Class A (c) | &nbsp;&nbsp;&nbsp;&nbsp;6.559 | 09/25/29 | 3828371 |
| 3200 | &nbsp;&nbsp;&nbsp;Class A (c) | 7.90 | 07/25/27 | 3235167 |
| 1000 | &nbsp;&nbsp;&nbsp;Class B (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.36 (a) | 07/25/26 | 942250 |
| 2500 | &nbsp;&nbsp;&nbsp;Class B (c) | 10.07 | 07/25/27 | 2578430 |
| 794 | FortiFi, Class A (c) | 6.23 | 09/20/59 | 784917 |
| 463 | GAIA Aviation Ltd., Class A (Cayman Islands) (c) | &nbsp;&nbsp;&nbsp;&nbsp;3.967 | 12/15/44 | 447794 |

---

**Morgan Stanley Mortgage Securities Trust**

**Portfolio of Investments ■ July 31, 2025 (unaudited)** *continued*

---

| | | | | |
|:---|:---|:---|:---|:---|
| **PRINCIPAL<br> AMOUNT<br> (000)** |  | **COUPON<br> RATE** | **MATURITY<br> DATE** | **VALUE** |
|  | Harvest SBA Loan Trust, |  |  |  |
| $2084 | &nbsp;&nbsp;&nbsp;Class A, SOFR30A + 2.25% (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.684(a)% | 12/25/51 | $2099107 |
| 1513 | &nbsp;&nbsp;&nbsp;Class A, SOFR30A + 3.25% (c) | &nbsp;&nbsp;&nbsp;&nbsp;7.684(a) | 10/25/50 | 1541293 |
| 1252 | JOL Air Ltd., Class A (Cayman Islands) (c) | &nbsp;&nbsp;&nbsp;&nbsp;3.967 | 04/15/44 | 1240021 |
| 139 | Kestrel Aircraft Funding Ltd., Class A (c) | 4.25 | 12/15/38 | 137762 |
|  | Lehman ABS Manufactured Housing Contract Trust, |  |  |  |
| 1072 | &nbsp;&nbsp;&nbsp;Class A | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.00 (d) | 06/15/33 | 1054661 |
| 60 | &nbsp;&nbsp;&nbsp;Class B | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.63 (a) | 04/15/40 | 60225 |
| 5000 | Loandepot GMSR Trust, Class A<br> 1 Month Term SOFR + 2.85% (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7.19 (a) | 05/16/30 | 5012947 |
| 289 | LoanMe Trust Prime, Class B (c) | 6.00 | 09/15/34 | 288597 |
|  | LSF11 Boson Investments Sarl Compartment 2, |  |  |  |
| 2564 | &nbsp;&nbsp;&nbsp;Class A1, 3 Month EURIBOR + 2.00% (Spain) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.049(a) | 11/25/60 | 2835842 |
| $1516 | MASTR Asset Securitization Trust, Class M3<br> 1 Month Term SOFR + 3.26% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7.617(a) | 10/25/32 | 1459661 |
| 61 | Merrill Lynch Mortgage Investors Trust, Class B1<br> 1 Month Term SOFR + 2.81% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7.167(a) | 01/25/35 | 58731 |
| 235 | METAL LLC, Class A (c) | &nbsp;&nbsp;&nbsp;&nbsp;4.581 | 10/15/42 | 156062 |
| 1612 | NALP Business Loan Trust, Class A (c) | 6.49 | 12/27/49 | 1626636 |
| 179 | New Century Home Equity Loan Trust<br> 1 Month Term SOFR + 0.91% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.267(a) | 11/25/33 | 109612 |
|  | Newtek Small Business Loan Trust, Class A, |  |  |  |
| 756 | &nbsp;&nbsp;&nbsp;Daily U.S. Prime Rate - 0.70% (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.80 (a) | 10/25/49 | 762630 |
| 635 | &nbsp;&nbsp;&nbsp;Daily U.S. Prime Rate - 0.50% (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7.00 (a) | 07/25/50 | 642326 |
| 3783 | NRM FNT1 Excess LLC, Class A (c) | &nbsp;&nbsp;&nbsp;&nbsp;7.398 | 11/25/31 | 3828324 |
| 226 | NRZ Excess Spread-Collateralized Notes, Class A (c) | &nbsp;&nbsp;&nbsp;&nbsp;3.844 | 12/25/25 | 223869 |
| 475 | NRZ FHT Excess LLC, Class A (c) | &nbsp;&nbsp;&nbsp;&nbsp;4.212 | 11/25/25 | 471967 |
|  | Oakwood Mortgage Investors, Inc., |  |  |  |
| 15 | &nbsp;&nbsp;&nbsp;Class A1 | 7.72 | 04/15/30 | 15201 |
| 49 | &nbsp;&nbsp;&nbsp;Class A1 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7.84 (a) | 11/15/29 | 49282 |
| 849 | &nbsp;&nbsp;&nbsp;Class A4 | &nbsp;&nbsp;&nbsp;&nbsp;7.405(a) | 06/15/31 | 64136 |
| 1000 | Ocwen Loan Investment Trust, Class M3 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.00 (a) | 06/25/36 | 967032 |
| 751 | Palatino SPV, Class AR<br> 6 Month EURIBOR + 2.50% (Italy) | &nbsp;&nbsp;&nbsp;&nbsp;4.556 | 12/01/45 | 820156 |
| $2366 | Pioneer Aircraft Finance Ltd., Class B (c) | &nbsp;&nbsp;&nbsp;&nbsp;4.948 | 06/15/44 | 2249715 |
| 4131 | PMT FMSR Issuer Trust, Class A<br> 1 Month Term SOFR + 3.11% (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7.467(a) | 03/25/26 | 4157462 |
| 4000 | PNMAC GMSR Issuer Trust, Class A<br> 1 Month Term SOFR + 3.20% (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7.552(a) | 03/25/29 | 4017353 |
| 2959 | PRET LLC, Class A1 (c) | &nbsp;&nbsp;&nbsp;&nbsp;6.708 | 04/25/55 | 2980401 |
| 559 | Prosil Acquisition SA, Class A<br> 3 Month EURIBOR + 2.00% (Spain) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.026(a) | 10/31/39 | 533298 |

---

**Morgan Stanley Mortgage Securities Trust**

**Portfolio of Investments ■ July 31, 2025 (unaudited)** *continued*

---

| | | | | |
|:---|:---|:---|:---|:---|
| **PRINCIPAL<br> AMOUNT<br> (000)** |  | **COUPON<br> RATE** | **MATURITY<br> DATE** | **VALUE** |
| $321 | Quest Trust, Class M2<br> 1 Month Term SOFR + 3.86% (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8.217(a)% | 05/25/33 | $355453 |
| 1459 | Raptor Aircraft Finance I LLC, Class A (c) | &nbsp;&nbsp;&nbsp;&nbsp;4.213 | 08/23/44 | 1321831 |
| 1810 | RCO VIII Mortgage LLC, Class A1 (c) | &nbsp;&nbsp;&nbsp;&nbsp;6.435 | 05/25/30 | 1812866 |
| 117 | ReadyCap Lending Small Business Loan Trust, Class A<br> Daily U.S. Prime Rate - 0.50% (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7.00 (a) | 12/27/44 | 116544 |
| 2000 | Retained Vantage Data Centers Issuer LLC, Class A2B (c) | 5.25 | 09/15/48 | 1438309 |
| $4292 | Saluda Grade Alternative Mortgage Trust, Class A1 (c) | &nbsp;&nbsp;&nbsp;&nbsp;7.774 | 05/25/30 | 4283964 |
| 266 | Saxon Asset Securities Trust, Class M1<br> 1 Month Term SOFR + 1.24% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.592(a) | 12/25/32 | 248233 |
|  | Shenton Aircraft Investment Ltd., |  |  |  |
| 594 | &nbsp;&nbsp;&nbsp;Class A (c) | 4.75 | 10/15/42 | 574870 |
| 189 | &nbsp;&nbsp;&nbsp;Class B | 5.75 | 10/15/42 | 160138 |
|  | STAR Trust, |  |  |  |
| 2100 | &nbsp;&nbsp;&nbsp;Class D, 1 Month Term SOFR + 2.55% (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.892(a) | 05/17/39 | 2119920 |
| 1850 | &nbsp;&nbsp;&nbsp;Class D, 1 Month Term SOFR + 2.95% (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7.292(a) | 10/17/41 | 1867932 |
| 3500 | &nbsp;&nbsp;&nbsp;Class F, 1 Month Term SOFR + 4.50% (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8.842(a) | 05/17/39 | 3509295 |
| 181 | Start II Ltd., Class A (Bermuda) (c) | &nbsp;&nbsp;&nbsp;&nbsp;4.089 | 03/15/44 | 179550 |
| 195 | Terwin Mortgage Trust, Class M1<br> 1 Month Term SOFR + 0.94% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.292(a) | 03/25/35 | 191747 |
| 500 | Tricolor Auto Securitization Trust, Class E (c) | 8.35 | 04/15/31 | 515975 |
| 1500 | VINE Trust, Class E1 (c) | 4.75 | 12/17/40 | 1411200 |
|  | **Total Asset-Backed Securities** *(Cost $106,546,263)* |  |  | 108240691 |
|  | **Collateralized Mortgage Obligations - Agency Collateral Series (1.7%)** |  |  |  |
|  | Federal Home Loan Mortgage Corporation, IO REMIC |  |  |  |
| 323 | &nbsp;&nbsp;&nbsp;5.89% - SOFR30A | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.546(e) | 11/15/43 - 06/15/44 | 27392 |
| 104 |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.967(a) | 10/15/39 | 5491 |
| 187 |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.007(a) | 08/15/42 | 8719 |
| 126 |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.032(a) | 04/15/39 | 6896 |
| 51 |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.083(a) | 10/15/41 | 3057 |
| 347 |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.117(a) | 09/15/41 | 21012 |
| 388 |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.266(a) | 10/15/40 | 21746 |
| 21 |  | 5.00 | 08/15/41 | 4639 |
|  | &nbsp;&nbsp;&nbsp;IO REMIC PAC |  |  |  |
| 8094 |  | 2.00 | 10/25/50 | 1052901 |
|  | &nbsp;&nbsp;&nbsp;IO STRIPS |  |  |  |
| 27 |  | 7.00 | 06/15/30 | 2738 |
|  | &nbsp;&nbsp;&nbsp;REMIC |  |  |  |
| 56 | &nbsp;&nbsp;&nbsp;12.00% - 2.67 x 1 Month USD LIBOR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.191(e) | 12/15/43 | 39503 |
| 77 |  | 3.50 | 02/15/42 | 70738 |

---

**Morgan Stanley Mortgage Securities Trust**

**Portfolio of Investments ■ July 31, 2025 (unaudited)** *continued*

---

| | | | | |
|:---|:---|:---|:---|:---|
| **PRINCIPAL<br> AMOUNT<br> (000)** |  | **COUPON<br> RATE** | **MATURITY<br> DATE** | **VALUE** |
|  | Federal National Mortgage Association, <br> IO REMIC |  |  |  |
| $50 | &nbsp;&nbsp;&nbsp;5.54% - SOFR30A | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.186(e)% | 11/25/41 | $748 |
| 353 | &nbsp;&nbsp;&nbsp;5.94% - SOFR30A | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.586(e) | 06/25/42 | 35164 |
| 639 |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.75 (a) | 03/25/46 | 33517 |
| 127 |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.776(a) | 03/25/44 | 7668 |
| 23 | &nbsp;&nbsp;&nbsp;6.44% - SOFR30A | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.086(e) | 08/25/41 | 375 |
| 172 |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.177(a) | 10/25/39 | 9657 |
|  | &nbsp;&nbsp;&nbsp;IO STRIPS |  |  |  |
| 4 |  | 7.00 | 11/25/27 | 197 |
| 21 |  | 8.00 | 05/25/30 - 06/25/30 | 1999 |
|  | &nbsp;&nbsp;&nbsp;REMIC |  |  |  |
| 13 |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.00 (a) | 04/25/39 | 11070 |
| 553 |  | 2.00 | 07/25/50 | 324539 |
|  | &nbsp;&nbsp;&nbsp;REMIC PAC |  |  |  |
| 196 |  | 5.00 | 07/25/50 | 189744 |
|  | Government National Mortgage Association, IO REMIC |  |  |  |
| 95 |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.013(a) | 12/20/62 | 243 |
| 1622 |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.017(a) | 06/20/69 | 63732 |
| 44 |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.023(a) | 01/20/63 | 140 |
| 41 |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.058(a) | 09/20/62 | 370 |
| 1 |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.102(a) | 04/20/62 | 10 |
| 82 |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.102(a) | 08/20/61 | 1589 |
| 69 |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.216(a) | 10/20/62 | 2943 |
| 70 |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.227(a) | 05/20/63 | 1146 |
| 1 |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.268(a) | 10/20/61 | 59 |
| 16 |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.27 (a) | 05/20/61 | 814 |
| 17 |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.285(a) | 05/20/62 | 917 |
| 11 |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.286(a) | 05/20/62 | 580 |
| 98 |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.302(a) | 01/20/62 | 4 |
| 63 |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.331(a) | 12/20/67 | 1937 |
| 15 |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.334(a) | 04/20/61 | 966 |
| 47 |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.506(a) | 11/20/61 | 4730 |
| 8491 |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.588(a) | 05/20/72 | 456346 |
| 243 |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.747(a) | 08/20/58 | 2547 |
| 240 |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.833(a) | 06/20/66 | 9145 |
| 1629 |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.994(a) | 07/20/69 | 79925 |
| 1265 |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.046(a) | 11/20/69 | 71694 |
| 237 |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.063(a) | 08/20/63 | 3933 |
| 5842 |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.079(a) | 12/20/70 | 293367 |
| 91 |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.26 (a) | 04/20/62 | 1911 |
| 565 |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.264(a) | 06/20/63 | 23300 |

---

**Morgan Stanley Mortgage Securities Trust**

**Portfolio of Investments ■ July 31, 2025 (unaudited)** *continued*

---

| | | | | |
|:---|:---|:---|:---|:---|
| **PRINCIPAL<br> AMOUNT<br> (000)** |  | **COUPON<br> RATE** | **MATURITY<br> DATE** | **VALUE** |
| $—@ |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.316(a)% | 04/20/60 | $4 |
| 337 |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.34 (a) | 01/20/64 | 9271 |
| 3038 |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.374(a) | 02/20/68 | 103541 |
| 684 |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.487(a) | 05/20/64 | 16441 |
| 228 |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.506(a) | 05/20/60 | 13582 |
| 192 | &nbsp;&nbsp;&nbsp;5.89% - 1 Month Term SOFR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.535(e) | 08/20/42 | 19370 |
| 690 |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.544(a) | 05/20/64 | 24823 |
| 457 |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.551(a) | 10/20/64 | 10543 |
| 2635 |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.577(a) | 08/20/69 | 161828 |
| 672 |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.596(a) | 08/20/67 | 19555 |
| 570 |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.601(a) | 05/20/63 | 18929 |
| 249 |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.608(a) | 09/20/65 | 3432 |
| 655 |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.623(a) | 11/20/60 | 43712 |
| 10002 |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.633(a) | 07/20/66 | 314828 |
| 235 | &nbsp;&nbsp;&nbsp;5.99% - 1 Month Term SOFR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.635(e) | 04/20/41 - 08/20/42 | 23527 |
| 100 |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.639(a) | 04/20/60 | 8651 |
| 182 |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.65 (a) | 04/20/63 | 7533 |
| 443 |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.656(a) | 09/20/66 | 12923 |
| 128 |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.659(a) | 03/20/68 | 4503 |
| 236 | &nbsp;&nbsp;&nbsp;6.03% - 1 Month Term SOFR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.675(e) | 12/20/43 | 27735 |
| 1411 |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.754(a) | 11/20/64 | 76257 |
| 852 |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.77 (a) | 07/20/67 | 24302 |
| 10282 |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.808(a) | 06/20/65 | 348014 |
| 410 |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.812(a) | 10/20/66 | 11809 |
| 110 | &nbsp;&nbsp;&nbsp;6.19% - 1 Month Term SOFR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.835(e) | 09/20/43 | 4893 |
| 410 |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.877(a) | 06/20/67 | 11880 |
| 449 |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.885(a) | 04/20/67 | 13609 |
| 1729 |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.907(a) | 09/20/69 | 90459 |
| 1164 |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.924(a) | 01/20/66 | 33552 |
| 289 |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.928(a) | 09/20/65 | 10150 |
| 1205 |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.951(a) | 02/20/65 | 44292 |
| 1250 |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.952(a) | 07/20/67 | 68374 |
| 264 |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.975(a) | 04/20/65 | 9495 |
| 27 |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.993(a) | 08/20/63 | 890 |
| 6344 |  | 2.00 | 11/20/50 | 814959 |
| 781 |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.004(a) | 06/20/64 | 46763 |
| 89 | &nbsp;&nbsp;&nbsp;6.44% - 1 Month Term SOFR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.096(e) | 08/16/34 | 4141 |
| 3320 |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.155(a) | 12/20/66 | 191589 |
| 3675 |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.159(a) | 03/20/67 | 213850 |
| 8 |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.21 (a) | 02/20/63 | 344 |
| 3063 |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.237(a) | 05/20/67 | 114683 |
| 252 |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.284(a) | 03/20/67 | 10777 |
| 732 |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.284(a) | 06/20/67 | 38436 |

---

**Morgan Stanley Mortgage Securities Trust**

**Portfolio of Investments ■ July 31, 2025 (unaudited)** *continued*

---

| | | | | |
|:---|:---|:---|:---|:---|
| **PRINCIPAL<br> AMOUNT<br> (000)** |  | **COUPON<br> RATE** | **MATURITY<br> DATE** | **VALUE** |
| $866 |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.288(a)% | 01/20/68 | $53428 |
| 2267 |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.289(a) | 10/20/64 | 157070 |
| 345 |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.29 (a) | 08/20/67 | 15030 |
| 792 |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.301(a) | 11/20/67 | 25872 |
| 188 |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.315(a) | 02/20/68 | 7992 |
| 112 |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.321(a) | 07/20/65 | 6526 |
| 195 |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.325(a) | 01/20/67 | 7863 |
| 220 |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.331(a) | 01/20/68 | 9559 |
| 51 |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.332(a) | 10/20/60 | 4765 |
| 6147 |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.365(a) | 06/20/66 | 214478 |
| 745 |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.367(a) | 02/20/68 | 33381 |
| 4216 |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.375(a) | 02/20/68 | 185432 |
| 282 |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.377(a) | 07/20/65 | 14775 |
| 4 |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.426(a) | 07/20/63 | 410 |
| 10385 |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.426(a) | 10/20/69 | 385968 |
| 735 |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.485(a) | 10/20/67 | 18403 |
| 985 |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.497(a) | 02/20/68 | 36899 |
| 1669 |  | 2.50 | 11/20/51 | 240585 |
| 1235 |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.537(a) | 09/20/64 | 88944 |
| 51 |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.538(a) | 02/20/60 | 2973 |
| 690 |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.58 (a) | 10/20/67 | 33327 |
| 11252 |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.595(a) | 04/20/66 | 570935 |
| 1012 |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.609(a) | 11/20/67 | 60166 |
| 787 |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.646(a) | 10/20/67 | 42279 |
| 3697 |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.653(a) | 06/20/66 | 336633 |
| 19 |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.757(a) | 03/20/62 | 1659 |
| 7367 |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.773(a) | 08/20/66 | 327887 |
| 26 |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.813(a) | 05/20/62 | 3952 |
| 356 |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.874(a) | 10/20/66 | 17011 |
| 83 |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.094(a) | 04/20/62 | 11514 |
| 27 |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.224(a) | 02/20/63 | 3604 |
| 9346 |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.351(a) | 10/20/67 | 748871 |
| 903 |  | 3.50 | 10/16/42 - 05/20/43 | 151222 |
| 21 |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.622(a) | 09/20/60 | 3987 |
| 19 |  | 5.00 | 02/16/41 | 3748 |
|  | &nbsp;&nbsp;&nbsp;IO REMIC PAC |  |  |  |
| 30 |  | 3.50 | 06/20/41 | 797 |
| 15 |  | 4.50 | 05/20/40 | 579 |
| 8 |  | 5.00 | 10/20/40 | 337 |
|  | &nbsp;&nbsp;&nbsp;REMIC |  |  |  |
| 15 | &nbsp;&nbsp;&nbsp;1 Month Term SOFR + 0.56% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.887(a) | 02/20/61 | 14527 |
| 6 | &nbsp;&nbsp;&nbsp;1 Month Term SOFR + 0.81% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.137(a) | 08/20/63 | 6068 |
| 1 | &nbsp;&nbsp;&nbsp;1 Month Term SOFR + 0.88% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.207(a) | 02/20/66 | 722 |

---

**Morgan Stanley Mortgage Securities Trust**

**Portfolio of Investments ■ July 31, 2025 (unaudited)** *continued*

---

| | | | | |
|:---|:---|:---|:---|:---|
| **PRINCIPAL<br> AMOUNT<br> (000)** |  | **COUPON<br> RATE** | **MATURITY<br> DATE** | **VALUE** |
| $699 | Seasoned Credit Risk Transfer Trust | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.25% | 11/25/64 | $631254 |
|  | **Total Collateralized Mortgage Obligations - Agency Collateral Series** *(Cost $8,116,024)* |  |  | 10411539 |
|  | **Commercial Mortgage-Backed Securities (4.0%)** |  |  |  |
|  | Bayview Commercial Asset Trust, |  |  |  |
| 1053 | &nbsp;&nbsp;&nbsp;1 Month Term SOFR + 0.47% (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.827(a) | 07/25/37 | 998745 |
| 375 | &nbsp;&nbsp;&nbsp;1 Month Term SOFR + 0.56% (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.917(a) | 10/25/36 | 358769 |
| 1143 | &nbsp;&nbsp;&nbsp;1 Month Term SOFR + 0.58% (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.932(a) | 07/25/37 | 1077755 |
| 425 | &nbsp;&nbsp;&nbsp;1 Month Term SOFR + 0.65% (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.007(a) | 10/25/36 | 401674 |
| 651 | &nbsp;&nbsp;&nbsp;1 Month Term SOFR + 0.67% (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.022(a) | 10/25/36 | 612565 |
| 370 | &nbsp;&nbsp;&nbsp;1 Month Term SOFR + 0.77% (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.127(a) | 11/25/35 | 359662 |
| 524 | &nbsp;&nbsp;&nbsp;1 Month Term SOFR + 1.76% (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.117(a) | 11/25/35 | 590445 |
|  | BX Trust |  |  |  |
| 1800 | &nbsp;&nbsp;&nbsp;1 Month Term SOFR + 5.29% (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9.628(a) | 05/15/38 | 1827193 |
| 893 | &nbsp;&nbsp;&nbsp;IO | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.719(a) | 09/10/58 | 9 |
|  | Credit Suisse Mortgage Trust, |  |  |  |
| 816 | &nbsp;&nbsp;&nbsp;1 Month Term SOFR + 3.57% (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7.916(a) | 05/09/26 | 800208 |
| 4523 | &nbsp;&nbsp;&nbsp;1 Month Term SOFR + 3.83% (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8.171(a) | 08/15/26 | 4254499 |
|  | GS Mortgage Securities Trust, |  |  |  |
| 126 |  | &nbsp;&nbsp;&nbsp;&nbsp;3.345 | 07/10/48 | 120947 |
| 128 | &nbsp;&nbsp;&nbsp;IO | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.286(a) | 09/10/47 | 1 |
|  | Harvest Commercial Capital Loan Trust, |  |  |  |
| 1554 | &nbsp;&nbsp;&nbsp;(c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.964(a) | 04/25/52 | 1425553 |
| 1913 |  | &nbsp;&nbsp;&nbsp;&nbsp;6.164 | 10/25/56 | 1934421 |
| 1380 | &nbsp;&nbsp;&nbsp;(c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.337(a) | 09/25/46 | 1317635 |
| 1404 | JP Morgan Chase Commercial Mortgage Securities Trust, IO | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.567(a) | 12/15/49 | 6673 |
| 274 | KGS-Alpha SBA COOF Trust, IO (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.841(a) | 08/25/38 | 3933 |
| 1000 | Natixis Commercial Mortgage Securities Trust (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.135(a) | 05/15/39 | 905888 |
| 7290 | Real Estate Asset Liquidity Trust, IO (Canada) (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.112(a) | 02/12/55 | 178883 |
| $506 | Sutherland Commercial Mortgage Trust (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.23 (a) | 12/25/41 | 439489 |
| 8189 | UBS Commercial Mortgage Trust, IO | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.909(a) | 03/15/51 | 158923 |
| 4445 | VCC Trust (c) | &nbsp;&nbsp;&nbsp;&nbsp;8.163 | 05/25/55 | 4452990 |
| 1519 | Velocity Commercial Capital Loan Trust (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.57 (a) | 05/25/51 | 1146473 |
| 625 | Waterfall Commercial Mortgage Trust (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.104(a) | 09/14/22 | 615310 |
|  | **Total Commercial Mortgage-Backed Securities** *(Cost $23,563,954)* |  |  | 23988643 |
|  | **Corporate Bonds (2.1%)** |  |  |  |
|  | Finance (2.1%) |  |  |  |
| 350 | DP Facilities Data Center Subordinated Pass-Through Trust (c) | 0.00 | 11/10/28 | 94500 |

---

**Morgan Stanley Mortgage Securities Trust**

**Portfolio of Investments ■ July 31, 2025 (unaudited)** *continued*

---

| | | | | |
|:---|:---|:---|:---|:---|
| **PRINCIPAL<br> AMOUNT<br> (000)** |  | **COUPON<br> RATE** | **MATURITY<br> DATE** | **VALUE** |
| 18996 | Nykredit Realkredit AS (Denmark) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.00% | 10/01/46 | $2924812 |
| 35000 | Nykredit Realkredit AS (Denmark) | 4.00 | 10/01/56 | 5286422 |
| 25767 | Realkredit Danmark AS (Denmark) | 4.00 | 10/01/56 | 3903394 |
|  | **Total Corporate Bonds** *(Cost $12,327,158)* |  |  | 12209128 |
|  | **Mortgages - Other (40.3%)** |  |  |  |
| $1563 | A&D Mortgage Trust, Class A1 (c) | &nbsp;&nbsp;&nbsp; 7.049 | 11/25/68 | 1584670 |
| 3325 | ABFS Mortgage Loan Trust | 0.00 | 04/25/34 | 402920 |
| 57 | Adjustable Rate Mortgage Trust | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.046(a) | 04/25/35 | 54050 |
| 252 | Alba 2005-1 PLC<br> 3 Month GBP SONIA + 0.72% (United Kingdom) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.957(a) | 11/25/42 | 325226 |
|  | ATLX Trust |  |  |  |
| $1700 | &nbsp;&nbsp;&nbsp;(c) | 3.85 | 04/25/63 | 1585952 |
| 3000 | &nbsp;&nbsp;&nbsp; (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.34 (a) | 04/25/64 | 2857105 |
| 200 | Banna RMBS DAC<br> 3 Month GBP SONIA + 2.10% (United Kingdom) | &nbsp;&nbsp;&nbsp; 6.339 | 12/30/63 | 265306 |
|  | Bear Stearns Asset Backed Securities Trust |  |  |  |
| $1348 | &nbsp;&nbsp;&nbsp;1 Month Term SOFR + 3.79% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8.142(a) | 08/25/43 | 1550724 |
| 413 | &nbsp;&nbsp;&nbsp;25.26% - 3.29 x 1 Month USD LIBOR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10.959(e) | 03/25/36 | 124544 |
|  | Boston Lending Trust |  |  |  |
| 2556 | &nbsp;&nbsp;&nbsp; (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.00 (a) | 07/25/61 | 2164549 |
| 4053 | &nbsp;&nbsp;&nbsp; (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.25 (a) | 05/25/62 | 3801616 |
|  | Brean Asset Backed Securities Trust |  |  |  |
| 5181 | &nbsp;&nbsp;&nbsp;(c) | 4.00 | 09/25/63 | 4805919 |
| 1609 | &nbsp;&nbsp;&nbsp;(c) | 4.50 | 05/25/64 | 1570442 |
|  | Cascade Funding Mortgage Trust |  |  |  |
| 1071 | &nbsp;&nbsp;&nbsp;(c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.00 (a) | 02/25/52 | 993856 |
| 15000 | &nbsp;&nbsp;&nbsp; (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.00 (a) | 05/25/34 - 03/25/35 | 13440825 |
| 2850 | &nbsp;&nbsp;&nbsp; (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.25 (a) | 11/25/35 - 09/25/37 | 2722699 |
| 16161 | &nbsp;&nbsp;&nbsp; (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.00 (a) | 08/25/34 - 05/25/55 | 13060514 |
| 5400 | &nbsp;&nbsp;&nbsp; (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.25 (a) | 04/25/33 | 5138975 |
| 1876 | &nbsp;&nbsp;&nbsp;(c) | &nbsp;&nbsp;&nbsp; 6.405 | 11/25/29 | 1883418 |
| 71 | Cendant Mortgage Corp. (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.00 (a) | 07/25/43 | 71244 |
|  | Champs Trust |  |  |  |
| 4653 | &nbsp;&nbsp;&nbsp;(c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8.177(a) | 04/25/60 | 4847727 |
| 2538 | &nbsp;&nbsp;&nbsp;(c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8.293(a) | 01/25/60 | 2634524 |
| 1057 | &nbsp;&nbsp;&nbsp;(c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8.72 (a) | 07/25/59 | 1094157 |
| 2153 | &nbsp;&nbsp;&nbsp;(c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9.251(a) | 11/25/59 | 2242645 |
|  | CHL Mortgage Pass-Through Trust |  |  |  |
| 67 |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.203(a) | 05/20/34 | 62029 |
| 166 |  | 5.50 | 10/25/34 | 165278 |
| 59 |  | 6.00 | 12/25/36 | 32429 |

---

**Morgan Stanley Mortgage Securities Trust**

**Portfolio of Investments ■ July 31, 2025 (unaudited)** *continued*

---

| | | | | |
|:---|:---|:---|:---|:---|
| **PRINCIPAL<br> AMOUNT<br> (000)** |  | **COUPON<br> RATE** | **MATURITY<br> DATE** | **VALUE** |
| $119 |  | &nbsp;&nbsp;&nbsp;&nbsp;6.893(a)% | 10/25/33 | $115861 |
| 82 | Citigroup Mortgage Loan Trust, Inc. |  |  |  |
|  | &nbsp;&nbsp;&nbsp;1 Year CMT + 2.40% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.31 (a) | 11/25/35 | 81593 |
|  | Countrywide Alternative Loan Trust |  |  |  |
| 30 |  | 5.50 | 01/25/36 | 16490 |
| 91 |  | 5.75 | 03/25/34 | 92053 |
| 70 | &nbsp;&nbsp;&nbsp;40.02% - 6 x 1 Month USD LIBOR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;13.22 (e) | 05/25/37 | 64325 |
| 38 | Countrywide Reperforming Loan REMIC Trust, REMIC (c) | 8.50 | 06/25/35 | 37628 |
|  | Credit Suisse First Boston Mortgage Securities Corp. |  |  |  |
| 1020 | &nbsp;&nbsp;&nbsp;(c) | 0.00 | 12/29/31 | 865986 |
| 178 |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.926(a) | 05/25/34 | 168647 |
| 470 |  | 6.50 | 11/25/35 | 87950 |
| 220 | &nbsp;&nbsp;&nbsp;1 Month Term SOFR + 3.41% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7.767(a) | 02/25/32 | 210974 |
| 8634 | Ellington Financial Mortgage Trust (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.00 (a) | 07/25/54 - 05/25/55 | 8291764 |
|  | E-Mac DE BV |  |  |  |
| 1500 | &nbsp;&nbsp;&nbsp;3 Month EURIBOR + 1.40% (Germany) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7.299(a) | 11/25/54 | 980999 |
| 79 | &nbsp;&nbsp;&nbsp;3 Month EURIBOR + 0.50% (Germany) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10.179(a) | 05/25/52 | 90237 |
|  | E-MAC NL BV |  |  |  |
| 98 | &nbsp;&nbsp;&nbsp;3 Month EURIBOR + 0.18% (Netherlands) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.199(a) | 07/25/36 | 109584 |
| 55 | &nbsp;&nbsp;&nbsp;3 Month EURIBOR + 0.23% (Netherlands) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.439(a) | 04/25/38 | 57379 |
|  | E-MAC Program BV |  |  |  |
| 134 | &nbsp;&nbsp;&nbsp;3 Month EURIBOR + 2.00% (Netherlands) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.458(a) | 01/25/48 | 144357 |
| 86 | &nbsp;&nbsp;&nbsp;3 Month EURIBOR + 2.00% (Netherlands) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.189(a) | 04/25/48 | 92729 |
| 1522 | &nbsp;&nbsp;&nbsp;3 Month EURIBOR + 0.32% (Netherlands) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.189(a) | 07/25/46 | 1423055 |
|  | EMF-NL Prime BV |  |  |  |
| 33 | &nbsp;&nbsp;&nbsp;3 Month EURIBOR + 0.80% (Netherlands) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.842(a) | 04/17/41 | 37500 |
| 200 | &nbsp;&nbsp;&nbsp;3 Month EURIBOR + 0.85% (Netherlands) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.892(a) | 04/17/41 | 217954 |
|  | Eurohome Italy Mortgages Srl, Class A, |  |  |  |
| 2647 | &nbsp;&nbsp;&nbsp;3 Month EURIBOR + 0.60% (Italy) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.776(a) | 11/02/54 | 2856698 |
|  | Eurohome Mortgages PLC |  |  |  |
| 134 | &nbsp;&nbsp;&nbsp;3 Month EURIBOR + 0.21% (Ireland) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.386(a) | 08/02/50 | 145293 |
|  | Eurosail-NL BV |  |  |  |
| 500 | &nbsp;&nbsp;&nbsp;3 Month EURIBOR + 1.10% (Netherlands) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.363(a) | 04/17/40 | 566355 |
| 263 | &nbsp;&nbsp;&nbsp;3 Month EURIBOR + 1.80% (Netherlands) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.842(a) | 10/17/40 | 299993 |
| 500 | &nbsp;&nbsp;&nbsp;3 Month EURIBOR + 2.20% (Netherlands) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.242(a) | 10/17/40 | 572048 |
|  | Federal Home Loan Mortgage Corporation, Whole Loan Securities Trust |  |  |  |
| $4096 |  | 2.50 | 02/01/52 - 04/01/52 | 3274690 |
| 1825 |  | 3.00 | 09/25/45 - 05/25/47 | 1550124 |

---

**Morgan Stanley Mortgage Securities Trust**

**Portfolio of Investments ■ July 31, 2025 (unaudited)** *continued*

---

| | | | | |
|:---|:---|:---|:---|:---|
| **PRINCIPAL<br> AMOUNT<br> (000)** |  | **COUPON<br> RATE** | **MATURITY<br> DATE** | **VALUE** |
| $745 |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.50% | 05/25/45 - 05/25/47 | $651392 |
| 2534 | Finance of America Structured Securities Trust (c) | 3.50 | 11/25/74 | 2430435 |
| 101 | Flagstar Mortgage Trust, Class A3 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.00 (a) | 03/25/50 | 79422 |
| 495 | Galton Funding Mortgage Trust (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.00 (a) | 02/25/59 | 471849 |
| 390 | Great Hall Mortgages No. 1 PLC<br> 3 Month EURIBOR + 0.22% (United Kingdom) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.221(a) | 03/18/39 | 440397 |
| $167 | GSAA Trust | 6.00 | 04/01/34 | 166558 |
|  | GSR Mortgage Loan Trust |  |  |  |
| 36 | &nbsp;&nbsp;&nbsp;1 Month Term SOFR + 0.36% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.717(a) | 03/25/35 | 21990 |
| 10 |  | 5.00 | 02/25/34 | 9644 |
| 2 |  | 5.50 | 11/25/35 | 2084 |
| 3 | &nbsp;&nbsp;&nbsp;1 Year CMT + 1.75% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.88 (a) | 03/25/33 | 2877 |
| 217 |  | 6.00 | 09/25/35 | 218150 |
| 1500 | ICAP Trust, Class A1 (c) | &nbsp;&nbsp;&nbsp;&nbsp;6.472 | 07/25/30 | 1503171 |
|  | Impac CMB Trust |  |  |  |
| 976 | &nbsp;&nbsp;&nbsp;1 Month Term SOFR + 0.63% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.987(a) | 11/25/35 | 884375 |
| 21 | &nbsp;&nbsp;&nbsp;1 Month Term SOFR + 0.91% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.262(a) | 10/25/34 | 20864 |
| 286 | IMS Ecuadorian Mortgage Trust (c) | 3.40 | 08/18/43 | 277332 |
| 14 | IndyMac INDX Mortgage Loan Trust | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.87 (a) | 11/25/34 | 13788 |
|  | JP Morgan Mortgage Trust |  |  |  |
| 80 | &nbsp;&nbsp;&nbsp;(c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.00 (a) | 10/25/50 | 63429 |
| 39 |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.071(a) | 12/25/34 | 35022 |
| 59 | &nbsp;&nbsp;&nbsp;(c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.078(a) | 07/27/37 | 55009 |
| 400 | Lansdowne Mortgage Securities No. 1 PLC<br> 3 Month EURIBOR + 0.30% (Ireland) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.275(a) | 06/15/45 | 449148 |
|  | LHOME Mortgage Trust |  |  |  |
| $1500 | &nbsp;&nbsp;&nbsp;(c) | &nbsp;&nbsp;&nbsp;&nbsp;7.628 | 11/25/28 | 1514569 |
| 2375 | &nbsp;&nbsp;&nbsp; (c) | 8.00 | 06/25/28 - 08/25/28 | 2388886 |
| 2700 | Loandepot GMSR Master Trust, Class A, <br> 1 Month TERM SOFR + 3.15% (c) | 3.15 | 07/16/30 | 2713482 |
| 348 | Mansard Mortgages PLC<br> 3 Month GBP SONIA + 0.72% (United Kingdom) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.958(a) | 10/15/48 | 447022 |
| $172 | MASTR Adjustable Rate Mortgages Trust | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.55 (a) | 06/25/34 | 162469 |
| 112 | MASTR Alternative Loan Trust | 5.00 | 05/25/18 | 101379 |
| 1 | MASTR Asset Securitization Trust | 5.50 | 10/25/25 | 856 |
| 92 | MASTR Reperforming Loan Trust (c) | 7.50 | 05/25/35 | 66319 |
| 271 | MERIT Securities Corp.<br> 1 Month USD LIBOR + 2.25% (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7.21 (a) | 09/28/32 | 260919 |
|  | Merrill Lynch Mortgage Investors Trust |  |  |  |
| 7 |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.034(a) | 01/25/37 | 6491 |
| 7 | &nbsp;&nbsp;&nbsp;6 Month Term SOFR + 0.93% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.133(a) | 04/25/29 | 6496 |
| 50 | Morgan Stanley Mortgage Loan Trust (f) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.566(a) | 02/25/34 | 49189 |

---

**Morgan Stanley Mortgage Securities Trust**

**Portfolio of Investments ■ July 31, 2025 (unaudited)** *continued*

---

| | | | | |
|:---|:---|:---|:---|:---|
| **PRINCIPAL<br> AMOUNT<br> (000)** |  | **COUPON<br> RATE** | **MATURITY<br> DATE** | **VALUE** |
| $54 | National City Mortgage Capital Trust | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.00% | 03/25/38 | $51708 |
| 333 | Newgate Funding PLC<br> 3 Month GBP SONIA + 3.12% (United Kingdom) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7.358(a) | 12/15/50 | 433302 |
| $5359 | NRM FHT1 Excess Owner LLC, Class A (c) | &nbsp;&nbsp;&nbsp;&nbsp;6.545 | 03/25/32 | 5395845 |
| 7500 | Ocwen Loan Investment Trust (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.00 (a) | 06/25/36 - 02/25/37 | 7108317 |
| 5000 | Onity Loan Investment Trust (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.00 (a) | 08/25/37 | 4678612 |
| 1776 | Onslow Bay Financial LLC, Class A1 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.00 (a) | 01/25/52 | 1498471 |
| 845 | PRET LLC (c) | &nbsp;&nbsp;&nbsp;&nbsp;4.843 | 09/25/51 | 843645 |
| 695 | Prime Mortgage Trust, Class M3, <br> 1 Month Term SOFR + 0.83% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.187(a) | 02/25/35 | 609845 |
| 2117 | PRKCM 2023-AFC1 Trust, Class A1 (c) | &nbsp;&nbsp;&nbsp;&nbsp;6.598 | 02/25/58 | 2123203 |
| 1398 | PRKCM 2023-AFC4 Trust, Class A1 (c) | &nbsp;&nbsp;&nbsp;&nbsp;7.225 | 11/25/58 | 1420616 |
| 4000 | PRPM Fundido DAC<br> 3 Month EURIBOR + 2.00% (Spain) (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.181(a) | 04/29/75 | 4390413 |
|  | PRPM LLC |  |  |  |
| $1019 | &nbsp;&nbsp;&nbsp;(c) | 3.75 | 03/25/54 | 959164 |
| 2000 | &nbsp;&nbsp;&nbsp;(c) | 4.00 | 05/25/54 | 1813435 |
| 755 | &nbsp;&nbsp;&nbsp;(c) | 4.40 | 04/25/67 | 753880 |
| 1909 | &nbsp;&nbsp;&nbsp;(c) | &nbsp;&nbsp;&nbsp;&nbsp;6.469 | 05/25/30 | 1912607 |
| 1671 | Rain City Mortgage Trust (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.53 (a) | 11/25/29 | 1670168 |
| 2721 | Rate Mortgage Trust, Class A1 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.00 (a) | 12/25/54 | 2739708 |
| 34 | RBSSP Resecuritization Trust (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;93.305(a) | 09/26/37 | 250974 |
| 83 | RCKT Mortgage Trust, Class A1 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.50 (a) | 06/25/54 | 85105 |
| 3589 | Redwood Funding Trust, Class A (c) | 7.50 | 07/25/59 | 3614781 |
| 13204 | Residential Asset Securitization Trust, IO | 0.50 | 04/25/37 | 261762 |
| 253 | Resloc UK PLC<br> 3 Month EURIBOR + 0.45% (United Kingdom) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.425(a) | 12/15/43 | 272672 |
| $1663 | RiverView HECM Trust<br> 1 Month Term SOFR + 0.38% | &nbsp;&nbsp;&nbsp;&nbsp;4.737 | 05/25/47 | 1451224 |
|  | RMF Buyout Issuance Trust |  |  |  |
| 500 | &nbsp;&nbsp;&nbsp;(c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.147(a) | 11/25/31 | 482683 |
| 2000 | &nbsp;&nbsp;&nbsp;(c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.69 (a) | 11/25/31 | 1891228 |
| 1500 | &nbsp;&nbsp;&nbsp;(c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.50 (a) | 04/25/32 | 1287872 |
| 5250 | &nbsp;&nbsp;&nbsp;(c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.704(a) | 11/25/31 | 4939847 |
| 1200 | &nbsp;&nbsp;&nbsp;(c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.75 (a) | 10/25/50 | 1056081 |
| 13643 | &nbsp;&nbsp;&nbsp; (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.00 (a) | 11/25/31 - 10/25/50 | 11391771 |
|  | RMF Proprietary Issuance Trust |  |  |  |
| 1083 | &nbsp;&nbsp;&nbsp;(c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.125(a) | 09/25/61 | 952731 |
| 3771 | &nbsp;&nbsp;&nbsp;(c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.75 (a) | 10/25/63 | 3589839 |
| 2173 | &nbsp;&nbsp;&nbsp;(c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.00 (a) | 01/25/62 | 2005249 |
| 2237 | &nbsp;&nbsp;&nbsp; (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.25 (a) | 04/26/60 | 2048334 |
| 4250 | &nbsp;&nbsp;&nbsp; (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.75 (a) | 06/25/62 | 3778726 |
| 2150 | &nbsp;&nbsp;&nbsp;(c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.00 (a) | 08/25/62 | 2078355 |

---

**Morgan Stanley Mortgage Securities Trust**

**Portfolio of Investments ■ July 31, 2025 (unaudited)** *continued*

---

| | | | | |
|:---|:---|:---|:---|:---|
| **PRINCIPAL<br> AMOUNT<br> (000)** |  | **COUPON<br> RATE** | **MATURITY<br> DATE** | **VALUE** |
|  | Saluda Grade Alternative Mortgage Trust |  |  |  |
| $2139 | &nbsp;&nbsp;&nbsp;(c) | 7.118% | 01/25/30 | $2140117 |
| 4700 | &nbsp;&nbsp;&nbsp; (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7.50 (a) | 02/25/30 - 05/25/50 | 4753979 |
|  | Seasoned Credit Risk Transfer Trust |  |  |  |
| 18979 |  | 3.00 | 09/25/55 - 11/25/63 | 16164053 |
| 2067 |  | 3.25 | 07/25/56 - 06/25/57 | 1813564 |
| 2281 |  | 3.50 | 07/25/58 - 05/25/64 | 1973566 |
| 1948 |  | 4.00 | 03/25/58 - 02/25/59 | 1814716 |
| 1200 | &nbsp;&nbsp;&nbsp;(c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.25 (a) | 05/25/60 | 1142431 |
| 4471 | &nbsp;&nbsp;&nbsp; (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.50 (a) | 06/25/57 - 02/25/59 | 4227694 |
| 11081 | &nbsp;&nbsp;&nbsp; (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.75 (a) | 07/25/58 - 10/25/58 | 10760312 |
| 52 | Sequoia Mortgage Trust<br> 1 Month Term SOFR + 0.89% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.245(a) | 01/20/36 | 37651 |
| 135 | Structured Adjustable Rate Mortgage Loan Trust<br> 1 Month Term SOFR + 0.35% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.707(a) | 03/25/35 | 122469 |
| 63 | Structured Asset Mortgage Investments II Trust<br> 1 Month Term SOFR + 0.57% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.927(a) | 05/25/45 | 56395 |
| 43 | Structured Asset Securities Corp. Mortgage Pass-Through Certificates | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7.411(a) | 11/25/30 | 41904 |
| 7612 | Su Casita, Class A, <br> 1 Month Term SOFR + 0.34% (Mexico) (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.697(a) | 08/26/35 | 6241482 |
| 739 | TDA 19-Mixto FTA<br> 3 Month EURIBOR + 3.50% (Spain) | &nbsp;&nbsp;&nbsp;&nbsp;5.536 | 03/22/36 | 847551 |
| 357 | TDA 27 FTA<br> 3 Month EURIBOR + 0.19% (Spain) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.17 (a) | 12/28/50 | 375010 |
| $108 | TIAA Bank Mortgage Loan Trust (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.00 (a) | 11/25/48 | 100958 |
| 155 | WaMu Mortgage-Backed Pass-Through Certificates | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.371(a) | 12/19/39 | 154198 |
|  | **Total Mortgages - Other** *(Cost $229,168,586)*** |  |  | 240060845 |
|  | **Short-Term Investments (22.0%)** |  |  |  |
|  | *Commercial Paper (2.1%)* |  |  |  |
| 3000 | &nbsp;&nbsp;&nbsp;Banco Santander SA (Spain) (c)(g) | &nbsp;&nbsp;&nbsp;&nbsp;4.525 | 01/14/26 | 2940932 |
| 5000 | &nbsp;&nbsp;&nbsp;Brookfield Corporate Treasury Ltd. (Canada) (c)(g) | &nbsp;&nbsp;&nbsp;&nbsp;5.028 | 09/29/25 | 4959916 |
| 2000 | &nbsp;&nbsp;&nbsp;Danske Bank AS (Denmark) (c)(g) | &nbsp;&nbsp;&nbsp;&nbsp;4.633 | 01/09/26 | 1960913 |
| 3000 | &nbsp;&nbsp;&nbsp;HSBC USA, Inc. (c)(g) | &nbsp;&nbsp;&nbsp;&nbsp;4.858 | 01/27/26 | 2933250 |
|  | **Total Commercial Paper** *(Cost $12,793,686)* |  |  | 12795011 |
|  | U.S. Treasury Securities (18.4%) |  |  |  |
|  | U.S. Treasury Bill, |  |  |  |
| 25000 | &nbsp;&nbsp;&nbsp;(h) | &nbsp;&nbsp;&nbsp;&nbsp;4.183 | 10/30/25 | 24735344 |
| 10000 | &nbsp;&nbsp;&nbsp;(h) | &nbsp;&nbsp;&nbsp;&nbsp;4.194 | 10/23/25 | 9902331 |
| 10000 | &nbsp;&nbsp;&nbsp;(h) | &nbsp;&nbsp;&nbsp;&nbsp;4.216 | 12/26/25 | 9829664 |
| 10000 | &nbsp;&nbsp;&nbsp;(h) | &nbsp;&nbsp;&nbsp;&nbsp;4.252 | 8/26/25 | 9970187 |

---

**Morgan Stanley Mortgage Securities Trust**

**Portfolio of Investments ■ July 31, 2025 (unaudited)** *continued*

---

| | | | | |
|:---|:---|:---|:---|:---|
| **PRINCIPAL<br> AMOUNT<br> (000)** |  | **COUPON<br> RATE** | **MATURITY<br> DATE** | **VALUE** |
| $20000 | &nbsp;&nbsp;&nbsp;(h)(i) | &nbsp;&nbsp;&nbsp;&nbsp;4.283% | 11/20/25 | $19741690 |
| 5000 | &nbsp;&nbsp;&nbsp;(h) | 4.293 | 1/2/26 | 4911655 |
| 3000 | &nbsp;&nbsp;&nbsp;(h)(i) | 4.303 | 11/20/25 | 2961253 |
| 15000 | &nbsp;&nbsp;&nbsp;(h)(i) | 4.309 | 11/20/25 | 14806267 |
| 5000 | &nbsp;&nbsp;&nbsp;(h) | 4.315 | 11/28/25 | 4930457 |
| 2434 | &nbsp;&nbsp;&nbsp;(h) | 4.317 | 8/5/25 | 2432834 |
| 5000 | &nbsp;&nbsp;&nbsp;(h) | 4.363 | 8/21/25 | 4988081 |
|  | **Total U.S. Treasury Securities** *(Cost $109,239,315)* |  |  | 109209763 |

---

---

| | | | |
|:---|:---|:---|:---|
| **Number of<br> Shares<br> (000)** |  | | |
|  | Investment Company (1.5%) |  |  |
| 8706 | Morgan Stanley Institutional Liquidity Funds — Government Portfolio — Institutional Class, 4.23% (j)<br> *(Cost $8,705,558)* |  | 8705558 |
|  | **Total Short-Term Investments** (*Cost $130,738,559*) |  | 130710332 |
|  | **Total Investments** *(Cost $707,061,296)* (k)(l) | 121.1% | 720655758 |
|  | **Liabilities in excess of Other Assets** | (21.1) | (125520203) |
|  | **Net Assets** | 100.0% | $595135555 |

---

---

| | |
|:---|:---|
| *CMT* | *Constant Maturity Treasury Note Rate.* |
| *DAC* | *Designated Activity Company.* |
| *EURIBOR* | *Euro Interbank Offered Rate.* |
| *HECM* | *Home Equity Conversion Mortgage.* |
| *IO* | *Interest Only Security.* |
| *LIBOR* | *London Interbank Offered Rate.* |
| *PAC* | *Planned Amortization Class.* |
| *REMIC* | *Real Estate Mortgage Investment Conduit.* |
| *SOFR* | *Secured Overnight Financing Rate.* |
| *SOFR30A* | *30-Day Average Secured Overnight Financing Rate.* |
| *SONIA* | *Sterling Overnight Index Average.* |
| *STRIPS* | *Separate Trading of Registered Interest and Principal of Securities.* |
| *TBA* | *To Be Announced.* |
| *@* | *Principal amount is less than $500.* |
| *(a)* | *Floating or variable rate securities: The rates disclosed are as of July 31, 2025. For securities based on a published reference rate and spread, the reference rate and spread are indicated in the description in the Portfolio of Investments. Certain variable rate securities may not be based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description in the Portfolio of Investments.* |
| *(b)* | *Security is subject to delayed delivery.* |
| *(c)* | *144A security — Certain conditions for public sale may exist. Unless otherwise noted, these securities are deemed to be liquid.* |
| *(d)* | *Capital appreciation bond.* |
| *(e)* | *Inverse Floating Rate Security - Interest rate fluctuates with an inverse relationship to an associated interest rate. Indicated rate is the effective rate at July 31, 2025.* |
| *(f)* | *For the nine months ended July 31, 2025, the proceeds from paydowns of Morgan Stanley Mortgage Loan Trust, Mortgage - Other, and its affiliated broker-dealers, which may be deemed affiliates of the Adviser/Administrator and Distributor under the Investment Company Act of 1940, was $6,869, including net realized losses of $40.* |
| *(g)* | *The rates shown are the effective yields at the date of purchase.* |
| *(h)* | *Rate shown is the yield to maturity at July 31, 2025.* |
| *(i)* | *All or a portion of the security was pledged to cover margin requirements for futures contracts.* |
| *(j)* | *The Fund invests in the Institutional Class of the Morgan Stanley Institutional Liquidity Funds - Government Portfolio - (the "Liquidity Fund"), an open-end management investment company managed by the Adviser. Advisory fees paid by the Fund are reduced by an amount equal to its pro-rata share of the advisory and administration fees paid by the Fund due to its investment in the Liquidity Fund. For the nine months ended July 31, 2025, advisory fees paid were reduced by $11,927 relating to the Fund's investment in the Liquidity Fund.* |
| *(k)* | *Securities are available for collateral in connection with securities purchased on a forward commitment basis, open foreign currency forward exchange contracts and futures contracts.* |
| *(l)* | *At July 31, 2025, the aggregate cost for federal income tax purposes approximates the aggregate cost for book purposes. The aggregate gross unrealized appreciation is $21,003,272 and the aggregate gross unrealized depreciation is $6,626,695, resulting in net unrealized appreciation of $14,376,577.* |

---

**Morgan Stanley Mortgage Securities Trust**

**Portfolio of Investments ■ July 31, 2025 (unaudited)** *continued*

**Foreign Currency Forward Exchange Contracts:**

The Fund had the following foreign currency forward exchange contracts open at July 31, 2025:

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Counterparty** | **Contracts<br> to Deliver** | **In Exchange<br> For** | **Delivery<br> Date** | **Unrealized<br> Appreciation<br> (Depreciation)** |
| Australia & New Zealand Banking Group Ltd. | $282704 | 240077 | 9/25/25 | $(7784) |
| Bank of America NA | $136164 | 878356 | 9/25/25 | (1339) |
| Barclays Bank PLC | $1180619 | 1000000 | 9/25/25 | (35487) |
| BNP Paribas SA | 2248187 | $1645083 | 9/25/25 | 18182 |
| BNP Paribas SA | 20973082 | $24204356 | 9/25/25 | 187413 |
| Deutsche Bank AG | 46200506 | $7190852 | 9/25/25 | 99219 |
| HSBC Bank PLC | 23020198 | $3638601 | 9/25/25 | 105072 |
| HSBC Bank PLC | $470692 | 400000 | 9/25/25 | (12639) |
| JPMorgan Chase Bank NA | 1851015 | $2497071 | 9/25/25 | 51290 |
| JPMorgan Chase Bank NA | $819573 | 605022 | 9/25/25 | (20146) |
| Standard Chartered Bank | 9878087 | $1565000 | 9/25/25 | 48744 |
| Standard Chartered Bank | $131806 | 181336 | 9/25/25 | (582) |
| Standard Chartered Bank | $387645 | 334731 | 9/25/25 | (4334) |
| Westpac Banking Corp. | $267348 | 200000 | 9/25/25 | (3084) |
|  |  |  |  | $424525 |

---

**Futures Contracts:**

The Fund had the following futures contracts open at July 31, 2025:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Number of<br> Contracts** | **Expiration<br> Date** | **Notional<br> Amount<br> (000)** | **Value** | **Unrealized<br> Appreciation<br> (Depreciation)** |
| **Long:** | |  | | |  |
| U.S. Treasury 2 yr. Note (United States) | 109 | Sep-25 | $21800 | $22561297 | $(23325) |
| U.S. Treasury 5 yr. Note (United States) | 780 | Sep-25 | 78000 | 84374062 | 224924 |
| U.S. Treasury 10 yr. Note (United States) | 100 | Sep-25 | 10000 | 11106250 | 108237 |
| U.S. Treasury Long Bond (United States) | 15 | Sep-25 | 1500 | 1712813 | 47754 |
|  |  |  |  |  | $357590 |

---

------

---

| | |
|:---|:---|
| CAD | — Canadian Dollar |
| DKK | — Danish Krone |
| EUR | — Euro |
| GBP | — British Pound |
| USD | — United States Dollar |

---

**Portfolio Composition (Unaudited)**

---

| | | |
|:---|:---|:---|
| **CLASSIFICATION** | **Percentage of<br> Total<br> Investments** |  |
| Mortgages - Other | 33.3 | % |
| Agency Fixed Rate Mortgages | 26.8 |  |
| Short-Term Investments | 18.1 |  |
| Asset-Backed Securities | 15.0 |  |
| Commercial Mortgage-Backed Securities | 3.3 |  |
| Corporate Bonds | 1.7 |  |
| Collateralized Mortgage Obligations - Agency Collateral Series | 1.5 |  |
| Agency Adjustable Rate Mortgages | 0.3 |  |
| Total | 100.0 | %\* |

---

\* Does not include open futures contracts with a value of $119,754,422 and net unrealized appreciation of $357,590. Does not include open foreign currency forward exchange contracts with net unrealized appreciation of $424,525.

**Morgan Stanley Mortgage Securities Trust**

**Notes to Portfolio of Investments ■ July 31, 2025 (unaudited)**

**<u>Valuation of Investments</u> —** (1) Fixed income securities may be valued by an outside pricing service/vendor approved by the Fund's Board of Trustees (the "Trustees"). The pricing service/vendor may employ a pricing model that takes into account, among other things, bids, yield spreads and/or other market data and specific security characteristics. If Morgan Stanley Investment Management Inc. (the "Adviser"), a wholly-owned subsidiary of Morgan Stanley, determines that the price provided by the outside pricing service/vendor does not reflect the security's fair value or the pricing service/vendor or exchange is unable to provide a price, prices from brokers/dealers may also be utilized. In these circumstances, the value of the security will be the mean of bid and asked prices obtained from reputable brokers/dealers; (2) when market quotations are not readily available, as defined by Rule 2a-5 under the Act, including circumstances under which the Adviser, determines that the closing price, last sale price or the mean between the last reported bid and asked prices are not reflective of a security's market value, portfolio securities are valued at their fair value as determined in good faith under procedures approved by and under the general supervision of the Trustees. Each business day, the Fund uses a third-party pricing service approved by the Trustees to assist with the valuation of foreign equity securities. Events occurring after the close of trading on foreign exchanges may result in adjustments to the valuation of foreign securities to reflect market trading that occurs after the close of the applicable foreign markets of comparable securities or other instruments that have a strong correlation to the fair-valued securities to more accurately reflect their fair value as of the close of regular trading on the NYSE; (3) futures are valued at the settlement price on the exchange on which they trade or, if a settlement price is unavailable, at the last sale price on the exchange; (4) foreign exchange transactions ("spot contracts") and foreign exchange forward contracts ("forward contracts") are valued daily using an independent pricing vendor at the spot and forward rates, respectively, as of the close of the NYSE; and (5) investments in mutual funds, including the Morgan Stanley Institutional Liquidity Funds, are valued at the net asset value ("NAV") as of the close of each business day.

In connection with Rule 2a-5 of the Act, the Trustees have designated the Fund's Adviser as its valuation designee. The valuation designee has responsibility for determining fair value and to make the actual calculations pursuant to the fair valuation methodologies previously approved by the Trustees. Under procedures approved by the Trustees, the Fund's Adviser, as valuation designee, has formed a Valuation Committee whose members are approved by the Trustees. The Valuation Committee provides administration and oversight of the Fund's valuation policies and procedures, which are reviewed at least annually by the Trustees. These procedures allow the Fund to utilize independent pricing services, quotations from securities and financial instrument dealers and other market sources to determine fair value.

**Morgan Stanley Mortgage Securities Trust**

**Notes to Portfolio of Investments ■ July 31, 2025 (unaudited)** *continued*

**<u>Fair Valuation Measurements</u>**

Financial Accounting Standards Board ("FASB") ASC 820, "Fair Value Measurement" ("ASC 820"), defines fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. ASC 820 establishes a three-tier hierarchy to distinguish between (1) inputs that reflect the assumptions market participants would use in valuing an asset or liability developed based on market data obtained from sources independent of the reporting entity (observable inputs); and (2) inputs that reflect the reporting entity's own assumptions about the assumptions market participants would use in valuing an asset or liability developed based on the best information available in the circumstances (unobservable inputs) and to establish classification of fair value measurements for disclosure purposes. Various inputs are used in determining the value of the Fund's investments. The inputs are summarized in the three broad levels listed below:

● Level 1 — unadjusted quoted prices in active markets for identical investments

● Level 2 — other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.)

● Level 3 — significant unobservable inputs including the Fund's own assumptions in determining the fair value of investments. Factors considered in making this determination may include, but are not limited to, information obtained by contacting the issuer, analysts, or the appropriate stock exchange (for exchange-traded securities), analysis of the issuer's financial statements or other available documents and, if necessary, available information concerning other securities in similar circumstances.

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities and the determination of the significance of a particular input to the fair value measurement in its entirety requires judgment and considers factors specific to each security.

**Morgan Stanley Mortgage Securities Trust**

**Notes to Portfolio of Investments ■ July 31, 2025 (unaudited)** *continued*

The following is a summary of the inputs used to value the Fund's investments as of July 31, 2025:

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Investment Type** | **Level 1<br> Unadjusted<br> Quoted<br> Prices** | **Level 2<br> Other<br> Significant<br> Observable<br> Inputs** | **Level 3<br> Significant<br> Unobservable<br> Inputs** | **Total** |
| **Assets:** | | | | |
| **Fixed Income Securities** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Agency Adjustable Rate Mortgages | $— | $2351445 | $— | $2351445 |
| &nbsp;&nbsp;&nbsp;Agency Fixed Rate Mortgages |  | 192683135 |  | 192683135 |
| &nbsp;&nbsp;&nbsp;Asset-Backed Securities |  | 108240691 |  | 108240691 |
| &nbsp;&nbsp;&nbsp;Collateralized Mortgage Obligations - Agency Collateral Series |  | 10411539 |  | 10411539 |
| &nbsp;&nbsp;&nbsp;Commercial Mortgage-Backed Securities |  | 23988643 |  | 23988643 |
| &nbsp;&nbsp;&nbsp;Corporate Bonds |  | 12209128 |  | 12209128 |
| &nbsp;&nbsp;&nbsp;Mortgages - Other |  | 240060845 |  | 240060845 |
| **Total Fixed Income Securities** | **—** | **589945426** | **—** | **589945426** |
| **Short-Term Investments** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Commercial Paper |  | 12795011 |  | 12795011 |
| &nbsp;&nbsp;&nbsp;U.S. Treasury Securities |  | 109209763 |  | 109209763 |
| &nbsp;&nbsp;&nbsp;Investment Company | 8705558 |  |  | 8705558 |
| **Total Short-Term Investments** | **8705558** | **122004774** | **—** | **130710332** |
| **Foreign Currency Forward Exchange Contracts** |  | 509920 |  | 509920 |
| **Futures Contracts** | 380915 |  |  | 380915 |
| **Total Assets** | **9086473** | **712460120** | **—** | **721546593** |
| **Liabilities:** |  |  |  |  |
| **Foreign Currency Forward Exchange Contracts** |  | (85395) |  | (85395) |
| **Future Contract** | (23325) |  |  | (23325) |
| **Total Liabilities** | **(23325)** | **(85395)** | **—** | **(108720)** |
| **Total** | $**9063148** | $**712374725** | $**—** | $**721437873** |

---

Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment's valuation changes.

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** MORGAN STANLEY MORTGAGE SECURITIES TRUST

- **b. Investment Company Act file number:** 811-04917

- **c. CIK number of Registrant:** 0000806564

- **d. LEI of Registrant:** WKCEPKI1XKBG42N8NC94

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

  - **Street Address 1:** 1585 Broadway

  - **City:** NEW YORK

  - **State:** NY

  - **Foreign country:** US

  - **Zip / Postal Code:** 10036

  - **Telephone number:** 800-869-6397

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

- **a. Name of Series:** Morgan Stanley Mortgage Securities Trust

- **b. EDGAR series identifier (if any):** S000002467

- **c. LEI of Series:** WKCEPKI1XKBG42N8NC94

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

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

- **b. Date as of which information is reported:** 2025-07-31

**Item A.4. Final filing**

Does the Fund anticipate that this will be its final filing on Form N-PORT? **Yes**

### Fund Information

**Total Assets:** $769251509.85

**Total Liabilities:** $174147665.82

**Net Assets:** $595103844.03

**Delayed Delivery Securities:** $12519882.82

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -315.06000000 | **1-Year:** -2913.74000000 | **5-Year:** -4947.49000000 | **10-Year:** -8067.00000000 | **30-Year:** -13938.69000000

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

- **3-Month:** -764.51000000 | **1-Year:** -5394.19000000 | **5-Year:** -8778.48000000 | **10-Year:** -7894.10000000 | **30-Year:** -3139.88000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000198813 | -0.06%               | 1.41%                | 0.22%                |
| Class ID C000006611 | -0.09%               | 1.36%                | -0.07%               |
| Class ID C000155975 | -0.15%               | 1.31%                | -0.06%               |
| Class ID C000006613 | -0.11%               | 1.35%                | -0.09%               |
| Class ID C000006614 | -0.19%               | 1.41%                | -0.04%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $745432.64               | $-2159555.02                               |
| Month 2  | $-2388706.35             | $7920963.25                                |
| Month 3  | $1538402.96              | $-4949398.32                               |

**Designated Index Information**

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

- **Index Identifier:** BBG_US_MBS

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| HARVEST COMMERCIAL CAPITAL LOAN TRUST           | Harvest Commercial Capital Loan Trust 2019-1                             | CUSIP: 41753CAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1380000 | PA      | $1317635.18   | 0.22%             | 2046-09-25      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38376R2M7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    252477 | PA      | $10776.82     | 0.00%             | 2067-03-20      | Variable      | 2.28%                 | No            |                  2 | On Loan: No      |
| Prime Mortgage Trust                            | Prime Mortgage Trust 2006-CL1                                            | CUSIP: 74161QAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    695000 | PA      | $609844.99    | 0.10%             | 2035-02-25      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 31383RFY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       128 | PA      | $131.87       | 0.00%             | 2029-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae REMICS                                                        | CUSIP: 3136ABVH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50059 | PA      | $747.80       | 0.00%             | 2041-11-25      | Floating      | 1.19%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae II Pool                                                       | CUSIP: 3617VAGH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    832809 | PA      | $749646.92    | 0.13%             | 2071-03-20      | Variable      | 3.06%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae II Pool                                                       | CUSIP: 3618AVMX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    456032 | PA      | $467861.94    | 0.08%             | 2053-01-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 31371RFQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9907 | PA      | $10282.38     | 0.00%             | 2032-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae II Pool                                                       | CUSIP: 3617JKEK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11120 | PA      | $10709.44     | 0.00%             | 2049-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                              | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2016-1            | CUSIP: 35563PAA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3430208 | PA      | $2942537.32   | 0.49%             | 2055-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments Inc       | Structured Asset Mortgage Investments II Trust 2005-AR2                  | CUSIP: 86359LJA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     62910 | PA      | $56395.16     | 0.01%             | 2045-05-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 31386TQ73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       800 | PA      | $829.41       | 0.00%             | 2031-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                              | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2020-3            | CUSIP: 35563PTN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    540951 | PA      | $476574.10    | 0.08%             | 2060-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust                  | Bayview Commercial Asset Trust 2005-3                                    | CUSIP: 07324SCK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    524369 | PA      | $590444.91    | 0.10%             | 2035-11-25      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38376RYL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    443501 | PA      | $12922.96     | 0.00%             | 2066-09-20      | Variable      | 1.66%                 | No            |                  2 | On Loan: No      |
| Real Estate Asset Liquidity Trust               | Real Estate Asset Liquidity Trust                                        | CUSIP: 75585RRY3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | CA        |   7289999 | PA      | $178882.78    | 0.03%             | 2055-02-12      | Variable      | 1.11%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust          | Velocity Commercial Capital Loan Trust 2021-1                            | CUSIP: 92259TAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1519250 | PA      | $1146473.12   | 0.19%             | 2051-05-25      | Variable      | 2.57%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae                                                               | CUSIP: 21H062685<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4000000 | PA      | $4106043.00   | 0.69%             | 2054-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 31418DD90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     81563 | PA      | $77190.42     | 0.01%             | 2049-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| STAR 2022-SFR3 Trust                            | STAR 2022-SFR3 Trust                                                     | CUSIP: 78474PAN7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3500000 | PA      | $3509295.30   | 0.59%             | 2039-05-17      | Floating      | 8.84%                 | No            |                  2 | On Loan: No      |
| TLWND 2019-1                                    | GAIA Aviation Ltd                                                        | CUSIP: 87404LAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    463503 | PA      | $447793.76    | 0.08%             | 2044-12-15      | Variable      | 3.97%                 | No            |                  2 | On Loan: No      |
| RMF Proprietary Issuance Trust                  | RMF Proprietary Issuance Trust 2022-1                                    | CUSIP: 74969XAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2173116 | PA      | $2005249.08   | 0.34%             | 2062-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| MLCC Mortgage Investors Inc                     | Merrill Lynch Mortgage Investors Trust Series MLCC 2004-A                | CUSIP: 59020UAS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6605 | PA      | $6495.97      | 0.00%             | 2029-04-25      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | Freddie Mac REMICS                                                       | CUSIP: 3137BCNV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    186765 | PA      | $8718.63      | 0.00%             | 2042-08-15      | Floating      | 2.01%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae II Pool                                                       | CUSIP: 3618K4DF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2732145 | PA      | $2673264.03   | 0.45%             | 2054-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT AS                          | Nykredit Realkredit AS                                                   | CUSIP: 000000000<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |  35000000 | PA      | $5286422.05   | 0.89%             | 2056-10-01      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| European Residential Loan Securitization        | European Residential Loan Securitisation 2019-NPL1 DAC                   | CUSIP: 000000000<br>LEI: 635400NCOLE2BYYWTZ86 | Long             | ABS-O            | CORP              | IE        |   1211213 | PA      | $1397730.05   | 0.23%             | 2054-07-24      | Floating      | 5.15%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 3140K8P62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    111007 | PA      | $92795.46     | 0.02%             | 2050-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | Freddie Mac REMICS                                                       | CUSIP: 3137BCNR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    347047 | PA      | $21012.51     | 0.00%             | 2041-09-15      | Floating      | 2.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | Freddie Mac REMICS                                                       | CUSIP: 3137B9FK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    126493 | PA      | $6896.20      | 0.00%             | 2039-04-15      | Floating      | 2.03%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38375B6P2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7889 | PA      | $344.00       | 0.00%             | 2063-02-20      | Variable      | 2.21%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38375UWD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    263729 | PA      | $9495.29      | 0.00%             | 2065-04-20      | Variable      | 1.98%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                              | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2024-2            | CUSIP: 35563PX46<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1458871 | PA      | $1249452.82   | 0.21%             | 2064-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38375BGD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     50879 | PA      | $2973.07      | 0.00%             | 2060-02-20      | Variable      | 2.54%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38375U6A3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    220184 | PA      | $9559.09      | 0.00%             | 2068-01-20      | Variable      | 2.33%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                  | CFMT 2025-AB3 LLC                                                        | CUSIP: 15723JAF9<br>LEI: 984500B0B47A6AEABC92 | Long             | ABS-MBS          | CORP              | US        |   7295181 | PA      | $5429757.93   | 0.91%             | 2055-05-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 31418DCK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45119 | PA      | $40608.48     | 0.01%             | 2049-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38375UN55<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    690411 | PA      | $33327.27     | 0.01%             | 2067-10-20      | Variable      | 2.58%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                              | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2019-1            | CUSIP: 35563PHZ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1138512 | PA      | $971149.80    | 0.16%             | 2058-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                              | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2018-1            | CUSIP: 35563PDU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1283657 | PA      | $1200631.83   | 0.20%             | 2057-05-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | Freddie Mac REMICS                                                       | CUSIP: 3137BFBK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     50686 | PA      | $3057.41      | 0.00%             | 2041-10-15      | Variable      | 2.08%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38375UUS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1204980 | PA      | $44291.91     | 0.01%             | 2065-02-20      | Variable      | 1.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae II Pool                                                       | CUSIP: 36179WRT7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    509883 | PA      | $467341.30    | 0.08%             | 2051-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 3138WHQP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    235078 | PA      | $202515.27    | 0.03%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38380LL92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10384973 | PA      | $385968.33    | 0.06%             | 2069-10-20      | Variable      | 2.43%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae II Pool                                                       | CUSIP: 36179UKN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8456 | PA      | $8024.97      | 0.00%             | 2049-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 31371KLU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4857 | PA      | $5039.28      | 0.00%             | 2032-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| AAA Trust                                       | Financial Asset Securities Corp AAA Trust 2005-1                         | CUSIP: 31738PAV0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    138015 | PA      | $134742.36    | 0.02%             | 2035-02-27      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| Natixis Commercial Mortgage Securities          | Natixis Commercial Mortgage Securities Trust 2019-10K                    | CUSIP: 63874UAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $905887.40    | 0.15%             | 2039-05-15      | Variable      | 4.13%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                  | PURCHASED USD / SOLD EUR                                                 | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |         1 | NC      | $187412.77    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                              | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2017-1            | CUSIP: 35563PAR0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1409802 | PA      | $1205329.27   | 0.20%             | 2056-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities  | CSFB Mortgage-Backed Pass-Through Certificates Series 2005-10            | CUSIP: 225470EA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    470334 | PA      | $87950.24     | 0.01%             | 2035-11-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Alba Plc                                        | Alba 2005-1 PLC                                                          | CUSIP: 000000000<br>LEI: 213800OGMHK8BKUJEY32 | Long             | ABS-MBS          | CORP              | GB        |    252175 | PA      | $325225.85    | 0.05%             | 2042-11-25      | Floating      | 4.96%                 | Yes           |                  2 | On Loan: No      |
| Countrywide Home Loans                          | CHL Mortgage Pass-Through Trust 2004-19                                  | CUSIP: 12669F4G5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    166074 | PA      | $165277.79    | 0.03%             | 2034-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mortgage Loan Trust  | Structured Adjustable Rate Mortgage Loan Trust Series 2005-4             | CUSIP: 863579MY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    135014 | PA      | $122469.29    | 0.02%             | 2035-03-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| EMF-NL Bv                                       | EMF-NL Prime 2008-A BV                                                   | CUSIP: 000000000<br>LEI: 724500YACYYG8XY5LM10 | Long             | ABS-MBS          | CORP              | NL        |    200000 | PA      | $217953.81    | 0.04%             | 2041-04-17      | Floating      | 2.89%                 | Yes           |                  2 | On Loan: No      |
| LHOME Mortgage Trust                            | LHOME Mortgage Trust 2023-RTL4                                           | CUSIP: 50204VAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1514568.75   | 0.25%             | 2028-11-25      | Variable      | 7.63%                 | No            |                  2 | On Loan: No      |
| RMF Proprietary Issuance Trust                  | RMF Proprietary Issuance Trust 2022-3                                    | CUSIP: 74970FAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2149786 | PA      | $2078355.22   | 0.35%             | 2062-08-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38376RHK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    289340 | PA      | $10150.20     | 0.00%             | 2065-09-20      | Variable      | 1.93%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38378TAH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    354364 | PA      | $60159.45     | 0.01%             | 2043-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38380LM75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1265497 | PA      | $71694.08     | 0.01%             | 2069-11-20      | Variable      | 1.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 3138ARHD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49919 | PA      | $49110.65     | 0.01%             | 2041-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae II Pool                                                       | CUSIP: 36179U6L1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    179069 | PA      | $159440.97    | 0.03%             | 2049-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae REMICS                                                        | CUSIP: 3136AQ7J3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    639384 | PA      | $33516.62     | 0.01%             | 2046-03-25      | Variable      | 1.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 31385HQR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3960 | PA      | $4095.07      | 0.00%             | 2031-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae II Pool                                                       | CUSIP: 3618BWLP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    296118 | PA      | $303799.99    | 0.05%             | 2053-06-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Eurohome Mortgages PLC                          | Eurohome Mortgages PLC                                                   | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |    134541 | PA      | $145292.84    | 0.02%             | 2050-08-02      | Floating      | 2.39%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae II Pool                                                       | CUSIP: 3618APTE9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     99237 | PA      | $103114.10    | 0.02%             | 2052-12-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38375BEJ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     33841 | PA      | $2932.21      | 0.00%             | 2060-04-20      | Variable      | 1.64%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                              | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2018-2            | CUSIP: 35563PFA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    468060 | PA      | $401587.30    | 0.07%             | 2057-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38375BVM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15101 | PA      | $965.67       | 0.00%             | 2061-04-20      | Variable      | 0.33%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38377TZF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     18915 | PA      | $3747.62      | 0.00%             | 2041-02-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38375UHX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    683633 | PA      | $16440.77     | 0.00%             | 2064-05-20      | Variable      | 1.49%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                          | CHL Mortgage Pass-Through Trust Resecuritization 2008-2R                 | CUSIP: 12544NAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     59081 | PA      | $32429.33     | 0.01%             | 2036-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae II Pool                                                       | CUSIP: 36179VA91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     34192 | PA      | $32448.94     | 0.01%             | 2049-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae II Pool                                                       | CUSIP: 3618JKPK1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1626974 | PA      | $1675790.30   | 0.28%             | 2064-08-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                  | CFMT 2023-H12 LLC                                                        | CUSIP: 12530QAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2900000 | PA      | $2787178.69   | 0.47%             | 2033-04-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| STAR 2024-SFR4 Trust                            | STAR 2024-SFR4 Trust                                                     | CUSIP: 85520AAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1850000 | PA      | $1867932.42   | 0.31%             | 2041-10-17      | Floating      | 7.29%                 | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                         | PURCHASED USD / SOLD DKK                                                 | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | US        |         1 | NC      | $48744.17     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                              | Freddie Mac Seasoned Credit Risk Transfer Trust 2017-4                   | CUSIP: 35563PDD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    878650 | PA      | $782377.39    | 0.13%             | 2057-06-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38376R4N3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3062924 | PA      | $114682.61    | 0.02%             | 2067-05-20      | Variable      | 2.24%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 3140XLYC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4399890 | PA      | $4480917.55   | 0.75%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| REALKREDIT DANMARK                              | Realkredit Danmark A/S                                                   | CUSIP: 000000000<br>LEI: 549300NLOMBOWE943Y30 | Long             | DBT              | CORP              | DK        |  10788863 | PA      | $1640195.84   | 0.28%             | 2056-10-01      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                          | Sequoia Mortgage Trust 2007-4                                            | CUSIP: 81744JAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     52360 | PA      | $37651.22     | 0.01%             | 2036-01-20      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae II Pool                                                       | CUSIP: 36179UUC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     67771 | PA      | $66077.62     | 0.01%             | 2049-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ATLX Trust                                      | ATLX 2024-RPL1 Trust                                                     | CUSIP: 049915AB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1435738.05   | 0.24%             | 2064-04-25      | Variable      | 4.34%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                               | PRPM 2025-2 LLC                                                          | CUSIP: 69382HAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1909286 | PA      | $1912607.20   | 0.32%             | 2030-05-25      | Variable      | 6.47%                 | No            |                  2 | On Loan: No      |
| Boston Lending Trust 2021-1                     | Boston Lending Trust 2021-1                                              | CUSIP: 100842AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1392790 | PA      | $1217582.11   | 0.20%             | 2061-07-25      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | Freddie Mac Pool                                                         | CUSIP: 3133JLKE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1144459 | PA      | $974126.63    | 0.16%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Boston Lending Trust 2021-1                     | Boston Lending Trust 2021-1                                              | CUSIP: 100842AB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1163423 | PA      | $946967.21    | 0.16%             | 2061-07-25      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| ICAP 2025-RTL1 Trust                            | ICAP 2025-RTL1 Trust                                                     | CUSIP: 45115QAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1503170.85   | 0.25%             | 2030-07-25      | Variable      | 6.47%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 3138WELB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    557170 | PA      | $524973.02    | 0.09%             | 2045-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| E-MAC Program B.V.                              | E-MAC Program II BV                                                      | CUSIP: 000000000<br>LEI: 724500E754K57OOQQ940 | Long             | ABS-MBS          | CORP              | NL        |     85578 | PA      | $92729.08     | 0.02%             | 2048-04-25      | Floating      | 6.19%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38376RYN0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7366864 | PA      | $327887.18    | 0.06%             | 2066-08-20      | Variable      | 2.77%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Whole Loan Securities Trust         | Freddie Mac Whole Loan Securities Trust                                  | CUSIP: 3137G1BK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    543629 | PA      | $461383.96    | 0.08%             | 2046-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Bayview Financial Revolving Mortgage Loan Trust | Bayview Financial Revolving Asset Trust 2005-E                           | CUSIP: 073250BV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    766515 | PA      | $822612.99    | 0.14%             | 2040-12-28      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust                          | GSAA Trust 2004-CW1                                                      | CUSIP: 36228FT55<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    166574 | PA      | $166557.99    | 0.03%             | 2034-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                          | U.S. Treasury Bills                                                      | CUSIP: 912797NL7<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |   5000000 | PA      | $4930456.60   | 0.83%             | 2025-11-28      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust                         | Flagstar Mortgage Trust 2020-1NV                                         | CUSIP: 33851YAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100680 | PA      | $79421.78     | 0.01%             | 2050-03-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38380LAD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    187608 | PA      | $7991.72      | 0.00%             | 2068-02-20      | Variable      | 2.31%                 | No            |                  2 | On Loan: No      |
| CoreVest American Finance Ltd                   | Corevest American Finance 2020-4 Trust                                   | CUSIP: 21873AAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1575818 | PA      | $9000.91      | 0.00%             | 2052-12-15      | Variable      | 3.79%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38378PFD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    236087 | PA      | $27734.90     | 0.00%             | 2043-12-20      | Floating      | 1.68%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38376RC87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    355652 | PA      | $17011.05     | 0.00%             | 2066-10-20      | Variable      | 2.87%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae II Pool                                                       | CUSIP: 3618H9TY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    534086 | PA      | $547531.08    | 0.09%             | 2054-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partners LLC            | PRET 2021-RN3 LLC                                                        | CUSIP: 74143JAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    845224 | PA      | $843644.66    | 0.14%             | 2051-09-25      | Variable      | 4.84%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae II Pool                                                       | CUSIP: 3617J6UQ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7707 | PA      | $7161.07      | 0.00%             | 2048-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Finance of America HECM Buyout                  | Finance of America HECM Buyout 2024-HB1                                  | CUSIP: 31737DAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6800000 | PA      | $6197561.48   | 1.04%             | 2034-10-01      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Brean Asset Backed Securities Trust             | Brean Asset Backed Securities Trust 2024-RM8                             | CUSIP: 10637YAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1608660 | PA      | $1570442.37   | 0.26%             | 2064-05-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38375UZJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3675074 | PA      | $213850.36    | 0.04%             | 2067-03-20      | Variable      | 2.16%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38376R5T9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    410376 | PA      | $11879.68     | 0.00%             | 2067-06-20      | Variable      | 1.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                          | U.S. Treasury Bills                                                      | CUSIP: 912797QL4<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |  10000000 | PA      | $9970187.50   | 1.68%             | 2025-08-26      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities  | CSFB Mortgage-Backed Pass-Through Certificates Series 2004-AR4           | CUSIP: 22541SFA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    177804 | PA      | $168647.30    | 0.03%             | 2034-05-25      | Variable      | 4.93%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38375UM72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    735036 | PA      | $18403.44     | 0.00%             | 2067-10-20      | Variable      | 2.48%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | Freddie Mac Pool                                                         | CUSIP: 3133JLER6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    354300 | PA      | $328047.53    | 0.06%             | 2049-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae II Pool                                                       | CUSIP: 36179X4X1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     90647 | PA      | $92121.47     | 0.02%             | 2053-06-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 3138A6JT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13149 | PA      | $13217.81     | 0.00%             | 2041-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| REALKREDIT DANMARK                              | Realkredit Danmark A/S                                                   | CUSIP: 000000000<br>LEI: 549300NLOMBOWE943Y30 | Long             | DBT              | CORP              | DK        |  14978836 | PA      | $2263198.32   | 0.38%             | 2056-10-01      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae                                                               | CUSIP: 21H060689<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6900000 | PA      | $6995387.33   | 1.18%             | 2054-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Palatino SPV                                    | Palatino SPV                                                             | CUSIP: 000000000<br>LEI: 8156008628974A9F8838 | Long             | ABS-O            | CORP              | IT        |    751476 | PA      | $820156.14    | 0.14%             | 2045-12-01      | Floating      | 4.56%                 | Yes           |                  2 | On Loan: No      |
| Fanniemae Strip                                 | Fannie Mae Interest Strip                                                | CUSIP: 31364HQ83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3629 | PA      | $197.22       | 0.00%             | 2027-11-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 31418DCP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42084 | PA      | $39827.28     | 0.01%             | 2049-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                          | Reperforming Loan REMIC Trust 2005-R2                                    | CUSIP: 12669GP47<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     38365 | PA      | $37628.39     | 0.01%             | 2035-06-25      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 3140KBZB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    183726 | PA      | $153584.22    | 0.03%             | 2050-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Securitization Trust                | MASTR Asset Securitization Trust 2005-2                                  | CUSIP: 57643MLK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       910 | PA      | $856.27       | 0.00%             | 2025-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae II Pool                                                       | CUSIP: 3618H9TV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1075807 | PA      | $1021635.17   | 0.17%             | 2054-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae II Pool                                                       | CUSIP: 36179VA83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     58084 | PA      | $53455.65     | 0.01%             | 2049-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | Freddie Mac Gold Pool                                                    | CUSIP: 3132GEB90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14442 | PA      | $14537.92     | 0.00%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae II Pool                                                       | CUSIP: 36176D5L3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     42703 | PA      | $43004.66     | 0.01%             | 2041-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                              | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2023-1            | CUSIP: 35563PK73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2203156 | PA      | $1816965.69   | 0.31%             | 2062-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Newtek Small Business Loan Trust 2023-1         | Newtek Small Business Loan Trust 2023-1                                  | CUSIP: 65254RAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    634830 | PA      | $642325.83    | 0.11%             | 2050-07-25      | Floating      | 7.00%                 | No            |                  2 | On Loan: No      |
| Eurosail Plc                                    | Eurosail-NL 2007-2 BV                                                    | CUSIP: 000000000<br>LEI: 724500VX65TCSYFLOA51 | Long             | ABS-MBS          | CORP              | NL        |    262977 | PA      | $299992.58    | 0.05%             | 2040-10-17      | Floating      | 3.84%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38375BYV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1134 | PA      | $58.75        | 0.00%             | 2061-10-20      | Variable      | 0.27%                 | No            |                  2 | On Loan: No      |
| STAR 2022-SFR3 Trust                            | STAR 2022-SFR3 Trust                                                     | CUSIP: 78474PAG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2100000 | PA      | $2119920.39   | 0.36%             | 2039-05-17      | Floating      | 6.89%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage Trust              | EFMT 2024-RM2                                                            | CUSIP: 268431AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2857484 | PA      | $2747416.84   | 0.46%             | 2054-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | Freddie Mac Pool                                                         | CUSIP: 3133N3U51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     53197 | PA      | $47879.39     | 0.01%             | 2049-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38376RJD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    249216 | PA      | $3431.92      | 0.00%             | 2065-09-20      | Variable      | 1.61%                 | No            |                  2 | On Loan: No      |
| Lehman ABS Manufactured Housing Contract        | Lehman ABS Manufactured Housing Contract Trust 2001-B                    | CUSIP: 52519SAL7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     59783 | PA      | $60224.55     | 0.01%             | 2040-04-15      | Variable      | 6.63%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae II Pool                                                       | CUSIP: 36179UXJ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    116676 | PA      | $104251.44    | 0.02%             | 2049-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38375B2R2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    564593 | PA      | $23299.92     | 0.00%             | 2063-06-20      | Variable      | 1.26%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 31389R3J3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       195 | PA      | $195.07       | 0.00%             | 2032-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT AS                          | Nykredit Realkredit AS                                                   | CUSIP: 000000000<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |  18995878 | PA      | $2924811.96   | 0.49%             | 2046-10-01      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38376R5X0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1250224 | PA      | $68374.00     | 0.01%             | 2067-07-20      | Variable      | 1.95%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                  | CFMT 2024-HB15 LLC                                                       | CUSIP: 15723AAF8<br>LEI: 98450050957GF5E1CD92 | Long             | ABS-MBS          | CORP              | US        |   1750000 | PA      | $1603609.35   | 0.27%             | 2034-08-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust             | Citigroup Commercial Mortgage Trust 2015-GC33                            | CUSIP: 29425AAK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    893414 | PA      | $8.93         | 0.00%             | 2058-09-10      | Variable      | 0.72%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                    | CSMC 2021-BPNY                                                           | CUSIP: 12659XAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4522642 | PA      | $4254499.09   | 0.71%             | 2026-08-15      | Floating      | 8.17%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 3140QCDT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34908 | PA      | $31418.11     | 0.01%             | 2049-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae II Pool                                                       | CUSIP: 36179XLL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    661392 | PA      | $681763.82    | 0.11%             | 2052-11-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| HSBC USA Inc                                    | HSBC USA Inc                                                             | CUSIP: 40434RAT9<br>LEI: 549300LBOHZ4QSIWU288 | Long             | STIV             | CORP              | US        |   3000000 | PA      | $2933250.00   | 0.49%             | 2026-01-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE FIRST BOSTON MTG                  | CREDIT SUISSE FIRST BOSTON MTG                                           | CUSIP: 22540A3K2<br>LEI: 549300164ZV2301BC703 | Long             | ABS-O            | CORP              | US        |   1020000 | PA      | $865985.81    | 0.15%             | 2031-12-29      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae REMICS                                                        | CUSIP: 3136A6TR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22957 | PA      | $375.14       | 0.00%             | 2041-08-25      | Floating      | 2.09%                 | No            |                  2 | On Loan: No      |
| Ocwen Loan Investment Trust                     | Onity Loan Investment Trust 2024-HB2                                     | CUSIP: 68278DAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $2739779.40   | 0.46%             | 2037-08-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                          | U.S. Treasury Bills                                                      | CUSIP: 912797NA1<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |  25000000 | PA      | $24735343.75  | 4.16%             | 2025-10-30      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Newtek Alternative Loan Program                 | NALP Business Loan Trust 2024-1                                          | CUSIP: 629863AA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1611851 | PA      | $1626636.12   | 0.27%             | 2049-12-27      | Fixed         | 6.49%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 3138WGJ21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     96435 | PA      | $87684.00     | 0.01%             | 2046-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                         | PURCHASED CAD / SOLD USD                                                 | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | CA        |         1 | NC      | $-582.36      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae II Pool                                                       | CUSIP: 36179UKP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     18263 | PA      | $17806.30     | 0.00%             | 2049-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | Freddie Mac Pool                                                         | CUSIP: 3133JL7M5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1444894 | PA      | $1358847.46   | 0.23%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae II Pool                                                       | CUSIP: 36179VHF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    318956 | PA      | $263647.57    | 0.04%             | 2050-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | Freddie Mac Pool                                                         | CUSIP: 3133JL4Z9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3424113 | PA      | $2885605.23   | 0.48%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Raptor Aircraft Finance LLC                     | Raptor Aircraft Finance I LLC                                            | CUSIP: 75383HAA9<br>LEI: 549300QFYP8PTWJMXQ65 | Long             | ABS-O            | CORP              | KY        |   1458519 | PA      | $1321830.76   | 0.22%             | 2044-08-23      | Fixed         | 4.21%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust          | VCC 2025-MC1 Trust                                                       | CUSIP: 91825JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4445483 | PA      | $4452990.14   | 0.75%             | 2055-05-25      | Variable      | 8.16%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38380VPP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    985265 | PA      | $36898.59     | 0.01%             | 2068-02-20      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | Freddie Mac REMICS                                                       | CUSIP: 3137B6US8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     56035 | PA      | $39502.60     | 0.01%             | 2043-12-15      | Floating      | 0.19%                 | No            |                  2 | On Loan: No      |
| RMF Buyout Issuance Trust                       | RMF Buyout Issuance Trust 2021-HB1                                       | CUSIP: 74969TAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2539959 | PA      | $2255158.11   | 0.38%             | 2031-11-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                              | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2019-4            | CUSIP: 35563PMX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4247000 | PA      | $4012445.83   | 0.67%             | 2059-02-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38380LC76<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1728981 | PA      | $90458.78     | 0.02%             | 2069-09-20      | Variable      | 1.91%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38375BHK1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     51506 | PA      | $4764.86      | 0.00%             | 2060-10-20      | Variable      | 2.33%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | Freddie Mac REMICS                                                       | CUSIP: 3137B5SC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    222279 | PA      | $16925.56     | 0.00%             | 2043-11-15      | Floating      | 1.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38377YTQ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14971 | PA      | $579.06       | 0.00%             | 2040-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                           | FMC GMSR Issuer Trust                                                    | CUSIP: 30259RAP0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3200000 | PA      | $3235166.72   | 0.54%             | 2027-07-25      | Fixed         | 7.90%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | Freddie Mac REMICS                                                       | CUSIP: 3137BBHD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    100526 | PA      | $10466.29     | 0.00%             | 2044-06-15      | Floating      | 1.55%                 | No            |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                           | FMC GMSR Issuer Trust                                                    | CUSIP: 30259RAM7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3524925 | PA      | $3533300.22   | 0.59%             | 2027-04-25      | Fixed         | 6.19%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38380LYZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2635201 | PA      | $161827.77    | 0.03%             | 2069-08-20      | Variable      | 1.58%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 31418MJT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15775 | PA      | $16576.22     | 0.00%             | 2032-10-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38375UYG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    195203 | PA      | $7862.90      | 0.00%             | 2067-01-20      | Variable      | 2.33%                 | No            |                  2 | On Loan: No      |
| Rate Mortgage Trust                             | Rate Mortgage Trust 2024-J4                                              | CUSIP: 75408TAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2720579 | PA      | $2739707.71   | 0.46%             | 2054-12-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38383DDC9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1669136 | PA      | $240584.72    | 0.04%             | 2051-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                           | FMC GMSR Issuer Trust                                                    | CUSIP: 30259RAQ8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2500000 | PA      | $2578430.25   | 0.43%             | 2027-07-25      | Fixed         | 10.07%                | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38376YU41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     88612 | PA      | $4141.48      | 0.00%             | 2034-08-16      | Floating      | 2.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 31388LC81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       808 | PA      | $835.82       | 0.00%             | 2031-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | Freddie Mac Pool                                                         | CUSIP: 3133N3YF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    822383 | PA      | $628998.30    | 0.11%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 31418C2G8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13042 | PA      | $12359.53     | 0.00%             | 2048-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust              | Alternative Loan Trust 2004-2CB                                          | CUSIP: 12667FAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     90969 | PA      | $92052.93     | 0.02%             | 2034-03-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Terwin Mortgage Trust                           | Terwin Mortgage Trust Series TMTS 2004-3HE                               | CUSIP: 881561FE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    195020 | PA      | $191746.99    | 0.03%             | 2035-03-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | Freddie Mac REMICS                                                       | CUSIP: 3137BBZ37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    388151 | PA      | $21746.45     | 0.00%             | 2040-10-15      | Variable      | 2.27%                 | No            |                  2 | On Loan: No      |
| Newtek Small Business Loan Trust                | Newtek Small Business Loan Trust 2021-1                                  | CUSIP: 65254BAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    756040 | PA      | $762629.51    | 0.13%             | 2049-10-25      | Floating      | 6.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 31418DFD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     72369 | PA      | $68489.06     | 0.01%             | 2049-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38375UV72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1011729 | PA      | $60166.31     | 0.01%             | 2067-11-20      | Variable      | 2.61%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38375B8A3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6045 | PA      | $6068.03      | 0.00%             | 2063-08-20      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                                 | Impac CMB Trust Series 2004-5                                            | CUSIP: 45254NJK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     20708 | PA      | $20863.95     | 0.00%             | 2034-10-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | Freddie Mac Pool                                                         | CUSIP: 3133JL7J2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1375035 | PA      | $1098527.12   | 0.18%             | 2052-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 3140MFHA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1307000 | PA      | $1042539.43   | 0.18%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitization Trust          | Residential Asset Securitization Trust 2007-A2                           | CUSIP: 761120AN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13203545 | PA      | $261762.26    | 0.04%             | 2037-04-25      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| Asset Backed Funding Certificates               | ABFC 2004-OPT4 Trust                                                     | CUSIP: 04542BHD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    181720 | PA      | $181829.36    | 0.03%             | 2034-02-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 31371KDL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       131 | PA      | $135.07       | 0.00%             | 2031-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                  | CFMT 2025-AB3 LLC                                                        | CUSIP: 15723JAG7<br>LEI: 984500B0B47A6AEABC92 | Long             | ABS-MBS          | CORP              | US        |   2515580 | PA      | $1710227.38   | 0.29%             | 2055-05-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| MASTR Reperforming Loan Trust                   | MASTR Reperforming Loan Trust 2005-2                                     | CUSIP: 57643QAH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     92259 | PA      | $66318.92     | 0.01%             | 2035-05-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Champs Trust                                    | Champs Trust 2025-1                                                      | CUSIP: 158926AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4653287 | PA      | $4847727.39   | 0.81%             | 2060-04-25      | Variable      | 8.18%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                   | UBS Commercial Mortgage Trust 2018-C9                                    | CUSIP: 90291JAX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8189275 | PA      | $158922.72    | 0.03%             | 2051-03-15      | Variable      | 0.91%                 | No            |                  2 | On Loan: No      |
| PRPM Fundido                                    | Prpm Fundido 2025-1 DAC                                                  | CUSIP: 000000000<br>LEI: 894500EWWG2B1D664659 | Long             | ABS-MBS          | CORP              | IE        |   4000000 | PA      | $4390413.47   | 0.74%             | 2075-04-29      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                  | Cascade Funding Mortgage Trust 2022-AB2                                  | CUSIP: 12530JAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1071136 | PA      | $993855.54    | 0.17%             | 2052-02-25      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust      | Bear Stearns Asset Backed Securities I Trust 2006-AC2                    | CUSIP: 07387UGC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    413197 | PA      | $124544.32    | 0.02%             | 2036-03-25      | Floating      | 10.96%                | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38375BVX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10617 | PA      | $580.51       | 0.00%             | 2062-05-20      | Variable      | 0.29%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae II Pool                                                       | CUSIP: 36179UHT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6675 | PA      | $6334.66      | 0.00%             | 2048-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae II Pool                                                       | CUSIP: 3618BDKS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     97274 | PA      | $99797.13     | 0.02%             | 2053-05-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 31379NGV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        36 | PA      | $37.46        | 0.00%             | 2028-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Tricolor Auto Securitization Trust              | Tricolor Auto Securitization Trust                                       | CUSIP: 89617QAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $515974.70    | 0.09%             | 2031-04-15      | Fixed         | 8.35%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                              | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2018-1            | CUSIP: 35563PDT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1363958 | PA      | $1164687.49   | 0.20%             | 2057-05-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| FortiFi                                         | FortiFi 2023-1                                                           | CUSIP: 34964YAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    794417 | PA      | $784916.77    | 0.13%             | 2059-09-20      | Fixed         | 6.23%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae II Pool                                                       | CUSIP: 36179Y2R4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1757524 | PA      | $1788403.43   | 0.30%             | 2054-07-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                              | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2019-4            | CUSIP: 35563PME6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    304759 | PA      | $255227.52    | 0.04%             | 2059-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae II Pool                                                       | CUSIP: 36179U3S9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     40343 | PA      | $34735.95     | 0.01%             | 2049-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Brean Asset Backed Securities Trust             | Brean Asset Backed Securities Trust 2023-SRM1                            | CUSIP: 10638RAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2957901 | PA      | $2767796.73   | 0.47%             | 2063-09-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                  | PURCHASED USD / SOLD CAD                                                 | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |         1 | NC      | $18182.34     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38375UJE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    690442 | PA      | $24822.52     | 0.00%             | 2064-05-20      | Variable      | 1.54%                 | No            |                  2 | On Loan: No      |
| CoreVest American Finance Ltd                   | CoreVest American Finance 2021-2 Trust                                   | CUSIP: 21873BAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2233191 | PA      | $52561.94     | 0.01%             | 2054-07-15      | Variable      | 2.86%                 | No            |                  2 | On Loan: No      |
| RMF Proprietary Issuance Trust                  | RMF Proprietary Issuance Trust 2019-1                                    | CUSIP: 74968RAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3770557 | PA      | $3589838.98   | 0.60%             | 2063-10-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 3138A8YQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19191 | PA      | $19292.61     | 0.00%             | 2041-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| RMF Buyout Issuance Trust                       | RMF Buyout Issuance Trust 2021-HB1                                       | CUSIP: 74969TAF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1413559.65   | 0.24%             | 2031-11-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                         | GSR Mortgage Loan Trust 2005-8F                                          | CUSIP: 362341VT3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2282 | PA      | $2084.24      | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Lehman ABS Manufactured Housing Contract        | Lehman ABS Manufactured Housing Contract Trust 2002-A                    | CUSIP: 52519SAX1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1071848 | PA      | $1054660.80   | 0.18%             | 2033-06-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                          | US 2YR NOTE (CBT) SEP25                                                  | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       109 | NC      | $-23324.70    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Brookfield Corporate Treasury Ltd               | Brookfield Corporate Treasury Ltd                                        | CUSIP: 11271EWV6<br>LEI: N/A                  | Long             | STIV             | CORP              | CA        |   5000000 | PA      | $4959916.50   | 0.83%             | 2025-09-29      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| KGS-Alpha SBA COOF Trust                        | KGS-Alpha SBA COOF Trust 2012-2                                          | CUSIP: 48247KAA5<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |    274131 | PA      | $3933.18      | 0.00%             | 2038-08-25      | Variable      | 0.84%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                         | GSR Mortgage Loan Trust 2004-3F                                          | CUSIP: 36228FG34<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9978 | PA      | $9644.28      | 0.00%             | 2034-02-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| NRZ Excess Spread Collateralized Notes          | NRZ Excess Spread-Collateralized Notes Series 2020-PLS1                  | CUSIP: 433674AA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    225794 | PA      | $223868.66    | 0.04%             | 2025-12-25      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae II Pool                                                       | CUSIP: 36183FLP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     68917 | PA      | $63529.31     | 0.01%             | 2044-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| harvest commercial capital loan trust           | Harvest Commercial Capital Loan Trust 2024-1                             | CUSIP: 417927AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1912539 | PA      | $1934421.23   | 0.33%             | 2056-10-25      | Fixed         | 6.16%                 | No            |                  2 | On Loan: No      |
| European Residential Loan Securitization        | LSF11 Boson Investments Sarl Compartment 2                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-O            | CORP              | LU        |   1170527 | PA      | $1295109.04   | 0.22%             | 2060-11-25      | Floating      | 4.05%                 | Yes           |                  2 | On Loan: No      |
| RMF Proprietary Issuance Trust                  | RMF Proprietary Issuance Trust 2022-2                                    | CUSIP: 74970CAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1758520.40   | 0.30%             | 2062-06-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 3140KSH75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    336697 | PA      | $257522.08    | 0.04%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ResLoC UK PLC                                   | Resloc UK 2007-1 PLC                                                     | CUSIP: 000000000<br>LEI: 213800RE18XIC3OI1847 | Long             | ABS-MBS          | CORP              | GB        |    252938 | PA      | $272672.31    | 0.05%             | 2043-12-15      | Floating      | 2.42%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae II Pool                                                       | CUSIP: 3617GTPK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11490 | PA      | $11386.06     | 0.00%             | 2048-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38380VPT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    745179 | PA      | $33381.45     | 0.01%             | 2068-02-20      | Variable      | 2.37%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Whole Loan Securities Trust         | Freddie Mac Whole Loan Securities Trust 2017-SC02                        | CUSIP: 3137G1BS5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    944876 | PA      | $800798.83    | 0.13%             | 2047-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Start Ltd.                                      | Start II LTD                                                             | CUSIP: 85573LAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | BM        |    181139 | PA      | $179549.81    | 0.03%             | 2044-03-15      | Fixed         | 4.09%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 3140Q8Z32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    132598 | PA      | $120068.63    | 0.02%             | 2048-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LHOME Mortgage Trust                            | LHOME Mortgage Trust 2023-RTL2                                           | CUSIP: 50205BAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1075000 | PA      | $1080147.75   | 0.18%             | 2028-06-25      | Variable      | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38375UF39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    851959 | PA      | $24301.80     | 0.00%             | 2067-07-20      | Variable      | 1.77%                 | No            |                  2 | On Loan: No      |
| United States Treasury                          | U.S. Treasury Bills                                                      | CUSIP: 912797QR1<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |  38000000 | PA      | $37509210.62  | 6.30%             | 2025-11-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38375UJZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    780877 | PA      | $46762.85     | 0.01%             | 2064-06-20      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| RMF Buyout Issuance Trust                       | RMF Buyout Issuance Trust 2021-HB1                                       | CUSIP: 74969TAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1891227.80   | 0.32%             | 2031-11-25      | Variable      | 3.69%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae II Pool                                                       | CUSIP: 3618J8WW4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2817167 | PA      | $2827286.59   | 0.48%             | 2054-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38375BDP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        60 | PA      | $3.89         | 0.00%             | 2060-04-20      | Variable      | 1.32%                 | No            |                  2 | On Loan: No      |
| Titulizacion De Activos                         | TDA 19-Mixto FTA                                                         | CUSIP: 000000000<br>LEI: 95980020140005709597 | Long             | ABS-MBS          | CORP              | ES        |    738751 | PA      | $847551.42    | 0.14%             | 2036-03-22      | Floating      | 5.54%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 31418MJQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14638 | PA      | $15343.18     | 0.00%             | 2033-04-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae II Pool                                                       | CUSIP: 3618H9TW8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    533005 | PA      | $521851.60    | 0.09%             | 2054-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Australia & New Zealand Banking Group Ltd.      | PURCHASED EUR / SOLD USD                                                 | CUSIP: 000000000<br>LEI: JHE42UYNWWTJB8YTTU19 | N/A              | DFE              |  | XX        |         1 | NC      | $-7783.82     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | Freddie Mac Gold Pool                                                    | CUSIP: 3132GJUA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     26133 | PA      | $25758.22     | 0.00%             | 2041-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                              | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2018-1            | CUSIP: 35563PDY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    469506 | PA      | $398753.81    | 0.07%             | 2057-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Delta Funding Home Equity Loan Trust            | Delta Funding Home Equity Loan Trust 1999-3                              | CUSIP: 24763LFX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    493050 | PA      | $472239.99    | 0.08%             | 2029-09-15      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| Amortizing Residential Collateral Trust         | Amortizing Residential Collateral Trust 2002-BC7                         | CUSIP: 86358R7H4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    282506 | PA      | $262757.13    | 0.04%             | 2032-10-25      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan Trust              | Morgan Stanley Mortgage Loan Trust 2004-2AR                              | CUSIP: 61748HAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     50438 | PA      | $49189.22     | 0.01%             | 2034-02-25      | Variable      | 6.57%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                               | PRPM 2024-RCF2 LLC                                                       | CUSIP: 693987AC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1019000 | PA      | $959164.32    | 0.16%             | 2054-03-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| ATLX Trust                                      | ATLX 2024-RPL1 Trust                                                     | CUSIP: 049915AC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1421367.15   | 0.24%             | 2064-04-25      | Variable      | 4.34%                 | No            |                  2 | On Loan: No      |
| Eurosail Plc                                    | Eurosail-NL 2007-2 BV                                                    | CUSIP: 000000000<br>LEI: 724500VX65TCSYFLOA51 | Long             | ABS-MBS          | CORP              | NL        |    500000 | PA      | $572048.20    | 0.10%             | 2040-10-17      | Floating      | 4.24%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae II Pool                                                       | CUSIP: 36179VR77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    397479 | PA      | $340370.08    | 0.06%             | 2050-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                          | U.S. Treasury Bills                                                      | CUSIP: 912797NU7<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |  10000000 | PA      | $9829663.70   | 1.65%             | 2025-12-26      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Kestrel Aircraft Funding Limited                | Kestrel Aircraft Funding Ltd                                             | CUSIP: 49255PAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    139480 | PA      | $137761.48    | 0.02%             | 2038-12-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Ocwen Loan Investment Trust                     | Onity Loan Investment Trust 2024-HB2                                     | CUSIP: 68278DAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1938833.00   | 0.33%             | 2037-08-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| Pnmac Gmsr Issuer Trust                         | PNMAC GMSR Issuer Trust                                                  | CUSIP: 69354WAJ5<br>LEI: 5493007JEN3QN6CZC711 | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $4017353.20   | 0.68%             | 2029-03-25      | Floating      | 7.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae REMICS                                                        | CUSIP: 3136AJFH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    127371 | PA      | $7668.15      | 0.00%             | 2044-03-25      | Variable      | 1.78%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Whole Loan Securities Trust         | Freddie Mac Whole Loan Securities Trust 2015-SC02                        | CUSIP: 3137G1AK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     42626 | PA      | $36936.11     | 0.01%             | 2045-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust                  | Bayview Commercial Asset Trust 2007-3                                    | CUSIP: 07325YAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1052991 | PA      | $998744.93    | 0.17%             | 2037-07-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 31418EDW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1627117 | PA      | $1362577.16   | 0.23%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Equity Loan Trust              | CWHEQ Revolving Home Equity Loan Trust Series 2005-F                     | CUSIP: 126685AK2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5642380 | PA      | $5450302.88   | 0.92%             | 2035-12-15      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| RCO Mortgage LLC                                | RCO VIII Mortgage LLC 2025-3                                             | CUSIP: 74939GAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1810369 | PA      | $1812866.35   | 0.30%             | 2030-05-25      | Variable      | 6.43%                 | No            |                  2 | On Loan: No      |
| E-MAC                                           | E-MAC NL 2004-I BV                                                       | CUSIP: 000000000<br>LEI: 724500SQXZRLADX2J753 | Long             | ABS-MBS          | CORP              | NL        |     98238 | PA      | $109583.75    | 0.02%             | 2036-07-25      | Floating      | 4.20%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38375BQW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     18677 | PA      | $1658.77      | 0.00%             | 2062-03-20      | Variable      | 2.76%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust          | Merrill Lynch Mortgage Investors Trust Series 2004-FM1                   | CUSIP: 59020UFY6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     60797 | PA      | $58731.13     | 0.01%             | 2035-01-25      | Floating      | 7.17%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                  | CFMT 2024-NR1 LLC                                                        | CUSIP: 12531DAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1876215 | PA      | $1883418.14   | 0.32%             | 2029-11-25      | Variable      | 6.41%                 | No            |                  2 | On Loan: No      |
| RMF Buyout Issuance Trust                       | RMF Buyout Issuance Trust 2020-HB1                                       | CUSIP: 76971EAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1662000 | PA      | $1546693.27   | 0.26%             | 2050-10-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                 | Fannie Mae Interest Strip                                                | CUSIP: 31364JN82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13965 | PA      | $1484.08      | 0.00%             | 2030-05-25      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                    | GS Mortgage Securities Trust 2014-GC24                                   | CUSIP: 36253GAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    128169 | PA      | $1.28         | 0.00%             | 2047-09-10      | Variable      | 0.29%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 31416BXR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3730 | PA      | $3829.31      | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Oakwood Mortgage Investors Inc.                 | Oakwood Mortgage Investors Inc                                           | CUSIP: 67087TBN0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     15175 | PA      | $15200.76     | 0.00%             | 2030-04-15      | Fixed         | 7.72%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage Trust              | EFMT 2025-RM1                                                            | CUSIP: 267951AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $2869705.20   | 0.48%             | 2055-05-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                          | U.S. Treasury Bills                                                      | CUSIP: 912797PP6<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |   5000000 | PA      | $4988080.55   | 0.84%             | 2025-08-21      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | Freddie Mac Pool                                                         | CUSIP: 3133JL7L7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1350256 | PA      | $1231639.82   | 0.21%             | 2052-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Asset Backed Funding Certificates               | ABFC 2004-OPT2 Trust                                                     | CUSIP: 04542BFU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    216512 | PA      | $215621.85    | 0.04%             | 2033-10-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                              | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2018-4            | CUSIP: 35563PGZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    323692 | PA      | $274236.80    | 0.05%             | 2058-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 3140HDJW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    140323 | PA      | $131460.53    | 0.02%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38375BSJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     83262 | PA      | $11513.77     | 0.00%             | 2062-04-20      | Variable      | 3.09%                 | No            |                  2 | On Loan: No      |
| MLCC Mortgage Investors Inc                     | Merrill Lynch Mortgage Investors Trust Series MLCC 2007-1                | CUSIP: 59023HAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6724 | PA      | $6491.14      | 0.00%             | 2037-01-25      | Variable      | 5.03%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust                  | Bayview Commercial Asset Trust 2006-3                                    | CUSIP: 07324NAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    651462 | PA      | $612564.87    | 0.10%             | 2036-10-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38380LCG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    127524 | PA      | $4502.65      | 0.00%             | 2068-03-20      | Variable      | 1.66%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 3140JCA95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1783799 | PA      | $1593220.82   | 0.27%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Champs Trust                                    | Champs Trust 2024-1                                                      | CUSIP: 15878AAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1056918 | PA      | $1094156.86   | 0.18%             | 2059-07-25      | Variable      | 8.72%                 | No            |                  2 | On Loan: No      |
| RMF Buyout Issuance Trust                       | RMF Buyout Issuance Trust 2020-HB1                                       | CUSIP: 76971EAH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7941136 | PA      | $6176359.78   | 1.04%             | 2050-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                  | CFMT 2024-HB14 LLC                                                       | CUSIP: 12530XAE1<br>LEI: 9845005986F840FBE847 | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $2737936.80   | 0.46%             | 2034-06-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Brean Asset Backed Securities Trust             | Brean Asset Backed Securities Trust 2023-SRM1                            | CUSIP: 10638RAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    609748 | PA      | $601407.12    | 0.10%             | 2063-09-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38376RXL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10002478 | PA      | $314828.00    | 0.05%             | 2066-07-20      | Variable      | 1.63%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae II Pool                                                       | CUSIP: 3618FSVZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    141477 | PA      | $147190.02    | 0.02%             | 2053-10-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                       | Uniform Mortgage-Backed Security, TBA                                    | CUSIP: 01F030686<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  30000000 | PA      | $25676952.00  | 4.31%             | 2055-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 31418DBW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     61288 | PA      | $58002.01     | 0.01%             | 2049-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Mansard Mortgages Plc                           | Mansard Mortgages 2006-1 PLC                                             | CUSIP: 000000000<br>LEI: 213800OR1ZCE1EMOXP13 | Long             | ABS-MBS          | CORP              | GB        |    347749 | PA      | $447022.42    | 0.08%             | 2048-10-15      | Floating      | 4.96%                 | Yes           |                  2 | On Loan: No      |
| Asset Backed Funding Certificates               | ABFC 2005-WF1 Trust                                                      | CUSIP: 04542BMC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    108615 | PA      | $104324.66    | 0.02%             | 2034-07-25      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38375BL67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     68896 | PA      | $2942.52      | 0.00%             | 2062-10-20      | Variable      | 0.22%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 3140MFQM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2175954 | PA      | $1735667.85   | 0.29%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae II Pool                                                       | CUSIP: 3617JUSZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     24652 | PA      | $23741.72     | 0.00%             | 2049-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38376RCW4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10281778 | PA      | $348014.24    | 0.06%             | 2065-06-20      | Variable      | 1.81%                 | No            |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                           | FMC GMSR Issuer Trust                                                    | CUSIP: 30259RAH8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1200000 | PA      | $1140750.00   | 0.19%             | 2026-07-25      | Variable      | 3.62%                 | No            |                  2 | On Loan: No      |
| RMF Proprietary Issuance Trust                  | RMF Proprietary Issuance Trust 2021-2                                    | CUSIP: 74969VAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1082681 | PA      | $952730.68    | 0.16%             | 2061-09-25      | Variable      | 2.12%                 | No            |                  2 | On Loan: No      |
| Champs Trust                                    | Champs Trust 2024-2                                                      | CUSIP: 15878BAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2152924 | PA      | $2242644.86   | 0.38%             | 2059-11-25      | Variable      | 9.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38375BYH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     46975 | PA      | $4729.59      | 0.00%             | 2061-11-20      | Variable      | 0.51%                 | No            |                  2 | On Loan: No      |
| Ocwen Loan Investment Trust                     | Ocwen Loan Investment Trust 2023-HB1                                     | CUSIP: 67578KAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $488628.20    | 0.08%             | 2036-06-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                  | CFMT 2024-HB14 LLC                                                       | CUSIP: 12530XAF8<br>LEI: 9845005986F840FBE847 | Long             | ABS-MBS          | CORP              | US        |   4000000 | PA      | $3540023.60   | 0.59%             | 2034-06-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| RMF Buyout Issuance Trust                       | RMF Buyout Issuance Trust 2021-HB1                                       | CUSIP: 74969TAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5250000 | PA      | $4939847.33   | 0.83%             | 2031-11-25      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38377WJ96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     60507 | PA      | $4578.64      | 0.00%             | 2041-04-20      | Floating      | 1.64%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 3140JSED7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4254362 | PA      | $3240646.95   | 0.54%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loans Trust                   | MASTR Alternative Loan Trust 2003-4                                      | CUSIP: 576434EJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    111680 | PA      | $101379.25    | 0.02%             | 2018-05-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38380LWR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1622279 | PA      | $63732.33     | 0.01%             | 2069-06-20      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                              | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2019-4            | CUSIP: 35563PMT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    627211 | PA      | $581273.52    | 0.10%             | 2059-02-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae REMICS                                                        | CUSIP: 31397NWG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12636 | PA      | $11069.69     | 0.00%             | 2039-04-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38375UM49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    787404 | PA      | $42279.20     | 0.01%             | 2067-10-20      | Variable      | 2.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 31389UVE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       656 | PA      | $681.45       | 0.00%             | 2032-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae II Pool                                                       | CUSIP: 3618H9TX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    444277 | PA      | $445873.29    | 0.07%             | 2054-08-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates         | WaMu Mortgage Backed Pass Through Certificates Series 2001-AR5           | CUSIP: 22540VLE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    154984 | PA      | $154197.79    | 0.03%             | 2039-12-19      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| A&D Mortgage Trust                              | A&D Mortgage Trust 2023-NQM5                                             | CUSIP: 00249XAA6<br>LEI: 984500L072D83D1AA637 | Long             | ABS-MBS          | CORP              | US        |   1562990 | PA      | $1584670.39   | 0.27%             | 2068-11-25      | Variable      | 7.05%                 | No            |                  2 | On Loan: No      |
| E-MAC                                           | E-Mac DE 2007-I BV                                                       | CUSIP: 000000000<br>LEI: 724500O14PEZ6A6JKY59 | Long             | ABS-MBS          | CORP              | NL        |   1500000 | PA      | $980998.74    | 0.16%             | 2054-11-25      | Floating      | 7.30%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38375BZ96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    182152 | PA      | $7533.16      | 0.00%             | 2063-04-20      | Variable      | 1.65%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38375UFU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    337470 | PA      | $9270.73      | 0.00%             | 2064-01-20      | Variable      | 1.34%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                        | JP Morgan Mortgage Trust 2004-A6                                         | CUSIP: 466247GS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     38654 | PA      | $35021.63     | 0.01%             | 2034-12-25      | Variable      | 4.07%                 | No            |                  2 | On Loan: No      |
| Waterfall Commercial Mortgage Trust             | Waterfall Commercial Mortgage Trust 2015-SBC5                            | CUSIP: 94132LAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    624996 | PA      | $615310.29    | 0.10%             | 2022-09-14      | Variable      | 4.10%                 | No            |                  2 | On Loan: No      |
| Boston Lending Trust                            | Boston Lending Trust 2022-2                                              | CUSIP: 10085BAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1800000 | PA      | $1668867.66   | 0.28%             | 2062-05-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38375U4W7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    865762 | PA      | $53427.91     | 0.01%             | 2068-01-20      | Variable      | 2.29%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                               | PURCHASED EUR / SOLD USD                                                 | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | XX        |         1 | NC      | $-35486.98    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38375UQU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2266592 | PA      | $157070.20    | 0.03%             | 2064-10-20      | Variable      | 2.29%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partners LLC            | PRET 2025-NPL3 LLC                                                       | CUSIP: 74143HAA3<br>LEI: 254900UGRYVHG7BY6M45 | Long             | ABS-O            | CORP              | US        |   2959252 | PA      | $2980400.96   | 0.50%             | 2055-04-25      | Variable      | 6.71%                 | No            |                  2 | On Loan: No      |
| Westpac Banking Corp.                           | PURCHASED GBP / SOLD USD                                                 | CUSIP: 000000000<br>LEI: EN5TNI6CI43VEPAMHL14 | N/A              | DFE              |  | GB        |         1 | NC      | $-3083.97     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Prosil Acquisition                              | Prosil Acquisition SA                                                    | CUSIP: 000000000<br>LEI: 529900REZH4056FENJ94 | Long             | ABS-O            | CORP              | LU        |    559383 | PA      | $533297.79    | 0.09%             | 2039-10-31      | Floating      | 4.03%                 | Yes           |                  2 | On Loan: No      |
| Finance of America Structured Securities Trust  | Finance of America Structured Securities Trust                           | CUSIP: 31741AAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2533713 | PA      | $2430435.50   | 0.41%             | 2074-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust         | Saluda Grade Alternative Mortgage Trust 2020-SEQ1                        | CUSIP: 79581PAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2500000 | PA      | $2540034.75   | 0.43%             | 2050-05-25      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                       | Uniform Mortgage-Backed Security, TBA                                    | CUSIP: 01F050684<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  13000000 | PA      | $12653164.55  | 2.13%             | 2054-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ECAF LTD                                        | ECAF I Ltd                                                               | CUSIP: 26827EAA3<br>LEI: 635400SSRNQERTYCWK57 | Long             | ABS-O            | CORP              | KY        |     18947 | PA      | $13877.10     | 0.00%             | 2040-06-15      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                           | FMC Issuer Trust-FMSR                                                    | CUSIP: 30191JAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3800000 | PA      | $3828370.80   | 0.64%             | 2029-09-25      | Fixed         | 6.56%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc               | Citigroup Mortgage Loan Trust 2005-11                                    | CUSIP: 17307GW95<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     82167 | PA      | $81593.12     | 0.01%             | 2035-11-25      | Floating      | 6.31%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | Freddie Mac Pool                                                         | CUSIP: 3133SKBW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2264292 | PA      | $1806131.50   | 0.30%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| National City Mortgage Capital Trust            | National City Mortgage Capital Trust                                     | CUSIP: 635419AE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     54355 | PA      | $51707.58     | 0.01%             | 2038-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                | PURCHASED USD / SOLD DKK                                                 | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |         1 | NC      | $99218.77     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust                  | Bayview Commercial Asset Trust 2007-3                                    | CUSIP: 07325YAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1142575 | PA      | $1077754.94   | 0.18%             | 2037-07-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38375B6R8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     26942 | PA      | $890.48       | 0.00%             | 2063-08-20      | Variable      | 1.99%                 | No            |                  2 | On Loan: No      |
| Equifirst Mortgage Loan Trust                   | EquiFirst Mortgage Loan Trust 2004-2                                     | CUSIP: 29445FBP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    132472 | PA      | $123875.33    | 0.02%             | 2034-10-25      | Floating      | 7.47%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38375B4R0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4049 | PA      | $410.47       | 0.00%             | 2063-07-20      | Variable      | 2.43%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 31418D7B2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4981126 | PA      | $3809805.66   | 0.64%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 31390EZX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       634 | PA      | $666.21       | 0.00%             | 2032-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Harvest SBA Loan Trust                          | Harvest SBA Loan Trust 2023-1                                            | CUSIP: 41757BAA2<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |   1512857 | PA      | $1541292.86   | 0.26%             | 2050-10-25      | Floating      | 7.68%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38376RQY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    281682 | PA      | $14775.19     | 0.00%             | 2065-07-20      | Variable      | 2.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38375URW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1411159 | PA      | $76257.49     | 0.01%             | 2064-11-20      | Variable      | 1.75%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                          | CHL Mortgage Pass-Through Trust 2004-HYB1                                | CUSIP: 12669FNP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     67452 | PA      | $62029.11     | 0.01%             | 2034-05-20      | Variable      | 5.20%                 | No            |                  2 | On Loan: No      |
| Quest Trust                                     | Quest Trust                                                              | CUSIP: 748351AD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    321294 | PA      | $355452.89    | 0.06%             | 2033-05-25      | Floating      | 8.22%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae II Pool                                                       | CUSIP: 36179UZH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    146045 | PA      | $125745.90    | 0.02%             | 2049-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| RMF Buyout Issuance Trust                       | RMF Buyout Issuance Trust 2022-HB1                                       | CUSIP: 76970HAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1287872.40   | 0.22%             | 2032-04-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae II Pool                                                       | CUSIP: 36179XJR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    301181 | PA      | $303679.94    | 0.05%             | 2052-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Banco Santander SA                              | Banco Santander SA                                                       | CUSIP: 05970UAE8<br>LEI: 5493006QMFDDMYWIAM13 | Long             | STIV             | CORP              | ES        |   3000000 | PA      | $2940931.68   | 0.49%             | 2026-01-14      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| RMF Proprietary Issuance Trust                  | RMF Proprietary Issuance Trust 2020-1                                    | CUSIP: 74969MAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1422414 | PA      | $1261569.08   | 0.21%             | 2060-04-26      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38375GZ79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    174087 | PA      | $18947.56     | 0.00%             | 2042-08-20      | Floating      | 1.64%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38378HP26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    549206 | PA      | $91063.24     | 0.02%             | 2042-10-16      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                  | Cascade Funding Mortgage Trust                                           | CUSIP: 12529GAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1200000 | PA      | $1186415.88   | 0.20%             | 2035-11-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| VineBrook Homes                                 | VINE 2023-SFR1 Trust                                                     | CUSIP: 91825KAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1411200.30   | 0.24%             | 2040-12-17      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| RMF Proprietary Issuance Trust                  | RMF Proprietary Issuance Trust 2022-2                                    | CUSIP: 74970CAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2250000 | PA      | $2020205.70   | 0.34%             | 2062-06-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae II Pool                                                       | CUSIP: 36179VKA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    154671 | PA      | $133173.00    | 0.02%             | 2050-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38375U2D1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     63279 | PA      | $1936.59      | 0.00%             | 2067-12-20      | Variable      | 0.33%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 3138YYTZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39673 | PA      | $37489.85     | 0.01%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                         | GSR Mortgage Loan Trust 2005-2F                                          | CUSIP: 36242DYH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     35916 | PA      | $21990.02     | 0.00%             | 2035-03-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| METAL Cayman                                    | METAL 2017-1 LLC                                                         | CUSIP: 59111RAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    234665 | PA      | $156061.67    | 0.03%             | 2042-10-15      | Fixed         | 4.58%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                  | CFMT 2024-HB13 LLC                                                       | CUSIP: 12530VAE5<br>LEI: 984500D67D63D8645054 | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $2708769.00   | 0.46%             | 2034-05-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Loandepot GMSR Master Trust                     | LOANDEPOT GMSR Trust                                                     | CUSIP: 53946TAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $5012947.00   | 0.84%             | 2030-05-16      | Floating      | 7.19%                 | No            |                  2 | On Loan: No      |
| REMIC FUNDING TRUST 98-1                        | Redwood Funding Trust 2023-1                                             | CUSIP: 75806CAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3588554 | PA      | $3614781.32   | 0.61%             | 2059-07-25      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust      | Bear Stearns Asset Backed Securities Trust 2001-3                        | CUSIP: 07384YBN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     18413 | PA      | $18404.35     | 0.00%             | 2032-10-27      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38376RC79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    410298 | PA      | $11808.95     | 0.00%             | 2066-10-20      | Variable      | 1.81%                 | No            |                  2 | On Loan: No      |
| LHOME Mortgage Trust                            | LHOME Mortgage Trust 2023-RTL3                                           | CUSIP: 50205TAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1300000 | PA      | $1308738.47   | 0.22%             | 2028-08-25      | Variable      | 8.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 3140K8XN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    167150 | PA      | $145851.06    | 0.02%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38375BZM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     97783 | PA      | $3.82         | 0.00%             | 2062-01-20      | Variable      | 0.30%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | Freddie Mac Non Gold Pool                                                | CUSIP: 3142BN2G8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1586031 | PA      | $1601797.81   | 0.27%             | 2054-09-01      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| CoreVest American Finance Ltd                   | CoreVest American Finance 2020-3 Trust                                   | CUSIP: 21873CAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    482332 | PA      | $5952.60      | 0.00%             | 2053-08-15      | Variable      | 3.66%                 | No            |                  2 | On Loan: No      |
| Cendant Mortgage Corporation                    | Cendant Mortgage Corp                                                    | CUSIP: 151314FP1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     70901 | PA      | $71243.53     | 0.01%             | 2043-07-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae II Pool                                                       | CUSIP: 36179UQV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     28531 | PA      | $27817.71     | 0.00%             | 2049-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 31418DD74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60451 | PA      | $54407.81     | 0.01%             | 2049-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| New Century Home Equity Loan Trust              | New Century Home Equity Loan Trust Series 2003-5                         | CUSIP: 64352VEG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    179348 | PA      | $109611.97    | 0.02%             | 2033-11-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 3140JVWS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     76252 | PA      | $69118.28     | 0.01%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ECAF LTD                                        | ECAF I Ltd                                                               | CUSIP: 26827EAC9<br>LEI: 635400SSRNQERTYCWK57 | Long             | ABS-O            | CORP              | KY        |    324806 | PA      | $290724.30    | 0.05%             | 2040-06-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae II Pool                                                       | CUSIP: 36179UKM3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13183 | PA      | $12169.97     | 0.00%             | 2049-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38375U2N9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    791950 | PA      | $25871.91     | 0.00%             | 2067-11-20      | Variable      | 2.30%                 | No            |                  2 | On Loan: No      |
| Newgate Funding PLC                             | Newgate Funding PLC                                                      | CUSIP: 000000000<br>LEI: 2138006KF4KS6D5P1697 | Long             | ABS-MBS          | CORP              | GB        |    333269 | PA      | $433302.03    | 0.07%             | 2050-12-15      | Floating      | 7.36%                 | Yes           |                  2 | On Loan: No      |
| IMS Ecuadorian Mortgage Trust                   | IMS ECUADORIAN MORTGAGE 2021-1 TRUST                                     | CUSIP: 44970EAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    285858 | PA      | $277332.06    | 0.05%             | 2043-08-18      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae II Pool                                                       | CUSIP: 36179VVR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    485903 | PA      | $431276.10    | 0.07%             | 2050-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                              | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2019-1            | CUSIP: 35563PJE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    822359 | PA      | $724112.84    | 0.12%             | 2058-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust         | Saluda Grade Alternative Mortgage Trust 2024-RTL4                        | CUSIP: 79584CAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2200000 | PA      | $2213943.60   | 0.37%             | 2030-02-25      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| FMC GMSR ISSUER TRUST                           | FMC GMSR Issuer Trust                                                    | CUSIP: 30259RAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1948964.40   | 0.33%             | 2026-01-25      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                       | Uniform Mortgage-Backed Security, TBA                                    | CUSIP: 01F052680<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  60000000 | PA      | $59678907.00  | 10.03%            | 2054-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                              | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2019-1            | CUSIP: 35563PJQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3304172 | PA      | $3213059.57   | 0.54%             | 2058-07-25      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                  | CFMT 2023-H12 LLC                                                        | CUSIP: 12530QAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2500000 | PA      | $2351795.50   | 0.40%             | 2033-04-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae II Pool                                                       | CUSIP: 3618K4DG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1942849 | PA      | $1948006.03   | 0.33%             | 2054-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38376RWP7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    239678 | PA      | $9144.88      | 0.00%             | 2066-06-20      | Floating      | 0.83%                 | No            |                  2 | On Loan: No      |
| Woodward Capital Management                     | RCKT Mortgage Trust 2024-INV1                                            | CUSIP: 74938QAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     83334 | PA      | $85104.84     | 0.01%             | 2054-06-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| RiverView HECM Trust                            | RiverView HECM Trust                                                     | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1662892 | PA      | $1451223.87   | 0.24%             | 2047-05-25      | Floating      | 4.74%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38375BR79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       553 | PA      | $10.32        | 0.00%             | 2062-04-20      | Variable      | 0.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 3138A1JH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6464 | PA      | $6498.43      | 0.00%             | 2040-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| E-MAC Program B.V.                              | E-MAC Program BV                                                         | CUSIP: 000000000<br>LEI: 724500SKQP7E7072AD15 | Long             | ABS-MBS          | CORP              | NL        |    133994 | PA      | $144356.86    | 0.02%             | 2048-01-25      | Floating      | 5.46%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac - SCRT                              | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2019-3            | CUSIP: 35563PLU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3905272 | PA      | $3802752.25   | 0.64%             | 2058-10-25      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae II Pool                                                       | CUSIP: 36179VHG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    247355 | PA      | $212975.08    | 0.04%             | 2050-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 31388HBH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17500 | PA      | $18187.72     | 0.00%             | 2031-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | Freddie Mac Gold Pool                                                    | CUSIP: 3132GLN75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     72133 | PA      | $69280.75     | 0.01%             | 2041-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 31416WP71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7662 | PA      | $7546.23      | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                              | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2017-2            | CUSIP: 35563PBE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1438162 | PA      | $1227548.66   | 0.21%             | 2056-08-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae II Pool                                                       | CUSIP: 36179VL24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    140158 | PA      | $115854.31    | 0.02%             | 2050-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                              | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2018-3            | CUSIP: 35563PGA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    545721 | PA      | $463026.45    | 0.08%             | 2057-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                              | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2024-1            | CUSIP: 35563PR43<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2991702 | PA      | $2464075.47   | 0.41%             | 2063-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae REMICS                                                        | CUSIP: 3136BAS21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    553460 | PA      | $324539.00    | 0.05%             | 2050-07-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| European Residential Loan Securitization        | LSF11 Boson Investments Sarl Compartment 2                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-O            | CORP              | LU        |   1392523 | PA      | $1540733.12   | 0.26%             | 2060-11-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38375BYF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     41007 | PA      | $370.07       | 0.00%             | 2062-09-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae II Pool                                                       | CUSIP: 36179VHJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    149553 | PA      | $137636.51    | 0.02%             | 2050-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ABFS MORTGAGE LOAN TRUST                        | ABFS MORTGAGE LOAN TRUST                                                 | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3324696 | PA      | $402919.86    | 0.07%             | 2034-04-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Eurohome Italy Mortgages                        | Eurohome Italy Mortgages Srl                                             | CUSIP: 000000000<br>LEI: 8156005F4093CD5E0195 | Long             | ABS-MBS          | CORP              | IT        |   2646936 | PA      | $2856698.44   | 0.48%             | 2054-11-02      | Floating      | 2.78%                 | Yes           |                  2 | On Loan: No      |
| Great Hall Mortgages Plc                        | Great Hall Mortgages No 1 PLC                                            | CUSIP: 000000000<br>LEI: 213800TM9KICQKGTYR78 | Long             | ABS-MBS          | CORP              | GB        |    389854 | PA      | $440397.23    | 0.07%             | 2039-03-18      | Floating      | 2.22%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                        | JP Morgan Mortgage Trust Series 2008-R2                                  | CUSIP: 46632TAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     59112 | PA      | $55008.85     | 0.01%             | 2037-07-27      | Variable      | 4.08%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | Freddie Mac Gold Pool                                                    | CUSIP: 3128M7SU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13193 | PA      | $13915.18     | 0.00%             | 2035-05-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | Freddie Mac Pool                                                         | CUSIP: 3133N3WH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    409249 | PA      | $331172.82    | 0.06%             | 2050-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | Freddie Mac Gold Pool                                                    | CUSIP: 31281BWC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    178414 | PA      | $166517.53    | 0.03%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| TBA GOLDMAN SACHS BOC                           | TBA GOLDMAN SACHS BOC                                                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | STIV             | CORP              | US        |    -20000 | NS      | $-20000.00    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                              | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2019-3            | CUSIP: 35563PLB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    119306 | PA      | $102037.57    | 0.02%             | 2058-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 31390RTP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       824 | PA      | $859.41       | 0.00%             | 2032-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 3140L6M76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    604091 | PA      | $458119.43    | 0.08%             | 2051-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38375BJJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    654790 | PA      | $43711.72     | 0.01%             | 2060-11-20      | Variable      | 1.62%                 | No            |                  2 | On Loan: No      |
| Oakwood Mortgage Investors Inc.                 | Oakwood Mortgage Investors Inc                                           | CUSIP: 67087TAQ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     48803 | PA      | $49281.62     | 0.01%             | 2029-11-15      | Variable      | 7.84%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38376RVD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11251767 | PA      | $570935.00    | 0.10%             | 2066-04-20      | Variable      | 2.60%                 | No            |                  2 | On Loan: No      |
| SHENTON AIRCRAFT INVESTMENT LTD                 | Shenton Aircraft Investment I Ltd                                        | CUSIP: 82321UAA1<br>LEI: 254900877LAQRYY3YZ51 | Long             | ABS-O            | CORP              | KY        |    594236 | PA      | $574870.47    | 0.10%             | 2042-10-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | Freddie Mac Gold Pool                                                    | CUSIP: 312944BB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20766 | PA      | $20901.83     | 0.00%             | 2040-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                               | PRPM 2024-RCF3 LLC                                                       | CUSIP: 74390BAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1813434.80   | 0.30%             | 2054-05-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust                  | Bayview Commercial Asset Trust 2005-3                                    | CUSIP: 07324SCD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    370340 | PA      | $359661.47    | 0.06%             | 2035-11-25      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae REMICS                                                        | CUSIP: 31398THK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    195954 | PA      | $189744.28    | 0.03%             | 2050-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae II Pool                                                       | CUSIP: 36179U3T7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    357262 | PA      | $318101.66    | 0.05%             | 2049-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                          | PURCHASED GBP / SOLD USD                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | GB        |         1 | NC      | $-20145.56    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS, TBA                                       | Uniform Mortgage-Backed Security, TBA                                    | CUSIP: 01F060683<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  10000000 | PA      | $10138671.50  | 1.70%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BX Trust                                        | BX Trust 2023-DELC                                                       | CUSIP: 05610DAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1800000 | PA      | $1827193.32   | 0.31%             | 2038-05-15      | Floating      | 9.63%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                              | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2019-3            | CUSIP: 35563PLQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    183963 | PA      | $171712.74    | 0.03%             | 2058-10-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae II Pool                                                       | CUSIP: 36179UVZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     27849 | PA      | $26428.93     | 0.00%             | 2049-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Backed Securities Trust             | MASTR Asset Securitization Trust 2002-NC1                                | CUSIP: 61909QAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1515955 | PA      | $1459660.87   | 0.25%             | 2032-10-25      | Floating      | 7.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | Freddie Mac Gold Pool                                                    | CUSIP: 3128M7S56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9401 | PA      | $9892.06      | 0.00%             | 2031-08-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae II Pool                                                       | CUSIP: 3617JUST9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     30107 | PA      | $27886.77     | 0.00%             | 2049-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Business Loan Express                           | Business Loan Express Business Loan Trust 2007-A                         | CUSIP: 12328RAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1314681 | PA      | $1224158.16   | 0.21%             | 2040-10-20      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38382YTV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8491275 | PA      | $456345.73    | 0.08%             | 2072-05-20      | Variable      | 0.59%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | Freddie Mac Gold Pool                                                    | CUSIP: 31323ABF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    114212 | PA      | $103572.96    | 0.02%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                        | OBX 2023-INV1                                                            | CUSIP: 67448KAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1776541 | PA      | $1498470.87   | 0.25%             | 2052-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | Freddie Mac Gold Pool                                                    | CUSIP: 31323AEC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     31084 | PA      | $28449.28     | 0.00%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                          | US 10YR NOTE (CBT)SEP25                                                  | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       100 | NC      | $108236.60    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38376RVS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3696966 | PA      | $336632.53    | 0.06%             | 2066-06-20      | Variable      | 2.65%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38375BQU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     21213 | PA      | $3987.10      | 0.00%             | 2060-09-20      | Variable      | 3.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38375UWZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1164321 | PA      | $33551.56     | 0.01%             | 2066-01-20      | Variable      | 1.92%                 | No            |                  2 | On Loan: No      |
| Amortizing Residential Collateral Trust         | Amortizing Residential Collateral Trust                                  | CUSIP: 86358RND5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    407718 | PA      | $401274.97    | 0.07%             | 2031-10-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38375BVZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16793 | PA      | $917.00       | 0.00%             | 2062-05-20      | Variable      | 0.28%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38375GA76<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    191540 | PA      | $19370.12     | 0.00%             | 2042-08-20      | Floating      | 1.53%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust      | Bear Stearns Asset Backed Securities Trust 2005-SD1                      | CUSIP: 073877AJ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1348092 | PA      | $1550723.95   | 0.26%             | 2043-08-25      | Floating      | 8.14%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae II Pool                                                       | CUSIP: 3618BWLQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    104361 | PA      | $107068.49    | 0.02%             | 2053-06-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae II Pool                                                       | CUSIP: 36179UNZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     21489 | PA      | $20393.83     | 0.00%             | 2049-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                           | FMC GMSR Issuer Trust                                                    | CUSIP: 30259RAJ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $942250.10    | 0.16%             | 2026-07-25      | Variable      | 4.36%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38375UBD1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    236679 | PA      | $3932.79      | 0.00%             | 2063-08-20      | Variable      | 1.06%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                 | Fannie Mae Interest Strip                                                | CUSIP: 31364JT29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7083 | PA      | $514.77       | 0.00%             | 2030-06-25      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| EMF-NL Bv                                       | EMF-NL Prime 2008-A BV                                                   | CUSIP: 000000000<br>LEI: 724500YACYYG8XY5LM10 | Long             | ABS-MBS          | CORP              | NL        |     33023 | PA      | $37499.99     | 0.01%             | 2041-04-17      | Floating      | 2.84%                 | Yes           |                  2 | On Loan: No      |
| SHENTON AIRCRAFT INVESTMENT LTD                 | Shenton Aircraft Investment Ltd                                          | CUSIP: 82321UAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    188873 | PA      | $160138.02    | 0.03%             | 2042-10-15      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                     | Freddie Mac Gold Pool                                                    | CUSIP: 3132M7C55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    106754 | PA      | $101649.50    | 0.02%             | 2044-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                              | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2018-4            | CUSIP: 35563PHK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    443184 | PA      | $415408.46    | 0.07%             | 2058-03-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae II Pool                                                       | CUSIP: 3617UNGT5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1006131 | PA      | $841411.60    | 0.14%             | 2051-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Falcon Aerospace Ltd                            | Falcon 2019-1 Aerospace Ltd                                              | CUSIP: 30610GAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    239102 | PA      | $234407.17    | 0.04%             | 2039-09-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 31418CTP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30384 | PA      | $27517.51     | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 31418AJZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     80538 | PA      | $73572.54     | 0.01%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | Freddie Mac Pool                                                         | CUSIP: 3133JLYK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     86699 | PA      | $69156.45     | 0.01%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | Freddie Mac REMICS                                                       | CUSIP: 3137B53F8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     21286 | PA      | $4638.73      | 0.00%             | 2041-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                              | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2019-2            | CUSIP: 35563PKL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    693859 | PA      | $646320.99    | 0.11%             | 2058-08-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                    | CSMC 2021-BRIT                                                           | CUSIP: 12658RAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    815707 | PA      | $800208.24    | 0.13%             | 2026-05-09      | Floating      | 7.92%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                       | Uniform Mortgage-Backed Security, TBA                                    | CUSIP: 01F022683<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8000000 | PA      | $6553749.60   | 1.10%             | 2054-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 31371HTA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       382 | PA      | $393.67       | 0.00%             | 2029-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae II Pool                                                       | CUSIP: 36179VFE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    104980 | PA      | $93472.76     | 0.02%             | 2050-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                        | Morgan Stanley Institutional Liquidity Funds - Government Portfolio      | CUSIP: 61747C707<br>LEI: 549300BI6Y5SI6BYPB26 | Long             | STIV             | RF                | US        |   8705558 | NS      | $8705558.32   | 1.46%             |  |  |  | No            |                  1 | On Loan: No      |
| Danske Bank A/S                                 | Danske Bank A/S                                                          | CUSIP: 23636RA95<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | STIV             | CORP              | DK        |   2000000 | PA      | $1960912.78   | 0.33%             | 2026-01-09      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| TIAA Bank Mortgage Loan Trust                   | TIAA Bank Mortgage Loan Trust 2018-3                                     | CUSIP: 88632AAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    107908 | PA      | $100958.01    | 0.02%             | 2048-11-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Boston Lending Trust                            | Boston Lending Trust 2022-2                                              | CUSIP: 10085BAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2252802 | PA      | $2132748.38   | 0.36%             | 2062-05-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| RMF Buyout Issuance Trust                       | RMF Buyout Issuance Trust 2021-HB1                                       | CUSIP: 74969TAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $482682.70    | 0.08%             | 2031-11-25      | Variable      | 3.15%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38375U5C0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4216289 | PA      | $185432.38    | 0.03%             | 2068-02-20      | Variable      | 2.38%                 | No            |                  2 | On Loan: No      |
| E-MAC                                           | E-MAC NL 2005-I BV                                                       | CUSIP: 000000000<br>LEI: 724500ZVKRLV3I0BMR76 | Long             | ABS-MBS          | CORP              | NL        |     54739 | PA      | $57379.11     | 0.01%             | 2038-04-25      | Floating      | 6.44%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38376RCP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     70149 | PA      | $1146.32      | 0.00%             | 2063-05-20      | Variable      | 0.23%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                              | Seasoned Credit Risk Transfer Trust Series 2025-1                        | CUSIP: 35563PZ28<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    698573 | PA      | $631254.19    | 0.11%             | 2064-11-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae II Pool                                                       | CUSIP: 3617UNGV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    725595 | PA      | $600454.93    | 0.10%             | 2051-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                         | PURCHASED EUR / SOLD USD                                                 | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | XX        |         1 | NC      | $-4333.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 3140K8XM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    142089 | PA      | $118778.13    | 0.02%             | 2050-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae REMICS                                                        | CUSIP: 3136A6WV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    352594 | PA      | $35163.76     | 0.01%             | 2042-06-25      | Floating      | 1.59%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                          | PURCHASED USD / SOLD GBP                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |         1 | NC      | $51289.48     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae                                                               | CUSIP: 21H040681<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5400000 | PA      | $4973003.10   | 0.84%             | 2054-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                              | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2017-3            | CUSIP: 35563PBS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    141920 | PA      | $120576.31    | 0.02%             | 2056-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Adjustable Rate Mortgage Trust                  | Adjustable Rate Mortgage Trust 2004-5                                    | CUSIP: 007036ES1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     56694 | PA      | $54050.32     | 0.01%             | 2035-04-25      | Variable      | 5.05%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                              | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2020-3            | CUSIP: 35563PTU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1200000 | PA      | $1142430.72   | 0.19%             | 2060-05-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| Oakwood Mortgage Investors Inc.                 | Oakwood Mortgage Investors Inc                                           | CUSIP: 67087TCM1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    848508 | PA      | $64135.98     | 0.01%             | 2031-06-15      | Variable      | 7.41%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38380QSV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5842107 | PA      | $293366.86    | 0.05%             | 2070-12-20      | Variable      | 1.08%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 31418MJP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15643 | PA      | $16489.55     | 0.00%             | 2037-08-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38376RUX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6146727 | PA      | $214477.70    | 0.04%             | 2066-06-20      | Variable      | 2.37%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corporation         | Structured Asset Securities Corp Mortgage Pass-Through Certificates Seri | CUSIP: 863572Z97<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     42593 | PA      | $41903.92     | 0.01%             | 2030-11-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | Freddie Mac Pool                                                         | CUSIP: 3133N3XX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    440818 | PA      | $338261.26    | 0.06%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 31386BAG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7139 | PA      | $7498.28      | 0.00%             | 2030-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Champs Trust                                    | CHAMPS TRUST 2024-3                                                      | CUSIP: 15878CAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2537547 | PA      | $2634523.99   | 0.44%             | 2060-01-25      | Variable      | 8.29%                 | No            |                  2 | On Loan: No      |
| ATLX Trust                                      | ATLX 2024-RPL2 Trust                                                     | CUSIP: 049919AB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1700000 | PA      | $1585951.76   | 0.27%             | 2063-04-25      | Variable      | 3.85%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                         | GSR Mortgage Loan Trust 2005-7F                                          | CUSIP: 362341NC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    217155 | PA      | $218149.90    | 0.04%             | 2035-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38375BSG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     25908 | PA      | $3951.91      | 0.00%             | 2062-05-20      | Variable      | 2.81%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust              | Alternative Loan Trust 2005-79CB                                         | CUSIP: 12668BAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     29701 | PA      | $16489.86     | 0.00%             | 2036-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae II Pool                                                       | CUSIP: 36179UUB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     60209 | PA      | $57139.18     | 0.01%             | 2049-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 31418DBR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10216 | PA      | $8883.04      | 0.00%             | 2049-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae II Pool                                                       | CUSIP: 3618H9TZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    608455 | PA      | $635277.30    | 0.11%             | 2054-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38376REB8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    112479 | PA      | $6526.38      | 0.00%             | 2065-07-20      | Variable      | 2.32%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 31418C4L5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20228 | PA      | $19168.65     | 0.00%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| RMF Buyout Issuance Trust                       | RMF Buyout Issuance Trust 2020-HB1                                       | CUSIP: 76971EAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1200000 | PA      | $1056081.24   | 0.18%             | 2050-10-25      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                  | CFMT 2023-H11 LLC                                                        | CUSIP: 12530KAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $941808.30    | 0.16%             | 2037-02-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| E-MAC Program B.V.                              | E-MAC Program BV                                                         | CUSIP: 000000000<br>LEI: 724500SKQP7E7072AD15 | Long             | ABS-MBS          | CORP              | NL        |   1521739 | PA      | $1423054.50   | 0.24%             | 2046-07-25      | Floating      | 6.19%                 | Yes           |                  2 | On Loan: No      |
| Eurosail Plc                                    | Eurosail-Nl 2007-1 BV                                                    | CUSIP: 000000000<br>LEI: 7245005ZXA2CS61TW539 | Long             | ABS-MBS          | CORP              | NL        |    500000 | PA      | $566355.04    | 0.10%             | 2040-04-17      | Floating      | 3.36%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 3138A5GF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16697 | PA      | $16783.12     | 0.00%             | 2041-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | Freddie Mac Gold Pool                                                    | CUSIP: 3132M9WH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     47870 | PA      | $45542.20     | 0.01%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ocwen Loan Investment Trust                     | Ocwen Loan Investment Trust 2024-HB1                                     | CUSIP: 675952AE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1798537.60   | 0.30%             | 2037-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 31418D5S7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4042131 | PA      | $3239397.17   | 0.54%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 31378YKB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       114 | PA      | $117.61       | 0.00%             | 2028-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 3138WFK88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    101492 | PA      | $92282.05     | 0.02%             | 2045-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38375BGT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    243223 | PA      | $2547.14      | 0.00%             | 2058-08-20      | Variable      | 0.75%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust                  | Bayview Commercial Asset Trust 2006-3                                    | CUSIP: 07324NAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    424833 | PA      | $401674.17    | 0.07%             | 2036-10-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38375UD23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    671530 | PA      | $19555.46     | 0.00%             | 2067-08-20      | Variable      | 1.60%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                       | Uniform Mortgage-Backed Security, TBA                                    | CUSIP: 01F020687<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5000000 | PA      | $3910156.50   | 0.66%             | 2054-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 31418CVJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31534 | PA      | $28500.45     | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38375BEQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    228418 | PA      | $13582.13     | 0.00%             | 2060-05-20      | Variable      | 1.51%                 | No            |                  2 | On Loan: No      |
| Pioneer Aircraft Finance Limited                | Pioneer Aircraft Finance Ltd                                             | CUSIP: 72353PAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |   2366072 | PA      | $2249715.20   | 0.38%             | 2044-06-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 31402CQQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8505 | PA      | $8774.90      | 0.00%             | 2033-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| DP FACILITIES TRUST                             | DP Facilities Data Center Subordinated Pass-Through Trust                | CUSIP: 23341GAA2<br>LEI: 549300TYHFJ7EETO8B10 | Long             | DBT              | CORP              | US        |    350000 | PA      | $94500.00     | 0.02%             | 2028-11-10      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| ReadyCap lending                                | ReadyCap Lending Small Business Loan Trust 2019-2                        | CUSIP: 75576QAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    116622 | PA      | $116544.27    | 0.02%             | 2044-12-27      | Floating      | 7.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                       | Uniform Mortgage-Backed Security, TBA                                    | CUSIP: 01F042681<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  20000000 | PA      | $18973438.00  | 3.19%             | 2054-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae REMICS                                                        | CUSIP: 3136AJ4H6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    172137 | PA      | $9657.26      | 0.00%             | 2039-10-25      | Variable      | 2.18%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38382LAC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6343937 | PA      | $814958.67    | 0.14%             | 2050-11-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust                  | Bayview Commercial Asset Trust 2006-3                                    | CUSIP: 07324NAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    374745 | PA      | $358769.01    | 0.06%             | 2036-10-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certificates           | Countrywide Asset-Backed Certificates                                    | CUSIP: 1266716Z4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    460624 | PA      | $474185.49    | 0.08%             | 2033-03-25      | Floating      | 6.64%                 | No            |                  2 | On Loan: No      |
| Loandepot GMSR Master Trust                     | LOANDEPOT GMSR Master Trust                                              | CUSIP: 53946TAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2700000 | PA      | $2713482.18   | 0.46%             | 2030-07-16      | Floating      | 3.15%                 | No            |                  2 | On Loan: No      |
| PRKCM Trust                                     | PRKCM 2023-AFC1 Trust                                                    | CUSIP: 693981AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2116843 | PA      | $2123203.26   | 0.36%             | 2058-02-25      | Variable      | 6.60%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | Freddie Mac REMICS                                                       | CUSIP: 3137BCNT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    103948 | PA      | $5491.01      | 0.00%             | 2039-10-15      | Floating      | 1.97%                 | No            |                  2 | On Loan: No      |
| Ace Securities Corp.                            | ACE SECURITIES CORP.                                                     | CUSIP: 004426AE2<br>LEI: 549300164ZV2301BC703 | Long             | ABS-O            | CORP              | US        |   1236000 | PA      | $909683.64    | 0.15%             | 2029-11-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38376RKY1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     82299 | PA      | $1589.42      | 0.00%             | 2061-08-20      | Variable      | 0.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 3140Q8HY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    203704 | PA      | $184900.23    | 0.03%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38376RYK6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     95135 | PA      | $242.64       | 0.00%             | 2062-12-20      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust              | Alternative Loan Trust 2007-11T1                                         | CUSIP: 02150GBP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     70080 | PA      | $64325.43     | 0.01%             | 2037-05-25      | Floating      | 13.22%                | No            |                  2 | On Loan: No      |
| NRZ Excess Spread Collateralized Notes          | NRZ FHT Excess LLC                                                       | CUSIP: 62955MAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    474789 | PA      | $471967.39    | 0.08%             | 2025-11-25      | Fixed         | 4.21%                 | No            |                  2 | On Loan: No      |
| NRZ Excess Spread Collateralized Notes          | NRM FNT1 Excess LLC                                                      | CUSIP: 62956YAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3782646 | PA      | $3828324.15   | 0.64%             | 2031-11-25      | Variable      | 7.40%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38375BKL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14513 | PA      | $14526.86     | 0.00%             | 2061-02-20      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | Freddie Mac Gold Pool                                                    | CUSIP: 3128L4EV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7918 | PA      | $8307.17      | 0.00%             | 2037-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | Freddie Mac Gold Pool                                                    | CUSIP: 3128M7S49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5069 | PA      | $5302.07      | 0.00%             | 2032-08-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgages Trust           | MASTR Adjustable Rate Mortgages Trust 2004-5                             | CUSIP: 576433MY9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    172299 | PA      | $162469.23    | 0.03%             | 2034-06-25      | Variable      | 5.55%                 | No            |                  2 | On Loan: No      |
| Saxon Asset Securities Trust                    | Saxon Asset Securities Trust 2002-3                                      | CUSIP: 805564MK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    266457 | PA      | $248233.22    | 0.04%             | 2032-12-25      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Whole Loan Securities Trust         | Freddie Mac Whole Loan Securities Trust 2015-SC01                        | CUSIP: 3137G1AA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     37138 | PA      | $32070.78     | 0.01%             | 2045-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae II Pool                                                       | CUSIP: 36179USL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14609 | PA      | $13863.94     | 0.00%             | 2049-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                                 | Impac CMB Trust Series 2005-7                                            | CUSIP: 45254NQX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    976099 | PA      | $884374.79    | 0.15%             | 2035-11-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Brean Asset Backed Securities Trust             | Brean Asset Backed Securities Trust 2023-SRM1                            | CUSIP: 10638RAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1613401 | PA      | $1436714.80   | 0.24%             | 2063-09-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae II Pool                                                       | CUSIP: 36184YE78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     94695 | PA      | $86998.39     | 0.01%             | 2045-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                          | U.S. Treasury Bills                                                      | CUSIP: 912797QG5<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |  10000000 | PA      | $9902330.90   | 1.66%             | 2025-10-23      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | Freddie Mac Pool                                                         | CUSIP: 3133N3VV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    156514 | PA      | $134099.77    | 0.02%             | 2050-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38375UU99<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9346284 | PA      | $748870.98    | 0.13%             | 2067-10-20      | Variable      | 3.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 31400HWA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     66446 | PA      | $69318.76     | 0.01%             | 2033-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Merit Securities Corporation                    | MERIT Securities Corp                                                    | CUSIP: 589962DH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    271324 | PA      | $260918.82    | 0.04%             | 2032-09-28      | Floating      | 7.21%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                        | JP Morgan Mortgage Trust 2020-INV2                                       | CUSIP: 46652KAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     80357 | PA      | $63428.64     | 0.01%             | 2050-10-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | Freddie Mac Pool                                                         | CUSIP: 3133N3U77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     27067 | PA      | $25120.83     | 0.00%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | Freddie Mac Gold Pool                                                    | CUSIP: 31293SCC1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3410 | PA      | $3518.45      | 0.00%             | 2029-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                  | Cascade Funding Mortgage Trust                                           | CUSIP: 12531BAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $4454095.00   | 0.75%             | 2035-03-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | Freddie Mac Gold Pool                                                    | CUSIP: 3129457G7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    163604 | PA      | $161213.51    | 0.03%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae II Pool                                                       | CUSIP: 3618BWLL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    251351 | PA      | $257871.47    | 0.04%             | 2053-06-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                          | U.S. Treasury Bills                                                      | CUSIP: 912797QH3<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |   2434000 | PA      | $2432833.94   | 0.41%             | 2025-08-05      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38375BRG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     90888 | PA      | $1911.02      | 0.00%             | 2062-04-20      | Variable      | 1.26%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38375BK92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     27075 | PA      | $3604.51      | 0.00%             | 2063-02-20      | Variable      | 3.22%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage Trust              | EFMT 2024-RM3                                                            | CUSIP: 26845EAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2777091 | PA      | $2674641.75   | 0.45%             | 2054-12-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38375CAA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7579 | PA      | $337.25       | 0.00%             | 2040-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38375BF23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     44070 | PA      | $140.43       | 0.00%             | 2063-01-20      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38380LZZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1628908 | PA      | $79924.95     | 0.01%             | 2069-07-20      | Variable      | 0.99%                 | No            |                  2 | On Loan: No      |
| Bayview Financial Revolving Mortgage Loan Trust | Bayview Financial Revolving Asset Trust 2005-E                           | CUSIP: 073250BX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    383258 | PA      | $1376338.87   | 0.23%             | 2040-12-28      | Floating      | 7.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 3140LWVS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    178036 | PA      | $157846.32    | 0.03%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| harvest commercial capital loan trust           | Harvest Commercial Capital Loan Trust 2020-1                             | CUSIP: 41754FAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1554000 | PA      | $1425552.89   | 0.24%             | 2052-04-25      | Variable      | 5.96%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                              | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2019-4            | CUSIP: 35563PMK2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    806452 | PA      | $679108.45    | 0.11%             | 2059-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ocwen Loan Investment Trust                     | Ocwen Loan Investment Trust 2024-HB1                                     | CUSIP: 675952AD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1416573.00   | 0.24%             | 2037-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | Freddie Mac Gold Pool                                                    | CUSIP: 3128M8W83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     29321 | PA      | $28896.02     | 0.00%             | 2041-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 3140J9LM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    377119 | PA      | $329653.28    | 0.06%             | 2048-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Harvest SBA Loan Trust                          | Harvest SBA Loan Trust 2024-1                                            | CUSIP: 41756NAA7<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |   2084006 | PA      | $2099106.70   | 0.35%             | 2051-12-25      | Floating      | 6.68%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | Freddie Mac Pool                                                         | CUSIP: 3133SKDE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5273699 | PA      | $4518469.00   | 0.76%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38380LFF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3037644 | PA      | $103540.52    | 0.02%             | 2068-02-20      | Variable      | 1.37%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae II Pool                                                       | CUSIP: 36176DZN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     37154 | PA      | $37417.33     | 0.01%             | 2041-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Retained Vantage Data Centers Issuer, LLC       | Retained Vantage Data Centers Issuer LLC                                 | CUSIP: 000000000<br>LEI: 254900N4NW6XZ9B4HM15 | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1438309.47   | 0.24%             | 2048-09-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                              | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2019-2            | CUSIP: 35563PKR9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3872500 | PA      | $3744499.55   | 0.63%             | 2058-08-25      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                          | CHL Mortgage Pass-Through Trust 2003-48                                  | CUSIP: 12669EU79<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    118578 | PA      | $115861.22    | 0.02%             | 2033-10-25      | Variable      | 6.89%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | Freddie Mac Gold Pool                                                    | CUSIP: 31335ABF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    100799 | PA      | $93833.02     | 0.02%             | 2044-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                    | GS Mortgage Securities Trust 2015-GC32                                   | CUSIP: 36250PAM7<br>LEI: 54930066YOFVQE068N73 | Long             | ABS-MBS          | CORP              | US        |    125529 | PA      | $120946.84    | 0.02%             | 2048-07-10      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                          | US LONG BOND(CBT) SEP25                                                  | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        15 | NC      | $47753.92     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| LoanMe Trust Prime 2018-1                       | LoanMe Trust Prime 2018-1                                                | CUSIP: 53958AAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    289213 | PA      | $288596.79    | 0.05%             | 2034-09-15      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Whole Loan Securities Trust         | Freddie Mac Whole Loan Securities Trust 2017-SC02                        | CUSIP: 3137G1BX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    708506 | PA      | $619320.93    | 0.10%             | 2047-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 3140KUWL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    252070 | PA      | $196538.43    | 0.03%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| PRKCM Trust                                     | PRKCM 2023-AFC4 Trust                                                    | CUSIP: 69380GAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1398256 | PA      | $1420616.46   | 0.24%             | 2058-11-25      | Variable      | 7.22%                 | No            |                  2 | On Loan: No      |
| Jol Air                                         | JOL Air Ltd                                                              | CUSIP: 46651NAA2<br>LEI: 549300TS4MUGCDXPW498 | Long             | ABS-O            | CORP              | KY        |   1252055 | PA      | $1240020.90   | 0.21%             | 2044-04-15      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38378TCN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     30377 | PA      | $797.14       | 0.00%             | 2041-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae II Pool                                                       | CUSIP: 36179VKC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     36731 | PA      | $33804.01     | 0.01%             | 2050-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae II Pool                                                       | CUSIP: 3618JAX24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    107073 | PA      | $111564.08    | 0.02%             | 2054-08-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                   | PURCHASED EUR / SOLD USD                                                 | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | XX        |         1 | NC      | $-12639.47    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NRZ Excess Spread Collateralized Notes          | NRM FHT1 Excess Owner LLC                                                | CUSIP: 64832EAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5358767 | PA      | $5395845.07   | 0.91%             | 2032-03-25      | Variable      | 6.54%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38375UPZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    456777 | PA      | $10543.38     | 0.00%             | 2064-10-20      | Variable      | 1.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38375BDA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     66007 | PA      | $5719.31      | 0.00%             | 2060-04-20      | Variable      | 1.64%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38376RP34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3319539 | PA      | $191588.84    | 0.03%             | 2066-12-20      | Variable      | 2.15%                 | No            |                  2 | On Loan: No      |
| RMF Proprietary Issuance Trust                  | RMF Proprietary Issuance Trust 2020-1                                    | CUSIP: 74969MAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    814884 | PA      | $786765.48    | 0.13%             | 2060-04-26      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| ACM Auto Trust                                  | ACM Auto Trust 2024-2                                                    | CUSIP: 00461WAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5800000 | PA      | $5974490.68   | 1.00%             | 2031-08-20      | Fixed         | 9.21%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                               | PRPM 2022-INV1 Trust                                                     | CUSIP: 69377EAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    755059 | PA      | $753880.37    | 0.13%             | 2067-04-25      | Variable      | 4.40%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38375UD80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    345470 | PA      | $15029.73     | 0.00%             | 2067-08-20      | Variable      | 2.29%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | Freddie Mac Gold Pool                                                    | CUSIP: 312944S69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6206 | PA      | $6247.17      | 0.00%             | 2040-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae II Pool                                                       | CUSIP: 36179VKB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     80514 | PA      | $71688.42     | 0.01%             | 2050-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust         | Saluda Grade Alternative Mortgage Trust 2025-NPL2                        | CUSIP: 79589BAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4291955 | PA      | $4283964.21   | 0.72%             | 2030-05-25      | Variable      | 7.77%                 | No            |                  2 | On Loan: No      |
| United States Treasury                          | U.S. Treasury Bills                                                      | CUSIP: 912797RA7<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |   5000000 | PA      | $4911655.35   | 0.83%             | 2026-01-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae II Pool                                                       | CUSIP: 3617J6RP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4499 | PA      | $4457.85      | 0.00%             | 2048-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                              | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2017-3            | CUSIP: 35563PBX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1187626 | PA      | $1031187.43   | 0.17%             | 2056-07-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 3138AMBK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3247 | PA      | $3264.14      | 0.00%             | 2041-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Pnmac Gmsr Issuer Trust                         | PMT Issuer Trust - FMSR                                                  | CUSIP: 69346MAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4131000 | PA      | $4157462.36   | 0.70%             | 2026-03-25      | Floating      | 7.47%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | Freddie Mac REMICS                                                       | CUSIP: 3137ALMT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     77302 | PA      | $70738.47     | 0.01%             | 2042-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 31390FAS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1108 | PA      | $1154.97      | 0.00%             | 2032-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 3140QAVE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6104 | PA      | $5493.81      | 0.00%             | 2049-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Trust                | IndyMac INDX Mortgage Loan Trust 2004-AR9                                | CUSIP: 45660N3Q6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13641 | PA      | $13787.96     | 0.00%             | 2034-11-25      | Variable      | 6.87%                 | No            |                  2 | On Loan: No      |
| Lansdowne Mortgage Securities PLC               | Lansdowne Mortgage Securities No 1 PLC                                   | CUSIP: 000000000<br>LEI: 549300M5JCJD5NA85U45 | Long             | ABS-MBS          | CORP              | IE        |    400200 | PA      | $449147.91    | 0.08%             | 2045-06-15      | Floating      | 2.27%                 | Yes           |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities  | Credit Suisse First Boston Mortgage Securities Corp                      | CUSIP: 22540VTZ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    219565 | PA      | $210973.56    | 0.04%             | 2032-02-25      | Floating      | 7.77%                 | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                   | PURCHASED USD / SOLD DKK                                                 | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |         1 | NC      | $105072.05    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                          | US 5YR NOTE (CBT) SEP25                                                  | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       780 | NC      | $224923.75    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| European Residential Loan Securitization        | European Residential Loan Securitisation 2019-NPL1 DAC                   | CUSIP: 000000000<br>LEI: 635400NCOLE2BYYWTZ86 | Long             | ABS-O            | CORP              | IE        |   1603504 | PA      | $1785950.83   | 0.30%             | 2054-07-24      | Floating      | 9.15%                 | Yes           |                  2 | On Loan: No      |
| BANNA RMBS                                      | Banna RMBS DAC                                                           | CUSIP: 000000000<br>LEI: 549300ITMSQX8FY8ZS10 | Long             | ABS-MBS          | CORP              | IE        |    200000 | PA      | $265306.13    | 0.04%             | 2063-12-30      | Floating      | 6.34%                 | Yes           |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust         | Saluda Grade Alternative Mortgage Trust 2025-NPL1                        | CUSIP: 79582BAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2139291 | PA      | $2140117.00   | 0.36%             | 2030-01-25      | Variable      | 7.12%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                  | CFMT 2022-HB9 LLC                                                        | CUSIP: 12530GAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1650000 | PA      | $1536282.83   | 0.26%             | 2037-09-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| Titulizacion De Activos                         | TDA 27 FTA                                                               | CUSIP: 000000000<br>LEI: 95980020140005710276 | Long             | ABS-MBS          | CORP              | ES        |    356689 | PA      | $375010.22    | 0.06%             | 2050-12-28      | Floating      | 2.17%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 31418D3A8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    252372 | PA      | $202252.97    | 0.03%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Cascade MH Asset Trust                          | Cascade MH Asset Trust 2022-MH1                                          | CUSIP: 14732KAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1742198 | PA      | $1687766.33   | 0.28%             | 2054-08-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| Su Casita                                       | Su Casita                                                                | CUSIP: 864248AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | MX        |   7611563 | PA      | $6241481.58   | 1.05%             | 2035-08-26      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| RBSSP Resecuritization Trust                    | RBSSP Resecuritization Trust 2009-8                                      | CUSIP: 74927BAK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     34174 | PA      | $250973.61    | 0.04%             | 2037-09-26      | Variable      | 93.31%                | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | Freddie Mac Pool                                                         | CUSIP: 3133SKCK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1832472 | PA      | $1468558.22   | 0.25%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GMRF Mortgage Acquisition Co., LLC              | Galton Funding Mortgage Trust 2019-1                                     | CUSIP: 36418WAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    494987 | PA      | $471848.73    | 0.08%             | 2059-02-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 3140L2AS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    520124 | PA      | $394441.58    | 0.07%             | 2051-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                  | CFMT 2023-H11 LLC                                                        | CUSIP: 12530KAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2100000 | PA      | $2024949.78   | 0.34%             | 2037-02-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 31387WTG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       133 | PA      | $137.67       | 0.00%             | 2031-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae II Pool                                                       | CUSIP: 3617GTNN3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9745 | PA      | $9635.08      | 0.00%             | 2049-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                              | Freddie Mac Seasoned Credit Risk Transfer Trust 2017-4                   | CUSIP: 35563PCS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    223709 | PA      | $215247.86    | 0.04%             | 2057-06-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                  | Cascade Funding Mortgage Trust 2024-RM5                                  | CUSIP: 147275AC5<br>LEI: 984500AB3AED98FEEV98 | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1350162.15   | 0.23%             | 2054-10-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae                                                               | CUSIP: 21H050680<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3700000 | PA      | $3611743.72   | 0.61%             | 2054-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | Freddie Mac REMICS                                                       | CUSIP: 3137FX3Y2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8093753 | PA      | $1052900.98   | 0.18%             | 2050-10-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                              | PURCHASED DKK / SOLD USD                                                 | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | DK        |         1 | NC      | $-1338.85     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Ocwen Loan Investment Trust                     | Ocwen Loan Investment Trust 2023-HB1                                     | CUSIP: 67578KAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3500000 | PA      | $3404577.75   | 0.57%             | 2036-06-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Rain City Mortgage Trust                        | Rain City Mortgage Trust 2024-RTL1                                       | CUSIP: 75079KAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1671000 | PA      | $1670167.67   | 0.28%             | 2029-11-25      | Variable      | 6.53%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | Freddie Mac Gold Pool                                                    | CUSIP: 3128M4XA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5123 | PA      | $5275.41      | 0.00%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Sutherland Commercial Mortgage Trust            | Sutherland Commercial Mortgage Trust 2021-SBC10                          | CUSIP: 86935JAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    506289 | PA      | $439489.03    | 0.07%             | 2041-12-25      | Variable      | 2.23%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 3140N7ZQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1687197 | PA      | $1495867.26   | 0.25%             | 2052-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust   | JP Morgan Chase Commercial Mortgage Securities Trust 2016-JP4            | CUSIP: 46645UAV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1403685 | PA      | $6673.26      | 0.00%             | 2049-12-15      | Variable      | 0.57%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Whole Loan Securities Trust         | Freddie Mac Whole Loan Securities Trust 2016-SC02                        | CUSIP: 3137G1BC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    292990 | PA      | $251004.71    | 0.04%             | 2046-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| E-MAC                                           | E-MAC DE 2005-I BV                                                       | CUSIP: 000000000<br>LEI: 72450085LQ6DKJ7BBA61 | Long             | ABS-MBS          | CORP              | NL        |     79507 | PA      | $90237.21     | 0.02%             | 2052-05-25      | Floating      | 10.18%                | Yes           |                  2 | On Loan: No      |
| Ocwen Loan Investment Trust                     | Ocwen Loan Investment Trust 2023-HB1                                     | CUSIP: 67578KAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $967032.40    | 0.16%             | 2036-06-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38375BWD0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15590 | PA      | $813.56       | 0.00%             | 2061-05-20      | Variable      | 0.27%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae II Pool                                                       | CUSIP: 36179UQU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     37282 | PA      | $35381.49     | 0.01%             | 2049-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38378W6W8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    109605 | PA      | $4892.71      | 0.00%             | 2043-09-20      | Floating      | 1.83%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae II Pool                                                       | CUSIP: 3618JAS79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     43283 | PA      | $44175.89     | 0.01%             | 2054-08-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae II Pool                                                       | CUSIP: 36179USM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16504 | PA      | $16091.12     | 0.00%             | 2049-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                         | GSR Mortgage Loan Trust 2003-1                                           | CUSIP: 36229RJJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2987 | PA      | $2876.60      | 0.00%             | 2033-03-25      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae I Pool                                                        | CUSIP: 36181CNU8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     53181 | PA      | $50622.80     | 0.01%             | 2044-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae II Pool                                                       | CUSIP: 36180UMA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    133430 | PA      | $119739.17    | 0.02%             | 2043-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Conseco Financial Corp                          | Conseco Finance Corp                                                     | CUSIP: 393505MR0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    404104 | PA      | $406235.57    | 0.07%             | 2027-06-15      | Variable      | 7.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38376R5Q5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    731825 | PA      | $38436.34     | 0.01%             | 2067-06-20      | Variable      | 2.28%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                | Freddie Mac Strips                                                       | CUSIP: 31282YCX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     27092 | PA      | $2737.89      | 0.00%             | 2030-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38376RRJ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       727 | PA      | $721.85       | 0.00%             | 2066-02-20      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38375UPK0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1234738 | PA      | $88944.29     | 0.01%             | 2064-09-20      | Variable      | 2.54%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38375B2E1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    570222 | PA      | $18928.60     | 0.00%             | 2063-05-20      | Variable      | 1.60%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38375UB25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    448894 | PA      | $13609.34     | 0.00%             | 2067-04-20      | Variable      | 1.89%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-08-18

**Name of Applicant:** MORGAN STANLEY MORTGAGE SECURITIES TRUST

**Signature:** Francis Smith

**Name of Signer:** Francis Smith

**Title:** Principal Financial Officer