# EDGAR Filing Document

**Accession Number:** 0001676326
**File Stem:** 0002071691-26-011934
**Filing Date:** 2026-5
**Character Count:** 355671
**Document Hash:** 521cd5f4cc3e14adeb2662ef1316305a
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0002071691-26-011934.hdr.sgml**: 20260527

**ACCESSION NUMBER**: 0002071691-26-011934

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20260331

**FILED AS OF DATE**: 20260527

**DATE AS OF CHANGE**: 20260527

**PERIOD START**: 20260930

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Morgan Stanley ETF Trust
- **CENTRAL INDEX KEY:** 0001676326

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-23820
- **FILM NUMBER:** 261022382

**BUSINESS ADDRESS:**
- **STREET 1:** 1585 BROADWAY
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10036
- **BUSINESS PHONE:** 212.296.1404

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

## Series and Classes Contracts Data

### Eaton Vance Mortgage Opportunities ETF (Series ID: S000092949)

| Class ID   | Class Name                             | Ticker Symbol   |
|:---|:---|:---|
| C000260999 | Eaton Vance Mortgage Opportunities ETF | EVMO            |

## 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 ETF Trust

- **b. Investment Company Act file number:** 811-23820

- **c. CIK number of Registrant:** 0001676326

- **d. LEI of Registrant:** 549300HASXQLXGOR9H31

- **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:** 800-548-7786

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

- **a. Name of Series:** Eaton Vance Mortgage Opportunities ETF

- **b. EDGAR series identifier (if any):** S000092949

- **c. LEI of Series:** 2549007IASCBIDPVHZ74

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

- **a. Date of fiscal year-end:** 2026-09-30

- **b. Date as of which information is reported:** 2026-03-31

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $1030653135.82

**Total Liabilities:** $165708121.98

**Net Assets:** $864945013.84

**Cash Not Reported:** $8250355.51

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 871.397068 | **1-Year:** 16716.438848 | **5-Year:** 23645.888013 | **10-Year:** 54076.955561 | **30-Year:** 192840.587494

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

- **3-Month:** 154.661725 | **1-Year:** 9751.613679 | **5-Year:** 19084.896318 | **10-Year:** 14198.681158 | **30-Year:** 11910.986615

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000260999 | 0.53%                | 1.30%                | -1.27%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $664499.15               | $943655.46                                 |
| Month 2  | $412386.64               | $5104085.24                                |
| Month 3  | $674705.24               | $-14703794.66                              |

**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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| FNMA                                                                              | FNMA, 30 Year                                                                                              | CUSIP: 3140Q8Z32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    128228 | PA      | $119036.84    | 0.01%             | 2048-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CSFB Mortgage-Backed Pass-Through Certificates Trust                              | CSFB Mortgage-Backed Pass-Through Certificates Trust, Series 2004-AR4, Class 3A1                           | CUSIP: 22541SFA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    169837 | PA      | $161033.19    | 0.02%             | 2034-05-25      | Variable      | 4.73%                 | No            |                  2 | On Loan: No      |
| RAAC Trust                                                                        | RAAC Trust, Series 2005-RP2, Class SB                                                                      | CUSIP: 76112BXV7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11508146 | PA      | $10518525.92  | 1.22%             | 2035-06-25      | Fixed         | 0.00%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                              | FNMA, Other                                                                                                | CUSIP: 3140N7ZQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1658739 | PA      | $1514182.61   | 0.18%             | 2052-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2017-H20, Class HI                                                                            | CUSIP: 38375UN55<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    479141 | PA      | $23222.61     | 0.00%             | 2067-10-20      | Variable      | 2.29%                 | No            |                  2 | On Loan: No      |
| RFMSI Trust                                                                       | RFMSI Trust, Series 2007-S6, Class 1A10                                                                    | CUSIP: 762009AK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    881894 | PA      | $695255.01    | 0.08%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CFMT LLC                                                                          | CFMT LLC, Series 2023-HB12, Class M4                                                                       | CUSIP: 12530QAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2500000 | PA      | $2446316.00   | 0.28%             | 2033-04-25      | Variable      | 4.25%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2020-167, Class YI                                                                            | CUSIP: 38382LAC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6079163 | PA      | $777489.36    | 0.09%             | 2050-11-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | FNMA, REMIC, Series 2025-89, Class UZ                                                                      | CUSIP: 3136BXXH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1607133 | PA      | $1603338.64   | 0.19%             | 2055-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                                                             | FMC GMSR Issuer Trust, Series 2022-GT1, Class A                                                            | CUSIP: 30259RAM7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3524925 | PA      | $3534050.33   | 0.41%             | 2027-04-25      | Fixed         | 6.19%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Single Family, 30 Year                                                                            | CUSIP: 3618H9TZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    603961 | PA      | $635448.79    | 0.07%             | 2054-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Other                                                                                             | CUSIP: 36179VA91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     33612 | PA      | $32430.09     | 0.00%             | 2049-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                        | FHLMC Gold Pool, Other                                                                                     | CUSIP: 3133SKCK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1794113 | PA      | $1480015.24   | 0.17%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                        | FHLMC Gold Pool, Other                                                                                     | CUSIP: 3133SKBW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2226008 | PA      | $1823776.79   | 0.21%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Single Family, 30 Year                                                                            | CUSIP: 3617JUSZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15862 | PA      | $15544.12     | 0.00%             | 2049-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| EMF-NL Prime BV                                                                   | EMF-NL Prime BV, Series 2008-APRX, Class A3                                                                | CUSIP: N/A<br>LEI: 724500YACYYG8XY5LM10       | Long             | ABS-MBS          | CORP              | NL        |    200000 | PA      | $223798.28    | 0.03%             | 2041-04-17      | Floating      | 2.88%                 | Yes           |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Trust                                                  | IndyMac INDX Mortgage Loan Trust, Series 2004-AR9, Class 3A                                                | CUSIP: 45660N3Q6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12936 | PA      | $12854.82     | 0.00%             | 2034-11-25      | Variable      | 6.24%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC Seasoned Credit Risk Transfer Trust, Series 2017-4, Class HT                                         | CUSIP: 35563PDD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    836232 | PA      | $759557.20    | 0.09%             | 2057-06-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC, REMIC, Series 4286, Class SC                                                                        | CUSIP: 3137B6US8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     56035 | PA      | $42776.73     | 0.00%             | 2043-12-15      | Floating      | 1.91%                 | No            |                  2 | On Loan: No      |
| NRM FHT1 Excess Owner LLC                                                         | NRM FHT1 Excess Owner LLC, Series 2025-FHT1, Class A                                                       | CUSIP: 64832EAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7438785 | PA      | $7498132.36   | 0.87%             | 2032-03-25      | Variable      | 6.55%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC Seasoned Credit Risk Transfer Trust, Series 2019-2, Class M                                          | CUSIP: 35563PKR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3530959 | PA      | $3457705.56   | 0.40%             | 2058-08-25      | Variable      | 4.75%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                              | FNMA, Other                                                                                                | CUSIP: 31418DFD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     70844 | PA      | $68263.71     | 0.01%             | 2049-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Single Family, 30 Year                                                                            | CUSIP: 3617J6UQ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7592 | PA      | $7526.27      | 0.00%             | 2048-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2011-H06, Class FA                                                                            | CUSIP: 38375BKL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8848 | PA      | $8886.46      | 0.00%             | 2061-02-20      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | UMBS, 30 Year                                                                                              | CUSIP: 31386BAG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6331 | PA      | $6650.78      | 0.00%             | 2030-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2017-H16, Class CI                                                                            | CUSIP: 38375UF39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    630416 | PA      | $17218.04     | 0.00%             | 2067-07-20      | Variable      | 1.81%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2017-H10, Class MI                                                                            | CUSIP: 38375UB25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    290449 | PA      | $7967.76      | 0.00%             | 2067-04-20      | Variable      | 1.78%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | UMBS, 30 Year                                                                                              | CUSIP: 31418FMJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8896692 | PA      | $8941196.96   | 1.03%             | 2055-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | FNMA, Other                                                                                                | CUSIP: 3140B9C49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2685293 | PA      | $2710389.03   | 0.31%             | 2055-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC, REMIC, Series 4363                                                                                  | CUSIP: 3137BCNR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    320852 | PA      | $19336.10     | 0.00%             | 2041-09-15      | Floating      | 2.33%                 | No            |                  2 | On Loan: No      |
| RFMSI Trust                                                                       | RFMSI Trust, Series 2007-S6, Class 1A6                                                                     | CUSIP: 762009AF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    824473 | PA      | $582576.99    | 0.07%             | 2037-06-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2016-H16, Class EI                                                                            | CUSIP: 38376RWP7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    147638 | PA      | $6127.65      | 0.00%             | 2066-06-20      | Floating      | 1.93%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2018-H04, Class NI                                                                            | CUSIP: 38380VPP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    634318 | PA      | $22514.48     | 0.00%             | 2068-02-20      | Variable      | 1.92%                 | No            |                  2 | On Loan: No      |
| Lafayette Federal Credit Union Asset Trust                                        | Lafayette Federal Credit Union Asset Trust, Series 2026-HI1A, Class A2                                     | CUSIP: 50625BAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4454228 | PA      | $4430256.93   | 0.51%             | 2046-01-25      | Fixed         | 5.38%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2017-H21, Class DI                                                                            | CUSIP: 38375UQ86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9868449 | PA      | $279323.49    | 0.03%             | 2067-10-20      | Variable      | 1.77%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC Seasoned Credit Risk Transfer Trust, Series 2017-2, Class HT                                         | CUSIP: 35563PBE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1383842 | PA      | $1213356.48   | 0.14%             | 2056-08-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| PRPM Trust                                                                        | PRPM Trust, Series 2022-INV1, Class A1                                                                     | CUSIP: 69377EAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    688491 | PA      | $689622.89    | 0.08%             | 2067-04-25      | Variable      | 4.40%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                              | FNMA, REMIC, Series 2014-23, Class SA                                                                      | CUSIP: 3136AJ4H6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    153629 | PA      | $8222.90      | 0.00%             | 2039-10-25      | Variable      | 2.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | UMBS, 30 Year                                                                                              | CUSIP: 31378YKB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        66 | PA      | $66.11        | 0.00%             | 2028-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2016-H22                                                                                      | CUSIP: 38376RC79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    226009 | PA      | $8644.32      | 0.00%             | 2066-10-20      | Variable      | 1.86%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2012-98, Class HS                                                                             | CUSIP: 38375GA76<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    166737 | PA      | $16239.88     | 0.00%             | 2042-08-20      | Floating      | 2.21%                 | No            |                  2 | On Loan: No      |
| CoreVest American Finance Trust                                                   | CoreVest American Finance Trust, Series 2020-3, Class XA                                                   | CUSIP: 21873CAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    126962 | PA      | $722.01       | 0.00%             | 2053-08-15      | Variable      | 3.57%                 | Yes           |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                                   | CHL Mortgage Pass-Through Trust, Series 2004-HYB1, Class 2A                                                | CUSIP: 12669FNP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     58607 | PA      | $53865.34     | 0.01%             | 2034-05-20      | Variable      | 4.94%                 | No            |                  2 | On Loan: No      |
| Real Estate Asset Liquidity Trust                                                 | Real Estate Asset Liquidity Trust, Series 2020-1A, Class X                                                 | CUSIP: 75585RRY3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | CA        |   5129058 | PA      | $95605.26     | 0.01%             | 2055-02-12      | Variable      | 0.93%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2015-H25, Class AI                                                                            | CUSIP: 38376RJD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    113651 | PA      | $2240.36      | 0.00%             | 2065-09-20      | Variable      | 1.71%                 | No            |                  2 | On Loan: No      |
| TDA 27 FTA                                                                        | TDA 27 FTA, Series 27, Class A3                                                                            | CUSIP: N/A<br>LEI: 95980020140005710276       | Long             | ABS-MBS          | CORP              | ES        |    321886 | PA      | $345147.41    | 0.04%             | 2050-12-28      | Floating      | 2.32%                 | Yes           |                  2 | On Loan: No      |
| Champs Trust                                                                      | Champs Trust, Series 2024-3, Class A                                                                       | CUSIP: 15878CAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1896068 | PA      | $1950915.82   | 0.23%             | 2060-01-25      | Variable      | 9.05%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC Seasoned Credit Risk Transfer Trust, Series 2023-1, Class MT                                         | CUSIP: 35563PK73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2120131 | PA      | $1791431.66   | 0.21%             | 2062-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ATLX Trust                                                                        | ATLX Trust, Series 2024-RPL1, Class M1                                                                     | CUSIP: 049915AC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1460418.30   | 0.17%             | 2064-04-25      | Variable      | 4.41%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC, REMIC, Series 4350, Class DS                                                                        | CUSIP: 3137BBHD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     94411 | PA      | $9502.47      | 0.00%             | 2044-06-15      | Floating      | 2.21%                 | No            |                  2 | On Loan: No      |
| ECAF I Ltd.                                                                       | ECAF I Ltd., Series 2015-1A, Class A2                                                                      | CUSIP: 26827EAC9<br>LEI: 635400SSRNQERTYCWK57 | Long             | ABS-O            | CORP              | KY        |    239783 | PA      | $223231.32    | 0.03%             | 2040-06-15      | Fixed         | 4.95%                 | Yes           |                  2 | On Loan: No      |
| Amortizing Residential Collateral Trust                                           | Amortizing Residential Collateral Trust, Series 2002-BC7, Class A1                                         | CUSIP: 86358R7H4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    272782 | PA      | $260410.85    | 0.03%             | 2032-10-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Legacy Mortgage Asset Trust                                                       | Legacy Mortgage Asset Trust, Series 2021-GS5, Class A1                                                     | CUSIP: 52475XAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    149515 | PA      | $150772.68    | 0.02%             | 2067-07-25      | Variable      | 6.25%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC Gold Pool, 30 Year                                                                                   | CUSIP: 3132M7C55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    101886 | PA      | $98494.69     | 0.01%             | 2044-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Other                                                                                             | CUSIP: 36179VKB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     82212 | PA      | $74926.02     | 0.01%             | 2050-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Single Family, 30 Year                                                                            | CUSIP: 3618BWLP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    224946 | PA      | $230059.11    | 0.03%             | 2053-06-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2014-H11, Class HI                                                                            | CUSIP: 38375UJZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    596011 | PA      | $40565.37     | 0.00%             | 2064-06-20      | Variable      | 1.99%                 | No            |                  2 | On Loan: No      |
| Su Casita                                                                         | Su Casita, Series 2007-CB1A, Class A                                                                       | CUSIP: 864248AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | MX        |   6952727 | PA      | $5718618.27   | 0.66%             | 2035-08-26      | Floating      | 4.03%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                              | FNMA, REMIC, Series 2012-56, Class SQ                                                                      | CUSIP: 3136A6WV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    331399 | PA      | $32060.22     | 0.00%             | 2042-06-25      | Floating      | 2.27%                 | No            |                  2 | On Loan: No      |
| VCC Trust                                                                         | VCC Trust, Series 2025-MC1, Class A1                                                                       | CUSIP: 91825JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3362016 | PA      | $3349032.92   | 0.39%             | 2055-05-25      | Variable      | 8.16%                 | Yes           |                  2 | On Loan: No      |
| OBX Trust                                                                         | OBX Trust, Series 2025-J2, Class A1                                                                        | CUSIP: 67122EAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1570051 | PA      | $1566800.76   | 0.18%             | 2055-09-25      | Variable      | 5.50%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                                                        | FHLMC Gold Pool, Other                                                                                     | CUSIP: 3133N3WH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    394769 | PA      | $329850.99    | 0.04%             | 2050-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust                                                    | Bayview Commercial Asset Trust, Series 2006-3A, Class A2                                                   | CUSIP: 07324NAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    299492 | PA      | $290483.44    | 0.03%             | 2036-10-25      | Floating      | 4.24%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2013-71, Class IG                                                                             | CUSIP: 38378TAH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    328416 | PA      | $52193.06     | 0.01%             | 2043-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GSAMP Trust                                                                       | GSAMP Trust, Series 2004-FM2, Class M1                                                                     | CUSIP: 36228FN28<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     32212 | PA      | $32803.80     | 0.00%             | 2034-01-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Securitization Trust                                                  | MASTR Asset Securitization Trust, Series 2002-NC1, Class M3                                                | CUSIP: 61909QAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1417622 | PA      | $1371132.69   | 0.16%             | 2032-10-25      | Floating      | 6.94%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $38304.69     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                                            | Velocity Commercial Capital Loan Trust, Series 2026-1, Class M2                                            | CUSIP: 92262WAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2487238 | PA      | $2457829.37   | 0.28%             | 2056-02-25      | Variable      | 5.89%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2019-H18, Class IH                                                                            | CUSIP: 38380LM75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1297304 | PA      | $75152.60     | 0.01%             | 2069-11-20      | Variable      | 1.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | UMBS, 30 Year                                                                                              | CUSIP: 31383RFY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        73 | PA      | $73.37        | 0.00%             | 2029-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2017-H20, Class IB                                                                            | CUSIP: 38375UM72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    474977 | PA      | $14704.00     | 0.00%             | 2067-10-20      | Variable      | 2.21%                 | No            |                  2 | On Loan: No      |
| EFMT                                                                              | EFMT, Series 2024-RM3, Class A1A                                                                           | CUSIP: 26845EAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2451483 | PA      | $2396612.90   | 0.28%             | 2054-12-25      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust                                                    | Bayview Commercial Asset Trust, Series 2007-3, Class A1                                                    | CUSIP: 07325YAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    981494 | PA      | $945848.46    | 0.11%             | 2037-07-25      | Floating      | 4.15%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2019-H15, Class CI                                                                            | CUSIP: 38380LZZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1634764 | PA      | $81924.62     | 0.01%             | 2069-07-20      | Variable      | 1.48%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Other                                                                                             | CUSIP: 36179UQU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     33292 | PA      | $32204.16     | 0.00%             | 2049-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Other                                                                                             | CUSIP: 36179UKP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     17947 | PA      | $17800.39     | 0.00%             | 2049-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Other                                                                                             | CUSIP: 36179VVR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    477907 | PA      | $434059.20    | 0.05%             | 2050-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2010-H26                                                                                      | CUSIP: 38375BGT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     54015 | PA      | $1212.13      | 0.00%             | 2058-08-20      | Variable      | 1.09%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                                                     | UMBS, Single Family, 30 Year                                                                               | CUSIP: 01F040644<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -5000000 | PA      | $-4713476.50  | -0.54%            | 2056-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Single Family, 30 Year                                                                            | CUSIP: 3618AVMX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    452458 | PA      | $462742.86    | 0.05%             | 2053-01-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| ATLX Trust                                                                        | ATLX Trust, Series 2024-RPL2, Class A2                                                                     | CUSIP: 049919AB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1700000 | PA      | $1628045.97   | 0.19%             | 2063-04-25      | Variable      | 3.85%                 | Yes           |                  2 | On Loan: No      |
| Eurosail-NL BV                                                                    | Eurosail-NL BV, Series 2007-NL2X, Class B                                                                  | CUSIP: N/A<br>LEI: 724500VX65TCSYFLOA51       | Long             | ABS-MBS          | CORP              | NL        |    500000 | PA      | $565235.36    | 0.07%             | 2040-10-17      | Floating      | 4.23%                 | Yes           |                  2 | On Loan: No      |
| Nordea Kredit Realkreditaktieselskab                                              | Nordea Kredit Realkreditaktieselskab                                                                       | CUSIP: N/A<br>LEI: 52990080NNXXLC14OC65       | Long             | DBT              | CORP              | DK        |  24913923 | PA      | $3671142.78   | 0.42%             | 2056-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                                            | Merrill Lynch Mortgage Investors Trust, Series 2004-A, Class A2                                            | CUSIP: 59020UAS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5465 | PA      | $5407.08      | 0.00%             | 2029-04-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Other                                                                                             | CUSIP: 3617VAGH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    813368 | PA      | $739985.37    | 0.09%             | 2071-03-20      | Variable      | 3.07%                 | No            |                  2 | On Loan: No      |
| PRET LLC                                                                          | PRET LLC, Series 2025-NPL3, Class A1                                                                       | CUSIP: 74143HAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3003335 | PA      | $3009457.54   | 0.35%             | 2055-04-25      | Variable      | 6.71%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                                                        | UMBS Pool, 30 Year                                                                                         | CUSIP: 31427MAS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1625059 | PA      | $1637098.86   | 0.19%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Banna RMBS DAC                                                                    | Banna RMBS DAC, Series 2019-1, Class C                                                                     | CUSIP: N/A<br>LEI: 549300ITMSQX8FY8ZS10       | Long             | ABS-MBS          | CORP              | IE        |    200000 | PA      | $261011.21    | 0.03%             | 2063-12-30      | Floating      | 5.83%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                              | UMBS, 30 Year                                                                                              | CUSIP: 31385HQR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2961 | PA      | $3061.72      | 0.00%             | 2031-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Single Family, 30 Year                                                                            | CUSIP: 3618K4DG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1926290 | PA      | $1962064.05   | 0.23%             | 2054-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Single Family, 30 Year                                                                            | CUSIP: 3618H9TY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    484808 | PA      | $498984.30    | 0.06%             | 2054-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC Seasoned Credit Risk Transfer Trust, Series 2019-4, Class HT                                         | CUSIP: 35563PME6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    293680 | PA      | $252291.18    | 0.03%             | 2059-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Single Family, 30 Year                                                                            | CUSIP: 36181CNU8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     47626 | PA      | $45584.25     | 0.01%             | 2044-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | FNMA, Other                                                                                                | CUSIP: 31418D3A8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    241449 | PA      | $199178.26    | 0.02%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| E-MAC Program BV                                                                  | E-MAC Program BV, Series 2008-1, Class B                                                                   | CUSIP: N/A<br>LEI: 724500SKQP7E7072AD15       | Long             | ABS-MBS          | CORP              | NL        |    127934 | PA      | $136046.13    | 0.02%             | 2048-01-25      | Floating      | 5.33%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                                         | FHLMC Seasoned Credit Risk Transfer Trust, Series 2016-1, Class MT                                         | CUSIP: 35563PAA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3290580 | PA      | $2893299.55   | 0.33%             | 2055-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Rate Mortgage Trust                                                               | Rate Mortgage Trust, Series 2025-J1, Class A4                                                              | CUSIP: 75410CAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    636934 | PA      | $641910.82    | 0.07%             | 2055-03-25      | Variable      | 6.00%                 | Yes           |                  2 | On Loan: No      |
| CoreVest American Finance Trust                                                   | CoreVest American Finance Trust, Series 2020-3, Class XB                                                   | CUSIP: 21873CAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  62473000 | PA      | $3947756.33   | 0.46%             | 2053-08-15      | Variable      | 2.51%                 | Yes           |                  2 | On Loan: No      |
| RCKT Mortgage Trust                                                               | RCKT Mortgage Trust, Series 2024-INV1, Class A1                                                            | CUSIP: 74938QAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     70456 | PA      | $72253.03     | 0.01%             | 2054-06-25      | Variable      | 6.50%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2019-H18, Class IE                                                                            | CUSIP: 38380LL92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7829676 | PA      | $283145.09    | 0.03%             | 2069-10-20      | Variable      | 2.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | UMBS, 30 Year                                                                                              | CUSIP: 3138A5GF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16166 | PA      | $16424.94     | 0.00%             | 2041-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2014-H21, Class BI                                                                            | CUSIP: 38375UPZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    241827 | PA      | $6548.19      | 0.00%             | 2064-10-20      | Variable      | 1.58%                 | No            |                  2 | On Loan: No      |
| ABFC Trust                                                                        | ABFC Trust, Series 2004-OPT4, Class M1                                                                     | CUSIP: 04542BHD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    143725 | PA      | $147089.15    | 0.02%             | 2034-02-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust                                           | Saluda Grade Alternative Mortgage Trust, Series 2024-RTL4, Class A1                                        | CUSIP: 79584CAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9549 | PA      | $9523.45      | 0.00%             | 2030-02-25      | Variable      | 7.50%                 | Yes           |                  2 | On Loan: No      |
| RCO X Mortgage LLC                                                                | RCO X Mortgage LLC, Series 2026-1, Class A1                                                                | CUSIP: 74940DAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4586000 | PA      | $4583245.65   | 0.53%             | 2031-03-25      | Variable      | 5.54%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Single Family, 30 Year                                                                            | CUSIP: 36184YE78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     92292 | PA      | $85916.52     | 0.01%             | 2045-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust                                                        | J.P. Morgan Mortgage Trust, Series 2020-INV2, Class A3                                                     | CUSIP: 46652KAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     74098 | PA      | $64291.94     | 0.01%             | 2050-10-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Eurosail-NL BV                                                                    | Eurosail-NL BV, Series 2007-NL1X, Class C                                                                  | CUSIP: N/A<br>LEI: 7245005ZXA2CS61TW539       | Long             | ABS-MBS          | CORP              | NL        |    500000 | PA      | $549690.19    | 0.06%             | 2040-04-17      | Floating      | 3.13%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                              | UMBS, 30 Year                                                                                              | CUSIP: 31371HTA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       299 | PA      | $309.05       | 0.00%             | 2029-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2017-H02, Class BI                                                                            | CUSIP: 38375UYG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    622583 | PA      | $23699.98     | 0.00%             | 2067-01-20      | Variable      | 2.29%                 | No            |                  2 | On Loan: No      |
| PRPM LLC                                                                          | PRPM LLC, Series 2024-RCF3, Class M2                                                                       | CUSIP: 74390BAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1883531.20   | 0.22%             | 2054-05-25      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2013-182, Class NS                                                                            | CUSIP: 38378PFD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    221770 | PA      | $25240.46     | 0.00%             | 2043-12-20      | Floating      | 2.35%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                                     | Citigroup Mortgage Loan Trust, Series 2005-11, Class A3                                                    | CUSIP: 17307GW95<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     66453 | PA      | $66168.86     | 0.01%             | 2035-11-25      | Floating      | 6.04%                 | No            |                  2 | On Loan: No      |
| Retained Vantage Data Centers Issuer LLC                                          | Retained Vantage Data Centers Issuer LLC, Series 2023-1A, Class A2B                                        | CUSIP: 76134KAG9<br>LEI: 254900N4NW6XZ9B4HM15 | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1442109.12   | 0.17%             | 2048-09-15      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: No      |
| CFMT LLC                                                                          | CFMT LLC, Series 2022-HB9, Class M3                                                                        | CUSIP: 12530GAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1650000 | PA      | $1582957.37   | 0.18%             | 2037-09-25      | Variable      | 3.25%                 | Yes           |                  2 | On Loan: No      |
| FNMA or FHLMC                                                                     | UMBS, Single Family, 30 Year                                                                               | CUSIP: 01F040644<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5000000 | PA      | $4713476.50   | 0.54%             | 2056-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | U.S. Treasury 5 Year Notes                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      2222 | NC      | $-1923697.49  | -0.22%            |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC                                                                             | FHLMC, REMIC, Series 3995, Class JB                                                                        | CUSIP: 3137ALMT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     73714 | PA      | $69328.11     | 0.01%             | 2042-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Reperforming Loan Trust                                                           | Reperforming Loan Trust, Series 2005-R2, Class 2A4                                                         | CUSIP: 12669GP47<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     22172 | PA      | $21743.51     | 0.00%             | 2035-06-25      | Fixed         | 8.50%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Single Family, 30 Year                                                                            | CUSIP: 36179XLL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    507668 | PA      | $530089.26    | 0.06%             | 2052-11-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| RMF Buyout Issuance Trust                                                         | RMF Buyout Issuance Trust, Series 2022-HB1, Class M4                                                       | CUSIP: 76970HAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1300556.10   | 0.15%             | 2032-04-25      | Variable      | 4.50%                 | Yes           |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                                                             | FMC GMSR Issuer Trust, Series 2020-GT1, Class A                                                            | CUSIP: 30259RAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1970974.80   | 0.23%             | 2028-01-25      | Variable      | 4.45%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, 30 Year                                                                                           | CUSIP: 3622AD3R7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1895960 | PA      | $1942020.72   | 0.22%             | 2055-08-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2013-H07, Class MI                                                                            | CUSIP: 38375BR79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       555 | PA      | $16.24        | 0.00%             | 2062-04-20      | Variable      | 0.61%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2013-71, Class MI                                                                             | CUSIP: 38378TCN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12994 | PA      | $138.13       | 0.00%             | 2041-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Cloud Capital Holdco LP                                                           | Cloud Capital Holdco LP, Series 2024-1A, Class A2                                                          | CUSIP: 102104AA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $2001763.20   | 0.23%             | 2049-11-22      | Fixed         | 5.78%                 | Yes           |                  2 | On Loan: No      |
| ABFC Trust                                                                        | ABFC Trust, Series 2004-OPT2, Class A1A                                                                    | CUSIP: 04542BFU1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    188417 | PA      | $187909.55    | 0.02%             | 2033-10-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                                                            | Sequoia Mortgage Trust, Series 2025-S2, Class A1                                                           | CUSIP: 81748UAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2758602 | PA      | $2558495.29   | 0.30%             | 2055-11-25      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Resloc UK plc                                                                     | Resloc UK plc, Series 2007-1X, Class C1A                                                                   | CUSIP: N/A<br>LEI: 213800RE18XIC3OI1847       | Long             | ABS-MBS          | CORP              | GB        |    221554 | PA      | $240898.29    | 0.03%             | 2043-12-15      | Floating      | 2.60%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC Seasoned Credit Risk Transfer Trust, Series 2019-1, Class HT                                         | CUSIP: 35563PHZ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1085704 | PA      | $948551.70    | 0.11%             | 2058-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2011-136, Class IG                                                                            | CUSIP: 38377YTQ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9854 | PA      | $254.27       | 0.00%             | 2040-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2012-H21, Class AS                                                                            | CUSIP: 38375BVZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15905 | PA      | $943.81       | 0.00%             | 2062-05-20      | Variable      | 0.57%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Other                                                                                             | CUSIP: 36179U3S9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     38428 | PA      | $33932.08     | 0.00%             | 2049-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | UMBS, 30 Year                                                                                              | CUSIP: 3140W24A6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4844042 | PA      | $4883411.91   | 0.56%             | 2055-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust                            | J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2016-JP4, Class XA                          | CUSIP: 46645UAV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1341068 | PA      | $1665.20      | 0.00%             | 2049-12-15      | Variable      | 0.52%                 | No            |                  2 | On Loan: No      |
| E-MAC De BV                                                                       | E-MAC De BV, Series DE07-1, Class C                                                                        | CUSIP: N/A<br>LEI: 724500O14PEZ6A6JKY59       | Long             | ABS-MBS          | CORP              | NL        |   1500000 | PA      | $983053.03    | 0.11%             | 2054-11-25      | Floating      | 7.28%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC Gold Pool, Other                                                                                     | CUSIP: 31323AEC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     30635 | PA      | $29555.50     | 0.00%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                        | UMBS Pool, 30 Year                                                                                         | CUSIP: 3132DWPS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5093063 | PA      | $5117347.08   | 0.59%             | 2055-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                                            | Merrill Lynch Mortgage Investors Trust, Series 2007-1, Class 3A                                            | CUSIP: 59023HAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6348 | PA      | $6153.75      | 0.00%             | 2037-01-25      | Variable      | 4.61%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2017-H09, Class HI                                                                            | CUSIP: 38375UZJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2112984 | PA      | $128803.53    | 0.01%             | 2067-03-20      | Variable      | 2.16%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2012-H28, Class SC                                                                            | 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      |
| Natixis Commercial Mortgage Securities Trust                                      | Natixis Commercial Mortgage Securities Trust, Series 2019-10K, Class E                                     | CUSIP: 63874UAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $927343.60    | 0.11%             | 2039-05-15      | Variable      | 4.13%                 | Yes           |                  2 | On Loan: No      |
| Structured Asset Securities Corp. Mortgage-Backed Pass-Through Certificates Trust | Structured Asset Securities Corp. Mortgage-Backed Pass-Through Certificates Trust, Series 2000-5, Class B1 | CUSIP: 863572Z97<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     32491 | PA      | $31808.05     | 0.00%             | 2030-11-25      | Variable      | 6.68%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Other                                                                                             | CUSIP: 36179UKM3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12925 | PA      | $12145.72     | 0.00%             | 2049-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GMAC Financiera SA de CV Sociedad Financiera de Objeto Ltdo                       | GMAC Financiera SA de CV Sociedad Financiera de Objeto Ltdo, Series 2007-2U, Class A                       | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | MX        |  15560707 | PA      | $1424558.71   | 0.16%             | 2036-03-25      | Fixed         | 18.02%                | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2018-H11, Class AI                                                                            | CUSIP: 38380LFF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2043518 | PA      | $68986.91     | 0.01%             | 2068-02-20      | Variable      | 1.95%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                                         | FHLMC Seasoned Credit Risk Transfer Trust, Series 2018-3, Class HT                                         | CUSIP: 35563PGA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    526663 | PA      | $457471.27    | 0.05%             | 2057-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2015-H23, Class TI                                                                            | CUSIP: 38376RHK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    159531 | PA      | $6556.23      | 0.00%             | 2065-09-20      | Variable      | 1.97%                 | No            |                  2 | On Loan: No      |
| EFMT                                                                              | EFMT, Series 2024-RM2, Class A1A                                                                           | CUSIP: 268431AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2641047 | PA      | $2592793.45   | 0.30%             | 2054-07-25      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| FNMA or FHLMC                                                                     | UMBS, Single Family, 30 Year                                                                               | CUSIP: 01F052649<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -15000000 | PA      | $-15065039.25 | -1.74%            | 2056-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | UMBS, 30 Year                                                                                              | CUSIP: 31400HWA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     61365 | PA      | $63997.35     | 0.01%             | 2033-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                                                            | Sequoia Mortgage Trust, Series 2026-4, Class A1                                                            | CUSIP: 81750QAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4000000 | PA      | $3989218.80   | 0.46%             | 2056-03-25      | Variable      | 5.50%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2015-H15, Class AI                                                                            | CUSIP: 38376RCW4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3621870 | PA      | $170198.32    | 0.02%             | 2065-06-20      | Variable      | 1.86%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC Whole Loan Securities Trust, Series 2017-SC02, Class 2A2                                             | CUSIP: 3137G1BX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    684856 | PA      | $609636.51    | 0.07%             | 2047-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2012-H20, Class MI                                                                            | CUSIP: 38375BVM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15591 | PA      | $1070.73      | 0.00%             | 2061-04-20      | Variable      | 0.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | UMBS, 30 Year                                                                                              | CUSIP: 3138WELB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    530976 | PA      | $508145.02    | 0.06%             | 2045-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| RMF Buyout Issuance Trust                                                         | RMF Buyout Issuance Trust, Series 2020-HB1, Class M4                                                       | CUSIP: 76971EAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1662000 | PA      | $1562790.07   | 0.18%             | 2050-10-25      | Variable      | 6.00%                 | Yes           |                  2 | On Loan: No      |
| CAFL Issuer LLC                                                                   | CAFL Issuer LLC, Series 2026-R1, Class A1                                                                  | CUSIP: 124761AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $5000446.00   | 0.58%             | 2036-03-25      | Variable      | 6.77%                 | Yes           |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                                            | Merrill Lynch Mortgage Investors Trust, Series 2004-FM1, Class B1                                          | CUSIP: 59020UFY6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     50854 | PA      | $49620.95     | 0.01%             | 2035-01-25      | Floating      | 6.49%                 | No            |                  2 | On Loan: No      |
| Brean Asset-Backed Securities Trust                                               | Brean Asset-Backed Securities Trust, Series 2023-SRM1, Class M3                                            | CUSIP: 10638RAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1656930 | PA      | $1490547.26   | 0.17%             | 2063-09-25      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC Gold Pool, 30 Year                                                                                   | CUSIP: 3128L4EV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7327 | PA      | $7684.23      | 0.00%             | 2037-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | FNMA, Other                                                                                                | CUSIP: 3140KBZB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    148603 | PA      | $127440.03    | 0.01%             | 2050-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                                          | U.S. Treasury Bills                                                                                        | CUSIP: 912797TX5<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |   5000000 | PA      | $4929862.60   | 0.57%             | 2026-08-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, 30 Year                                                                                           | CUSIP: 3622ADYJ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1984780 | PA      | $2049800.72   | 0.24%             | 2055-06-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| E-MAC NL BV                                                                       | E-MAC NL BV, Series NL04-I, Class A                                                                        | CUSIP: N/A<br>LEI: 724500SQXZRLADX2J753       | Long             | ABS-MBS          | CORP              | NL        |     92540 | PA      | $105478.91    | 0.01%             | 2036-07-25      | Floating      | 4.29%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                              | UMBS, 30 Year                                                                                              | CUSIP: 31388LC81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       722 | PA      | $746.72       | 0.00%             | 2031-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                                   | CHL Mortgage Pass-Through Trust, Series 2003-48, Class 1A1                                                 | CUSIP: 12669EU79<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    112573 | PA      | $110560.98    | 0.01%             | 2033-10-25      | Variable      | 6.06%                 | No            |                  2 | On Loan: No      |
| E-MAC NL BV                                                                       | E-MAC NL BV, Series NL05-I, Class B                                                                        | CUSIP: N/A<br>LEI: 724500ZVKRLV3I0BMR76       | Long             | ABS-MBS          | CORP              | NL        |     52923 | PA      | $57206.33     | 0.01%             | 2038-04-25      | Floating      | 6.53%                 | Yes           |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgages Trust                                             | MASTR Adjustable Rate Mortgages Trust, Series 2004-5, Class 5A1                                            | CUSIP: 576433MY9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    135046 | PA      | $124009.11    | 0.01%             | 2034-06-25      | Variable      | 5.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | FNMA, Other                                                                                                | CUSIP: 31418C2G8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12840 | PA      | $12380.44     | 0.00%             | 2048-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PRKCM Trust                                                                       | PRKCM Trust, Series 2023-AFC4, Class A1                                                                    | CUSIP: 69380GAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1026796 | PA      | $1035381.42   | 0.12%             | 2058-11-25      | Variable      | 7.22%                 | Yes           |                  2 | On Loan: No      |
| PRPM LLC                                                                          | PRPM LLC, Series 2025-2, Class A1                                                                          | CUSIP: 69382HAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2706220 | PA      | $2702158.85   | 0.31%             | 2030-05-25      | Variable      | 6.47%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Single Family, 30 Year                                                                            | CUSIP: 3617JUST9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     29499 | PA      | $27872.63     | 0.00%             | 2049-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| E-MAC De BV                                                                       | E-MAC De BV, Series DE05-I, Class C                                                                        | CUSIP: N/A<br>LEI: 72450085LQ6DKJ7BBA61       | Long             | ABS-MBS          | CORP              | NL        |     25758 | PA      | $29727.84     | 0.00%             | 2052-05-25      | Floating      | 10.16%                | Yes           |                  2 | On Loan: No      |
| FNMA                                                                              | FNMA, Other                                                                                                | CUSIP: 31418CVJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29906 | PA      | $27767.43     | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Falcon Aerospace Ltd.                                                             | Falcon Aerospace Ltd., Series 2019-1, Class A                                                              | CUSIP: 30610GAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    131481 | PA      | $130978.92    | 0.02%             | 2039-09-15      | Fixed         | 3.60%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Single Family, 30 Year                                                                            | CUSIP: 3617JKEK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10904 | PA      | $10692.80     | 0.00%             | 2049-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                                           | GSR Mortgage Loan Trust, Series 2005-7F, Class 3A10                                                        | CUSIP: 362341NC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    206732 | PA      | $207409.16    | 0.02%             | 2035-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2015-H03, Class CI                                                                            | CUSIP: 38375UTQ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8346707 | PA      | $253990.63    | 0.03%             | 2065-01-20      | Variable      | 1.76%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                                            | Velocity Commercial Capital Loan Trust, Series 2026-1, Class M1                                            | CUSIP: 92262WAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2984686 | PA      | $2947714.90   | 0.34%             | 2056-02-25      | Variable      | 5.49%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                                                        | FHLMC Gold Pool, Other                                                                                     | CUSIP: 3133JL7M5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1420755 | PA      | $1361014.86   | 0.16%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC Seasoned Credit Risk Transfer Trust, Series 2018-2, Class HT                                         | CUSIP: 35563PFA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    444003 | PA      | $389986.74    | 0.05%             | 2057-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| STAR Trust                                                                        | STAR Trust, Series 2022-SFR3, Class D                                                                      | CUSIP: 78474PAG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4205000 | PA      | $4212608.11   | 0.49%             | 2039-05-17      | Floating      | 6.23%                 | Yes           |                  2 | On Loan: No      |
| LSF11 Boson Investments Sarl Compartment 2                                        | LSF11 Boson Investments Sarl Compartment 2, Series 2021-NPLA, Class A1                                     | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-O            | CORP              | LU        |    928508 | PA      | $1079175.96   | 0.12%             | 2060-11-25      | Floating      | 4.03%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2012-H21, Class SB                                                                            | CUSIP: 38375BVX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10095 | PA      | $599.76       | 0.00%             | 2062-05-20      | Variable      | 0.57%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | U.S. Treasury 10 Year Notes                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        91 | NC      | $-167944.86   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Jyske Realkredit A/S                                                              | Jyske Realkredit A/S, Series CCE                                                                           | CUSIP: N/A<br>LEI: 529900R9HQNZRT2OXB26       | Long             | DBT              | CORP              | DK        |  20000000 | PA      | $2986747.51   | 0.35%             | 2056-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | FNMA, Other                                                                                                | CUSIP: 31418DBW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59815 | PA      | $57636.84     | 0.01%             | 2049-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | FNMA, Strips, Series 306                                                                                   | CUSIP: 31364JN82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11647 | PA      | $1266.71      | 0.00%             | 2030-05-25      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Eurohome Italy Mortgages Srl                                                      | Eurohome Italy Mortgages Srl, Series 2007-1, Class A                                                       | CUSIP: N/A<br>LEI: 8156005F4093CD5E0195       | Long             | ABS-MBS          | CORP              | IT        |   2244026 | PA      | $2488785.41   | 0.29%             | 2054-11-02      | Floating      | 2.63%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                              | FNMA, Other                                                                                                | CUSIP: 31418AJZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     76001 | PA      | $69941.24     | 0.01%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | FNMA, Other                                                                                                | CUSIP: 3140LWVS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    162623 | PA      | $148451.00    | 0.02%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Chase Home Lending Mortgage Trust                                                 | Chase Home Lending Mortgage Trust, Series 2024-3, Class A2                                                 | CUSIP: 16159HAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4012435 | PA      | $4049268.32   | 0.47%             | 2055-02-25      | Variable      | 6.00%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                              | FNMA, Other                                                                                                | CUSIP: 3140K8P62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    108884 | PA      | $93377.33     | 0.01%             | 2050-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Financial Asset Securities Corp. AAA Trust                                        | Financial Asset Securities Corp. AAA Trust, Series 2005-1A, Class 1A3B                                     | CUSIP: 31738PAV0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    125632 | PA      | $124045.08    | 0.01%             | 2035-02-27      | Floating      | 4.20%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC, REMIC, Series 5020, Class UI                                                                        | CUSIP: 3137FX3Y2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7813495 | PA      | $988132.86    | 0.11%             | 2050-10-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Single Family, 30 Year                                                                            | CUSIP: 21H050656<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3700000 | PA      | $3654285.21   | 0.42%             | 2056-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CFMT LLC                                                                          | CFMT LLC, Series 2025-AB3, Class M4                                                                        | CUSIP: 15723JAF9<br>LEI: 984500B0B47A6AEABC92 | Long             | ABS-MBS          | CORP              | US        |   7492004 | PA      | $5944679.40   | 0.69%             | 2055-05-25      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2017-H01, Class DI                                                                            | CUSIP: 38376RP34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2091869 | PA      | $120470.50    | 0.01%             | 2066-12-20      | Variable      | 2.32%                 | No            |                  2 | On Loan: No      |
| PNMAC GMSR Issuer Trust                                                           | PNMAC GMSR Issuer Trust, Series 2025-GT1, Class A                                                          | CUSIP: 69354WAK2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4500000 | PA      | $4511924.10   | 0.52%             | 2030-08-26      | Floating      | 6.13%                 | Yes           |                  2 | On Loan: No      |
| Brean Asset-Backed Securities Trust                                               | Brean Asset-Backed Securities Trust, Series 2024-RM8, Class A1                                             | CUSIP: 10637YAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1515780 | PA      | $1491935.93   | 0.17%             | 2064-05-25      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                                         | FHLMC Seasoned Credit Risk Transfer Trust, Series 2019-3, Class M                                          | CUSIP: 35563PLU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3363322 | PA      | $3313201.35   | 0.38%             | 2058-10-25      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| ECAF I Ltd.                                                                       | ECAF I Ltd., Series 2015-1A, Class A1                                                                      | CUSIP: 26827EAA3<br>LEI: 635400SSRNQERTYCWK57 | Long             | ABS-O            | CORP              | KY        |     13987 | PA      | $12564.21     | 0.00%             | 2040-06-15      | Fixed         | 3.47%                 | Yes           |                  2 | On Loan: No      |
| EquiFirst Mortgage Loan Trust                                                     | EquiFirst Mortgage Loan Trust, Series 2004-2, Class M7                                                     | CUSIP: 29445FBP2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    172214 | PA      | $165868.37    | 0.02%             | 2034-10-25      | Floating      | 6.79%                 | No            |                  2 | On Loan: No      |
| Raptor Aircraft Finance I LLC                                                     | Raptor Aircraft Finance I LLC, Series 2019-1, Class A                                                      | CUSIP: 75383HAA9<br>LEI: 549300QFYP8PTWJMXQ65 | Long             | ABS-O            | CORP              | US        |    989150 | PA      | $940338.69    | 0.11%             | 2044-08-23      | Fixed         | 4.21%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $15692.73     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC, REMIC, Series 4365, Class AI                                                                        | CUSIP: 3137BCNV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    161522 | PA      | $7286.06      | 0.00%             | 2042-08-15      | Floating      | 2.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2011-19, Class IM                                                                             | CUSIP: 38377TZF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     17774 | PA      | $3412.18      | 0.00%             | 2041-02-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CFMT LLC                                                                          | CFMT LLC, Series 2024-HB15, Class M4                                                                       | CUSIP: 15723AAF8<br>LEI: 98450050957GF5E1CD92 | Long             | ABS-MBS          | CORP              | US        |   1750000 | PA      | $1689643.73   | 0.20%             | 2034-08-25      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Realkredit Danmark A/S                                                            | Realkredit Danmark A/S, Series 27S                                                                         | CUSIP: N/A<br>LEI: 549300NLOMBOWE943Y30       | Long             | DBT              | CORP              | DK        |  14682216 | PA      | $2191213.78   | 0.25%             | 2056-10-01      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Single Family, 30 Year                                                                            | CUSIP: 3617J6RP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1942 | PA      | $1952.20      | 0.00%             | 2048-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Single Family, 30 Year                                                                            | CUSIP: 3617UNGT5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    987681 | PA      | $850186.34    | 0.10%             | 2051-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | UMBS, 30 Year                                                                                              | CUSIP: 31402CQQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7043 | PA      | $7283.70      | 0.00%             | 2033-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Rate Mortgage Trust                                                               | Rate Mortgage Trust, Series 2024-J4, Class A1                                                              | CUSIP: 75408TAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2618611 | PA      | $2642649.52   | 0.31%             | 2054-12-25      | Variable      | 6.00%                 | Yes           |                  2 | On Loan: No      |
| Brean Asset-Backed Securities Trust                                               | Brean Asset-Backed Securities Trust, Series 2023-SRM1, Class A                                             | CUSIP: 10638RAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    484568 | PA      | $480362.65    | 0.06%             | 2063-09-25      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| RAAC Trust                                                                        | RAAC Trust, Series 2005-RP1, Class SB                                                                      | CUSIP: 76112BJV3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9696861 | PA      | $8885903.07   | 1.03%             | 2037-07-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC Gold Pool, 30 Year                                                                                   | CUSIP: 3128M4XA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4841 | PA      | $5000.63      | 0.00%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2016-H13, Class CI                                                                            | CUSIP: 38376RUX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3472183 | PA      | $131207.42    | 0.02%             | 2066-06-20      | Variable      | 2.21%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Single Family, 30 Year                                                                            | CUSIP: 3618K4DF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2286502 | PA      | $2278145.84   | 0.26%             | 2054-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| NRM FNT1 Excess LLC                                                               | NRM FNT1 Excess LLC, Series 2024-FNT1, Class A                                                             | CUSIP: 62956YAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3251509 | PA      | $3269551.06   | 0.38%             | 2031-11-25      | Variable      | 7.40%                 | Yes           |                  2 | On Loan: No      |
| RMF Proprietary Issuance Trust                                                    | RMF Proprietary Issuance Trust, Series 2022-2, Class M2                                                    | CUSIP: 74970CAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2250000 | PA      | $2069320.73   | 0.24%             | 2062-06-25      | Variable      | 3.75%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Single Family, 30 Year                                                                            | CUSIP: 3618LMMC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1989592 | PA      | $2018653.64   | 0.23%             | 2055-09-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Single Family, 30 Year                                                                            | CUSIP: 3618BDKS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     57586 | PA      | $58894.60     | 0.01%             | 2053-05-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Sutherland Commercial Mortgage Trust                                              | Sutherland Commercial Mortgage Trust, Series 2021-SB10, Class B                                            | CUSIP: 86935JAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    506289 | PA      | $446218.83    | 0.05%             | 2041-12-25      | Variable      | 2.23%                 | Yes           |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust                                                        | J.P. Morgan Mortgage Trust, Series 2008-R2, Class 1A1                                                      | CUSIP: 46632TAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     53955 | PA      | $50259.86     | 0.01%             | 2037-07-27      | Variable      | 3.94%                 | Yes           |                  2 | On Loan: No      |
| RBSSP Resecuritization Trust                                                      | RBSSP Resecuritization Trust, Series 2009-8, Class 7A1                                                     | CUSIP: 74927BAK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     34174 | PA      | $239616.03    | 0.03%             | 2037-09-26      | Variable      | 93.49%                | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC Seasoned Credit Risk Transfer Trust, Series 2020-3, Class M                                          | CUSIP: 35563PTU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1200000 | PA      | $1164463.44   | 0.13%             | 2060-05-25      | Variable      | 4.25%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                                                        | FHLMC Gold Pool, Other                                                                                     | CUSIP: 3133N3U51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     51890 | PA      | $48081.81     | 0.01%             | 2049-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | FNMA, 30 Year                                                                                              | CUSIP: 3138WFK88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     96503 | PA      | $89736.04     | 0.01%             | 2045-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | UMBS, 30 Year                                                                                              | CUSIP: 31389UVE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       597 | PA      | $619.60       | 0.00%             | 2032-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2012-H28, Class SA                                                                            | CUSIP: 38375BYF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     20502 | PA      | $485.28       | 0.00%             | 2062-09-20      | Variable      | 0.74%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2010-H13, Class JI                                                                            | CUSIP: 38375BDA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     68466 | PA      | $6099.97      | 0.00%             | 2060-04-20      | Variable      | 1.67%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2018-H05, Class BI                                                                            | CUSIP: 38380LAD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    137953 | PA      | $5748.63      | 0.00%             | 2068-02-20      | Variable      | 1.74%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC Gold Pool, 30 Year                                                                                   | CUSIP: 3132GEB90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12961 | PA      | $13187.04     | 0.00%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2017-H08, Class XI                                                                            | CUSIP: 38376R2M7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    165985 | PA      | $6902.02      | 0.00%             | 2067-03-20      | Variable      | 1.92%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2010-47, Class BX                                                                             | CUSIP: 38376YU41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     71580 | PA      | $3161.94      | 0.00%             | 2034-08-16      | Floating      | 2.76%                 | No            |                  2 | On Loan: No      |
| PRKCM Trust                                                                       | PRKCM Trust, Series 2023-AFC1, Class A1                                                                    | CUSIP: 693981AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1929483 | PA      | $1929124.63   | 0.22%             | 2058-02-25      | Variable      | 6.60%                 | Yes           |                  2 | On Loan: No      |
| Quest Trust                                                                       | Quest Trust, Series 2002-X1, Class M2                                                                      | CUSIP: 748351AD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    295233 | PA      | $334975.45    | 0.04%             | 2033-05-25      | Floating      | 7.54%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2017-H15, Class XI                                                                            | CUSIP: 38376R6L5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10389261 | PA      | $281785.85    | 0.03%             | 2067-07-20      | Variable      | 1.65%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Single Family, 30 Year                                                                            | CUSIP: 36183FLP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     63972 | PA      | $59727.98     | 0.01%             | 2044-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2017-H22, Class KI                                                                            | CUSIP: 38375UV72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7490059 | PA      | $436493.47    | 0.05%             | 2067-11-20      | Variable      | 2.47%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC Seasoned Credit Risk Transfer Trust, Series 2018-1, Class HA                                         | CUSIP: 35563PDU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1174449 | PA      | $1117112.27   | 0.13%             | 2057-05-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| CSFB Mortgage Securities                                                          | CSFB Mortgage Securities                                                                                   | CUSIP: 22540A3K2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1020000 | PA      | $904121.78    | 0.10%             | 2028-12-03      | Fixed         | 5.15%                 | Yes           |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp.                              | Credit Suisse First Boston Mortgage Securities Corp., Series 2002-AR2, Class 2B                            | CUSIP: 22540VTZ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     98558 | PA      | $88636.58     | 0.01%             | 2032-02-25      | Floating      | 7.09%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Other                                                                                             | CUSIP: 36179USL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14323 | PA      | $13855.09     | 0.00%             | 2049-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| RMF Buyout Issuance Trust                                                         | RMF Buyout Issuance Trust, Series 2020-HB1, Class M3                                                       | CUSIP: 76971EAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1200000 | PA      | $1064945.28   | 0.12%             | 2050-10-25      | Variable      | 4.75%                 | Yes           |                  2 | On Loan: No      |
| National City Mortgage Capital Trust                                              | National City Mortgage Capital Trust, Series 2008-1, Class 2A1                                             | CUSIP: 635419AE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     38588 | PA      | $37014.00     | 0.00%             | 2038-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | UMBS, 30 Year                                                                                              | CUSIP: 3140XLYC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3795420 | PA      | $3887822.88   | 0.45%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Other                                                                                             | CUSIP: 36179UVZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     27425 | PA      | $26529.15     | 0.00%             | 2049-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| New Century Home Equity Loan Trust                                                | New Century Home Equity Loan Trust, Series 2003-5, Class AII                                               | CUSIP: 64352VEG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    179348 | PA      | $118358.04    | 0.01%             | 2033-11-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC Whole Loan Securities Trust, Series 2017-SC02, Class 1A                                              | CUSIP: 3137G1BS5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    897406 | PA      | $773282.13    | 0.09%             | 2047-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC Seasoned Credit Risk Transfer Trust, Series 2019-1, Class M                                          | CUSIP: 35563PJQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2935368 | PA      | $2889484.14   | 0.33%             | 2058-07-25      | Variable      | 4.75%                 | Yes           |                  2 | On Loan: No      |
| RCKT Mortgage Trust                                                               | RCKT Mortgage Trust, Series 2025-1, Class A1                                                               | CUSIP: 749431AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1662174 | PA      | $1677432.46   | 0.19%             | 2055-03-25      | Variable      | 6.00%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                              | UMBS, 30 Year                                                                                              | CUSIP: 31418FED5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12269632 | PA      | $12349223.31  | 1.43%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MR 225 North Calvert Owner LP                                                     | MR 225 North Calvert Owner LP                                                                              | CUSIP: N/A<br>LEI: 54930085Y0Q8WMSEBT43       | Long             | ABS-MBS          | CORP              | US        |   3015947 | PA      | $2224864.17   | 0.26%             | 2032-08-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Other                                                                                             | CUSIP: 36179U6L1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    172603 | PA      | $157305.84    | 0.02%             | 2049-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC Gold Pool, 30 Year                                                                                   | CUSIP: 312944BB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20132 | PA      | $20481.91     | 0.00%             | 2040-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Single Family, 30 Year                                                                            | CUSIP: 3618BWLQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     39059 | PA      | $39947.23     | 0.00%             | 2053-06-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                                                     | UMBS, Single Family, 30 Year                                                                               | CUSIP: 01F042640<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  15000000 | PA      | $14467969.50  | 1.67%             | 2056-04-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Multifamily Trust                                                                 | Multifamily Trust, Series 2016-1, Class A                                                                  | CUSIP: 62547LAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1095561 | PA      | $1080644.46   | 0.12%             | 2046-04-25      | Floating      | 5.79%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                              | UMBS, 30 Year                                                                                              | CUSIP: 31371KLU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4184 | PA      | $4341.08      | 0.00%             | 2032-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                                                     | UMBS, Single Family, 30 Year                                                                               | CUSIP: 01F050643<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -10000000 | PA      | $-9858203.50  | -1.14%            | 2056-04-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Eurosail-NL BV                                                                    | Eurosail-NL BV, Series 2007-NL2X, Class M                                                                  | CUSIP: N/A<br>LEI: 724500VX65TCSYFLOA51       | Long             | ABS-MBS          | CORP              | NL        |    143400 | PA      | $165790.58    | 0.02%             | 2040-10-17      | Floating      | 3.83%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                                                        | FHLMC Gold Pool, Other                                                                                     | CUSIP: 3133JL4Z9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2788026 | PA      | $2435948.71   | 0.28%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2010-H17, Class JI                                                                            | CUSIP: 38375BEJ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     35102 | PA      | $3127.36      | 0.00%             | 2060-04-20      | Variable      | 1.67%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC Gold Pool, 30 Year                                                                                   | CUSIP: 3128M7S49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3865 | PA      | $4046.13      | 0.00%             | 2032-08-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | FNMA, REMIC, Series 2013-12, Class SP                                                                      | CUSIP: 3136ABVH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32495 | PA      | $370.30       | 0.00%             | 2041-11-25      | Floating      | 1.87%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC, Strips, Series 208                                                                                  | CUSIP: 31282YCX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     22125 | PA      | $2299.23      | 0.00%             | 2030-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Ocwen Loan Investment Trust                                                       | Ocwen Loan Investment Trust, Series 2024-HB1, Class M4                                                     | CUSIP: 675952AE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1897789.80   | 0.22%             | 2037-02-25      | Fixed         | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Cendant Mortgage Corp.                                                            | Cendant Mortgage Corp., Series 2003-A, Class A2                                                            | CUSIP: 151314FP1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     60665 | PA      | $60829.66     | 0.01%             | 2043-07-25      | Variable      | 6.00%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2018-H07, Class BI                                                                            | CUSIP: 38380LCG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     86762 | PA      | $3306.22      | 0.00%             | 2068-03-20      | Variable      | 1.72%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                                           | GSR Mortgage Loan Trust, Series 2003-1, Class A2                                                           | CUSIP: 36229RJJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2786 | PA      | $2773.01      | 0.00%             | 2033-03-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| NALP Business Loan Trust                                                          | NALP Business Loan Trust, Series 2024-1, Class A                                                           | CUSIP: 629863AA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1331627 | PA      | $1340698.27   | 0.16%             | 2049-12-27      | Fixed         | 6.49%                 | Yes           |                  2 | On Loan: No      |
| RCO Trust                                                                         | RCO Trust, Series 2025-PR1, Class A                                                                        | CUSIP: 74939AAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4695440 | PA      | $4667511.84   | 0.54%             | 2055-03-02      | Variable      | 6.25%                 | Yes           |                  2 | On Loan: No      |
| Onity Loan Investment Trust                                                       | Onity Loan Investment Trust, Series 2024-HB2, Class M4                                                     | CUSIP: 68278DAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $2873382.00   | 0.33%             | 2037-08-25      | Variable      | 5.00%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-889.73      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2015-H16, Class XI                                                                            | CUSIP: 38376REB8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     69249 | PA      | $4203.19      | 0.00%             | 2065-07-20      | Variable      | 2.65%                 | No            |                  2 | On Loan: No      |
| GITSIT Mortgage Loan Trust                                                        | GITSIT Mortgage Loan Trust, Series 2025-NPL1, Class A1                                                     | CUSIP: 375926AA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    718307 | PA      | $719300.19    | 0.08%             | 2055-02-25      | Variable      | 6.28%                 | Yes           |                  2 | On Loan: No      |
| Oceanview Mortgage Trust                                                          | Oceanview Mortgage Trust, Series 2026-1, Class A                                                           | CUSIP: 675967AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2954567 | PA      | $2928997.87   | 0.34%             | 2055-08-25      | Variable      | 5.10%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                              | UMBS, 30 Year                                                                                              | CUSIP: 31379NGV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        28 | PA      | $29.06        | 0.00%             | 2028-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Single Family, 30 Year                                                                            | CUSIP: 3617UNGV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    712144 | PA      | $606775.80    | 0.07%             | 2051-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2017-H11, Class XI                                                                            | CUSIP: 38376R4N3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2168352 | PA      | $73784.03     | 0.01%             | 2067-05-20      | Variable      | 2.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2015-H13, Class JS                                                                            | CUSIP: 38376RCP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     34089 | PA      | $659.04       | 0.00%             | 2063-05-20      | Variable      | 0.22%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2016-H17, Class DI                                                                            | CUSIP: 38376RXL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7128817 | PA      | $230959.42    | 0.03%             | 2066-07-20      | Variable      | 2.17%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                                           | GSR Mortgage Loan Trust, Series 2005-8F, Class 2A5                                                         | CUSIP: 362341VT3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2137 | PA      | $2016.64      | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| E-MAC Program II BV                                                               | E-MAC Program II BV, Series 2008-NL4, Class B                                                              | CUSIP: N/A<br>LEI: 724500E754K57OOQQ940       | Long             | ABS-MBS          | CORP              | NL        |     85578 | PA      | $94795.60     | 0.01%             | 2048-04-25      | Floating      | 6.28%                 | Yes           |                  2 | On Loan: No      |
| European Residential Loan Securitisation DAC                                      | European Residential Loan Securitisation DAC, Series 2019-NPL1, Class A                                    | CUSIP: N/A<br>LEI: 635400NCOLE2BYYWTZ86       | Long             | ABS-O            | CORP              | IE        |    737374 | PA      | $858223.61    | 0.10%             | 2054-07-24      | Floating      | 5.00%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2014-H19, Class AI                                                                            | CUSIP: 38375UPK0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    422613 | PA      | $48082.66     | 0.01%             | 2064-09-20      | Variable      | 2.48%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust                                           | Saluda Grade Alternative Mortgage Trust, Series 2024-RTL5, Class A1                                        | CUSIP: 795935AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3800000 | PA      | $3813681.14   | 0.44%             | 2030-04-25      | Variable      | 7.76%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                                                        | FHLMC Gold Pool, Other                                                                                     | CUSIP: 3133JL7L7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1287493 | PA      | $1204476.31   | 0.14%             | 2052-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2013-H01, Class TI                                                                            | CUSIP: 38375BF23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     44754 | PA      | $966.32       | 0.00%             | 2063-01-20      | Variable      | 0.41%                 | No            |                  2 | On Loan: No      |
| OLIT                                                                              | OLIT, Series 2025-HB2, Class M4                                                                            | CUSIP: 68278FAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9000000 | PA      | $7525086.30   | 0.87%             | 2038-11-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| PNMAC GMSR Issuer Trust                                                           | PNMAC GMSR Issuer Trust, Series 2024-GT1, Class A                                                          | CUSIP: 69354WAJ5<br>LEI: 5493007JEN3QN6CZC711 | Long             | ABS-O            | CORP              | US        |   9900000 | PA      | $9929682.18   | 1.15%             | 2029-03-25      | Floating      | 6.88%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC Gold Pool, 30 Year                                                                                   | CUSIP: 3128M7S56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6682 | PA      | $7023.18      | 0.00%             | 2031-08-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | FNMA, Other                                                                                                | CUSIP: 3140J9LM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    335218 | PA      | $300795.19    | 0.03%             | 2048-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2017-H22, Class GI                                                                            | CUSIP: 38375UU99<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7498132 | PA      | $583482.15    | 0.07%             | 2067-10-20      | Variable      | 2.67%                 | No            |                  2 | On Loan: No      |
| FCT Marsollier Mortgages                                                          | FCT Marsollier Mortgages, Series 2009-1, Class R                                                           | CUSIP: N/A<br>LEI: 549300VIS1TRAU2LEV45       | Long             | ABS-MBS          | CORP              | FR        |   2750000 | PA      | $3139538.55   | 0.36%             | 2050-09-27      | Floating      | 2.02%                 | Yes           |                  2 | On Loan: No      |
| ACE Securities Corp. Net Interest Margin Trust                                    | ACE Securities Corp. Net Interest Margin Trust, Series 2000-1, Class CTFS                                  | CUSIP: 004426AE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1467404 | PA      | $903000.72    | 0.10%             | 2029-11-25      | Fixed         | 0.00%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Single Family, 30 Year                                                                            | CUSIP: 36176D5L3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     40910 | PA      | $41284.44     | 0.00%             | 2041-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                                                     | UBS Commercial Mortgage Trust, Series 2018-C9, Class XA                                                    | CUSIP: 90291JAX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8162471 | PA      | $117040.03    | 0.01%             | 2051-03-15      | Variable      | 0.87%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2013-H22, Class FB                                                                            | CUSIP: 38375B8A3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4388 | PA      | $4421.25      | 0.00%             | 2063-08-20      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| STAR Trust                                                                        | STAR Trust, Series 2024-SFR4, Class D                                                                      | CUSIP: 85520AAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1850000 | PA      | $1858851.51   | 0.21%             | 2041-10-17      | Floating      | 6.63%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                                                        | UMBS Pool, 30 Year                                                                                         | CUSIP: 3142J6A52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11711355 | PA      | $11769940.77  | 1.36%             | 2055-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Single Family, 30 Year                                                                            | CUSIP: 3618H9TV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1063182 | PA      | $1029272.54   | 0.12%             | 2054-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Other                                                                                             | CUSIP: 36179VHF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    296486 | PA      | $250811.35    | 0.03%             | 2050-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC Seasoned Credit Risk Transfer Trust, Series 2017-3, Class MT                                         | CUSIP: 35563PBS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    137443 | PA      | $120054.88    | 0.01%             | 2056-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC Seasoned Credit Risk Transfer Trust, Series 2017-4, Class M45T                                       | CUSIP: 35563PCS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    211639 | PA      | $207188.02    | 0.02%             | 2057-06-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2018-H03, Class XI                                                                            | CUSIP: 38375U5C0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3064657 | PA      | $129179.27    | 0.01%             | 2068-02-20      | Variable      | 2.40%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                        | FHLMC Gold Pool, Other                                                                                     | CUSIP: 3133N3XX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    423833 | PA      | $335567.98    | 0.04%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Boston Lending Trust                                                              | Boston Lending Trust, Series 2021-1, Class M1                                                              | CUSIP: 100842AB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1179026 | PA      | $1030162.31   | 0.12%             | 2061-07-25      | Variable      | 2.00%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2012-H09, Class AI                                                                            | CUSIP: 38375BRG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     84657 | PA      | $1678.91      | 0.00%             | 2062-04-20      | Variable      | 1.26%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC Seasoned Credit Risk Transfer Trust, Series 2020-3, Class M5TW                                       | CUSIP: 35563PTN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    508603 | PA      | $457382.70    | 0.05%             | 2060-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Single Family, 30 Year                                                                            | CUSIP: 36176DZN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     32820 | PA      | $33119.04     | 0.00%             | 2041-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | FNMA, Other                                                                                                | CUSIP: 3140K8XN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    163626 | PA      | $146568.05    | 0.02%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| OBX                                                                               | OBX, Series 2023-INV1, Class A1                                                                            | CUSIP: 67448KAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1705732 | PA      | $1482520.54   | 0.17%             | 2052-01-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                               | U.S. Treasury Long Bonds                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        14 | NC      | $-51541.81    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2013-H20, Class XI                                                                            | CUSIP: 38375B6R8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     27211 | PA      | $754.78       | 0.00%             | 2063-08-20      | Variable      | 2.01%                 | No            |                  2 | On Loan: No      |
| STAR Trust                                                                        | STAR Trust, Series 2025-SFR6, Class D                                                                      | CUSIP: 85520EAG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1850000 | PA      | $1851907.17   | 0.21%             | 2042-08-17      | Floating      | 6.08%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                              | FNMA, Other                                                                                                | CUSIP: 31418DCP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41081 | PA      | $39584.40     | 0.00%             | 2049-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| DP Facilities Data Center Subordinated Pass Through Trust                         | DP Facilities Data Center Subordinated Pass Through Trust                                                  | CUSIP: 23341GAA2<br>LEI: 549300TYHFJ7EETO8B10 | Long             | DBT              | CORP              | US        |    350000 | PA      | $98000.00     | 0.01%             | 2028-11-10      | Variable      | 0.00%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                              | FNMA, Other                                                                                                | CUSIP: 3140L6M76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    590182 | PA      | $464647.20    | 0.05%             | 2051-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                        | UMBS Pool, 30 Year                                                                                         | CUSIP: 31425W2U4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8994380 | PA      | $9069589.15   | 1.05%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $14342.30     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2016-H22, Class AI                                                                            | CUSIP: 38376RC87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    205773 | PA      | $10819.56     | 0.00%             | 2066-10-20      | Variable      | 2.74%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2012-H28, Class SB                                                                            | CUSIP: 38375BYH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     48444 | PA      | $5114.48      | 0.00%             | 2061-11-20      | Variable      | 0.80%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2013-135, Class SM                                                                            | CUSIP: 38378W6W8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     87084 | PA      | $3668.32      | 0.00%             | 2043-09-20      | Floating      | 2.51%                 | No            |                  2 | On Loan: No      |
| Terwin Mortgage Trust TMTS                                                        | Terwin Mortgage Trust TMTS, Series 2004-3HE, Class M1                                                      | CUSIP: 881561FE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     65367 | PA      | $65045.96     | 0.01%             | 2035-03-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC Seasoned Credit Risk Transfer Trust, Series 2017-1, Class HT                                         | CUSIP: 35563PAR0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1368337 | PA      | $1201626.11   | 0.14%             | 2056-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2013-H13, Class AI                                                                            | CUSIP: 38375B2E1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    433661 | PA      | $17237.79     | 0.00%             | 2063-05-20      | Variable      | 1.68%                 | No            |                  2 | On Loan: No      |
| Bayview Financial Revolving Asset Trust                                           | Bayview Financial Revolving Asset Trust, Series 2005-E, Class M2                                           | CUSIP: 073250BX9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    326169 | PA      | $1431770.85   | 0.17%             | 2040-12-28      | Floating      | 7.29%                 | Yes           |                  2 | On Loan: No      |
| BANK                                                                              | BANK, Series 2020-BN30, Class MCDE                                                                         | CUSIP: 06541UBE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2903000 | PA      | $2362734.28   | 0.27%             | 2053-12-15      | Variable      | 2.92%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2015-H09, Class AI                                                                            | CUSIP: 38375UWD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    130685 | PA      | $5983.60      | 0.00%             | 2065-04-20      | Variable      | 2.36%                 | No            |                  2 | On Loan: No      |
| Conseco Finance Corp.                                                             | Conseco Finance Corp., Series 1996-4, Class M1                                                             | CUSIP: 393505MR0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     89101 | PA      | $89275.58     | 0.01%             | 2027-06-15      | Variable      | 7.75%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                                        | Verus Securitization Trust, Series 2023-3, Class A1                                                        | CUSIP: 92539GAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1132360 | PA      | $1132396.97   | 0.13%             | 2068-03-25      | Variable      | 5.93%                 | Yes           |                  2 | On Loan: No      |
| Galton Funding Mortgage Trust                                                     | Galton Funding Mortgage Trust, Series 2019-1, Class A22                                                    | CUSIP: 36418WAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    373863 | PA      | $360688.81    | 0.04%             | 2059-02-25      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Other                                                                                             | CUSIP: 36179VKA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    146506 | PA      | $129366.94    | 0.01%             | 2050-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | UMBS, 30 Year                                                                                              | CUSIP: 31386TQ73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       724 | PA      | $750.50       | 0.00%             | 2031-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | UMBS, 30 Year                                                                                              | CUSIP: 3138ARHD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48194 | PA      | $47971.99     | 0.01%             | 2041-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| European Residential Loan Securitisation DAC                                      | European Residential Loan Securitisation DAC, Series 2019-NPL1, Class C                                    | CUSIP: N/A<br>LEI: 635400NCOLE2BYYWTZ86       | Long             | ABS-O            | CORP              | IE        |   1570455 | PA      | $1918657.00   | 0.22%             | 2054-07-24      | Floating      | 9.17%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC Seasoned Credit Risk Transfer Trust, Series 2019-4, Class M55D                                       | CUSIP: 35563PMT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    586152 | PA      | $554714.07    | 0.06%             | 2059-02-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                                                                   | Impac CMB Trust, Series 2005-7, Class A1                                                                   | CUSIP: 45254NQX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1230906 | PA      | $1110628.75   | 0.13%             | 2035-11-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Other                                                                                             | CUSIP: 36179UXJ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    105576 | PA      | $96218.92     | 0.01%             | 2049-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2016-H11, Class HI                                                                            | CUSIP: 38375UWZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    525480 | PA      | $15907.86     | 0.00%             | 2066-01-20      | Variable      | 1.82%                 | No            |                  2 | On Loan: No      |
| ACM Auto Trust                                                                    | ACM Auto Trust, Series 2025-4A, Class B                                                                    | CUSIP: 00161LAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $3025702.20   | 0.35%             | 2032-08-20      | Fixed         | 8.42%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2013-H15, Class XI                                                                            | CUSIP: 38375B4R0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3334 | PA      | $332.99       | 0.00%             | 2063-07-20      | Variable      | 2.44%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2013-H20, Class LI                                                                            | CUSIP: 38375B6P2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7856 | PA      | $343.15       | 0.00%             | 2063-02-20      | Variable      | 2.23%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | UMBS, 30 Year                                                                                              | CUSIP: 31387WTG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       111 | PA      | $115.00       | 0.00%             | 2031-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| RMF Proprietary Issuance Trust                                                    | RMF Proprietary Issuance Trust, Series 2021-2, Class M1                                                    | CUSIP: 74969VAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1096173 | PA      | $1014315.39   | 0.12%             | 2061-09-25      | Variable      | 2.13%                 | Yes           |                  2 | On Loan: No      |
| Champs Trust                                                                      | Champs Trust, Series 2024-1, Class A                                                                       | CUSIP: 15878AAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    829019 | PA      | $846536.34    | 0.10%             | 2059-07-25      | Variable      | 8.89%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                              | FNMA, REMIC, Series 2016-15, Class AS                                                                      | CUSIP: 3136AQ7J3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    542196 | PA      | $27523.10     | 0.00%             | 2046-03-25      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC, REMIC, Series 4413, Class WI                                                                        | CUSIP: 3137BFBK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     46082 | PA      | $2736.27      | 0.00%             | 2041-10-15      | Variable      | 2.16%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC Seasoned Credit Risk Transfer Trust, Series 2018-4, Class M55D                                       | CUSIP: 35563PHK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    409172 | PA      | $389763.98    | 0.05%             | 2058-03-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2019-H15, Class MI                                                                            | CUSIP: 38380LC76<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1727286 | PA      | $86005.07     | 0.01%             | 2069-09-20      | Variable      | 1.47%                 | No            |                  2 | On Loan: No      |
| RFMSI Trust                                                                       | RFMSI Trust, Series 2007-S6, Class 1A16                                                                    | CUSIP: 762009AR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    271947 | PA      | $214393.66    | 0.02%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $19243.24     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Nykredit Realkredit A/S                                                           | Nykredit Realkredit A/S, Series 01E                                                                        | CUSIP: N/A<br>LEI: LIU16F6VZJSD6UKHD557       | Long             | DBT              | CORP              | DK        |  34116882 | PA      | $5111986.17   | 0.59%             | 2056-10-01      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Alba plc                                                                          | Alba plc, Series 2005-1, Class C                                                                           | CUSIP: N/A<br>LEI: 213800OGMHK8BKUJEY32       | Long             | ABS-MBS          | CORP              | GB        |    252175 | PA      | $328330.34    | 0.04%             | 2042-11-25      | Floating      | 4.46%                 | Yes           |                  2 | On Loan: No      |
| Newtek Small Business Loan Trust                                                  | Newtek Small Business Loan Trust, Series 2023-1, Class A                                                   | CUSIP: 65254RAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    509629 | PA      | $514848.87    | 0.06%             | 2050-07-25      | Floating      | 6.25%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-60954.59    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Other                                                                                             | CUSIP: 36179VL24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    134186 | PA      | $113514.51    | 0.01%             | 2050-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Single Family, 30 Year                                                                            | CUSIP: 3618JAX24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    106420 | PA      | $110792.78    | 0.01%             | 2054-08-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| LoanMe Trust Prime                                                                | LoanMe Trust Prime, Series 2018-1, Class B                                                                 | CUSIP: 53958AAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     51895 | PA      | $51819.81     | 0.01%             | 2034-09-15      | Variable      | 6.00%                 | Yes           |                  2 | On Loan: No      |
| A&D Mortgage Trust                                                                | A&D Mortgage Trust, Series 2023-NQM5, Class A1                                                             | CUSIP: 00249XAA6<br>LEI: 984500L072D83D1AA637 | Long             | ABS-MBS          | CORP              | US        |   1272509 | PA      | $1283872.51   | 0.15%             | 2068-11-25      | Variable      | 7.05%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2017-H14, Class EI                                                                            | CUSIP: 38376R5G7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11035472 | PA      | $339182.87    | 0.04%             | 2067-06-20      | Variable      | 1.77%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | FNMA, Other                                                                                                | CUSIP: 31418CTP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28608 | PA      | $26561.44     | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PMT Loan Trust                                                                    | PMT Loan Trust, Series 2026-CNF3, Class A1                                                                 | CUSIP: 69383XAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2500000 | PA      | $2493261.75   | 0.29%             | 2057-04-25      | Variable      | 5.50%                 | Yes           |                  2 | On Loan: No      |
| CFMT LLC                                                                          | CFMT LLC, Series 2023-HB11, Class M4                                                                       | CUSIP: 12530KAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $977448.30    | 0.11%             | 2037-02-25      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $4131.14      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC, REMIC, Series 4265, Class ST                                                                        | CUSIP: 3137B5SC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    199518 | PA      | $14705.06     | 0.00%             | 2043-11-15      | Floating      | 2.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | FNMA, Strips, Series 307                                                                                   | CUSIP: 31364JT29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5889 | PA      | $604.92       | 0.00%             | 2030-06-25      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| ABFC Trust                                                                        | ABFC Trust, Series 2005-WF1, Class M5                                                                      | CUSIP: 04542BMC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     76159 | PA      | $76787.90     | 0.01%             | 2034-07-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2017-H14, Class AI                                                                            | CUSIP: 38376R5Q5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    454942 | PA      | $18654.86     | 0.00%             | 2067-06-20      | Variable      | 2.31%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC Seasoned Credit Risk Transfer Trust, Series 2024-1, Class MT                                         | CUSIP: 35563PR43<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2881459 | PA      | $2434142.80   | 0.28%             | 2063-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC Gold Pool, 30 Year                                                                                   | CUSIP: 3129457G7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    158002 | PA      | $157496.05    | 0.02%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC Whole Loan Securities Trust, Series 2017-SC01, Class 1A                                              | CUSIP: 3137G1BK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    502718 | PA      | $432452.91    | 0.05%             | 2046-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2017-H25, Class DI                                                                            | CUSIP: 38375U2D1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     59610 | PA      | $1936.10      | 0.00%             | 2067-12-20      | Variable      | 0.99%                 | No            |                  2 | On Loan: No      |
| RMF Proprietary Issuance Trust                                                    | RMF Proprietary Issuance Trust, Series 2019-1, Class A                                                     | CUSIP: 74968RAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3620762 | PA      | $3487676.31   | 0.40%             | 2063-10-25      | Variable      | 2.75%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                              | FNMA, REMIC, Series 2020-47, Class GZ                                                                      | CUSIP: 3136BAS21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    560883 | PA      | $335506.02    | 0.04%             | 2050-07-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2021-194, Class NI                                                                            | CUSIP: 38383DDC9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1518987 | PA      | $215624.29    | 0.02%             | 2051-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust                                                    | Bayview Commercial Asset Trust, Series 2005-3A, Class B1                                                   | CUSIP: 07324SCK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    476992 | PA      | $579174.54    | 0.07%             | 2035-11-25      | Floating      | 5.44%                 | Yes           |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust                                           | Saluda Grade Alternative Mortgage Trust, Series 2025-NPL2, Class A1                                        | CUSIP: 79589BAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3533099 | PA      | $3524735.94   | 0.41%             | 2030-05-25      | Variable      | 7.77%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                              | FNMA, 30 Year                                                                                              | CUSIP: 3138WGJ21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     93080 | PA      | $86553.23     | 0.01%             | 2046-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CFMT LLC                                                                          | CFMT LLC, Series 2023-HB12, Class M3                                                                       | CUSIP: 12530QAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2900000 | PA      | $2860287.11   | 0.33%             | 2033-04-25      | Variable      | 4.25%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Single Family, 30 Year                                                                            | CUSIP: 3618FSVZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    140541 | PA      | $146141.02    | 0.02%             | 2053-10-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| New Century Home Equity Loan Trust                                                | New Century Home Equity Loan Trust, Series 2002-1, Class M2                                                | CUSIP: 64352VCE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     64308 | PA      | $64843.86     | 0.01%             | 2032-03-25      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2017-H16, Class IB                                                                            | CUSIP: 38375UD23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2111364 | PA      | $61444.81     | 0.01%             | 2067-08-20      | Variable      | 1.87%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                        | FHLMC Gold Pool, Other                                                                                     | CUSIP: 3133JLYK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     85270 | PA      | $69861.81     | 0.01%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2012-H08, Class XA                                                                            | CUSIP: 38375BQU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     21975 | PA      | $4123.63      | 0.00%             | 2060-09-20      | Variable      | 3.70%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                                                     | UMBS, Single Family, 30 Year                                                                               | CUSIP: 01F020646<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5000000 | PA      | $4020117.00   | 0.46%             | 2056-04-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2017-H25                                                                                      | CUSIP: 38375U2N9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12927505 | PA      | $414327.82    | 0.05%             | 2067-11-20      | Variable      | 2.31%                 | No            |                  2 | On Loan: No      |
| Prosil Acquisition SA                                                             | Prosil Acquisition SA, Series 1, Class A                                                                   | CUSIP: N/A<br>LEI: 529900REZH4056FENJ94       | Long             | ABS-O            | CORP              | LU        |    495347 | PA      | $481624.81    | 0.06%             | 2039-10-31      | Floating      | 4.03%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                                         | FHLMC Seasoned Credit Risk Transfer Trust, Series 2018-4, Class HT                                         | CUSIP: 35563PGZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    309492 | PA      | $268235.49    | 0.03%             | 2058-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | UMBS, 30 Year                                                                                              | CUSIP: 31418FQG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8958784 | PA      | $9127199.32   | 1.06%             | 2055-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | UMBS, 30 Year                                                                                              | CUSIP: 3138A1JH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6250 | PA      | $6349.71      | 0.00%             | 2040-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| KGS-Alpha SBA COOF Trust                                                          | KGS-Alpha SBA COOF Trust, Series 2012-2, Class A                                                           | CUSIP: 48247KAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    217497 | PA      | $2583.56      | 0.00%             | 2038-08-25      | Variable      | 0.91%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2022-H11, Class IG                                                                            | CUSIP: 38382YTV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8430063 | PA      | $448905.99    | 0.05%             | 2072-05-20      | Variable      | 0.79%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2012-H26, Class JI                                                                            | CUSIP: 38375BYV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1003 | PA      | $56.76        | 0.00%             | 2061-10-20      | Variable      | 0.60%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust                                                    | Bayview Commercial Asset Trust, Series 2007-4A, Class A2                                                   | CUSIP: 07326BAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    927496 | PA      | $1719194.64   | 0.20%             | 2037-09-25      | Floating      | 4.62%                 | Yes           |                  2 | On Loan: No      |
| FNMA or FHLMC                                                                     | UMBS, Single Family, 30 Year                                                                               | CUSIP: 01F052649<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  40000000 | PA      | $40173438.00  | 4.64%             | 2056-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC Seasoned Credit Risk Transfer Trust, Series 2019-4, Class M                                          | CUSIP: 35563PMX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5340511 | PA      | $5128616.83   | 0.59%             | 2059-02-25      | Variable      | 4.50%                 | Yes           |                  2 | On Loan: No      |
| Harvest Commercial Capital Loan Trust                                             | Harvest Commercial Capital Loan Trust, Series 2019-1, Class M6                                             | CUSIP: 41753CAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1380000 | PA      | $1332981.47   | 0.15%             | 2046-09-25      | Variable      | 6.34%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                              | FNMA, Other                                                                                                | CUSIP: 31418DD74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     57463 | PA      | $53245.46     | 0.01%             | 2049-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Champs Trust                                                                      | Champs Trust, Series 2025-1, Class A                                                                       | CUSIP: 158926AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3943402 | PA      | $4064291.25   | 0.47%             | 2060-04-25      | Variable      | 7.90%                 | Yes           |                  2 | On Loan: No      |
| NovaStar Mortgage Funding Trust                                                   | NovaStar Mortgage Funding Trust, Series 2003-3, Class O                                                    | CUSIP: 66987XDD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7335225 | PA      | $4368488.16   | 0.51%             | 2033-12-26      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                                                             | FMC GMSR Issuer Trust, Series 2021-GT1, Class A                                                            | CUSIP: 30259RAH8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1200000 | PA      | $1152883.20   | 0.13%             | 2026-07-25      | Variable      | 3.62%                 | Yes           |                  2 | On Loan: No      |
| RMF Proprietary Issuance Trust                                                    | RMF Proprietary Issuance Trust, Series 2022-1, Class A1                                                    | CUSIP: 74969XAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3500551 | PA      | $3356192.39   | 0.39%             | 2062-01-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2013-H05, Class SA                                                                            | CUSIP: 38375BL67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     71051 | PA      | $3394.07      | 0.00%             | 2062-10-20      | Variable      | 0.54%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2013-H13, Class SI                                                                            | CUSIP: 38375B2R2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    539746 | PA      | $21247.72     | 0.00%             | 2063-06-20      | Variable      | 1.32%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Single Family, 30 Year                                                                            | CUSIP: 3617GTPK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11320 | PA      | $11398.73     | 0.00%             | 2048-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2018-H15, Class KI                                                                            | CUSIP: 38380LJK0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6195590 | PA      | $217801.02    | 0.03%             | 2068-08-20      | Variable      | 2.04%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                        | FHLMC Gold Pool, Other                                                                                     | CUSIP: 3133N3VV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    150100 | PA      | $132317.74    | 0.02%             | 2050-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Champs Trust                                                                      | Champs Trust, Series 2025-2, Class A                                                                       | CUSIP: 15878DAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3922905 | PA      | $4024282.46   | 0.47%             | 2060-10-25      | Variable      | 7.72%                 | Yes           |                  2 | On Loan: No      |
| RCO VIII Mortgage LLC                                                             | RCO VIII Mortgage LLC, Series 2025-3, Class A1                                                             | CUSIP: 74939GAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9142120 | PA      | $9158373.22   | 1.06%             | 2030-05-25      | Variable      | 6.43%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2012-H21, Class DS                                                                            | CUSIP: 38375BWD0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5413 | PA      | $304.96       | 0.00%             | 2061-05-20      | Variable      | 0.62%                 | No            |                  2 | On Loan: No      |
| Newgate Funding plc                                                               | Newgate Funding plc, Series 2007-3X, Class D                                                               | CUSIP: N/A<br>LEI: 2138006KF4KS6D5P1697       | Long             | ABS-MBS          | CORP              | GB        |    305801 | PA      | $392705.82    | 0.05%             | 2050-12-15      | Floating      | 6.85%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2015-H30, Class AI                                                                            | CUSIP: 38376RKY1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     79524 | PA      | $1941.46      | 0.00%             | 2061-08-20      | Variable      | 0.43%                 | No            |                  2 | On Loan: No      |
| Oakwood Mortgage Investors, Inc.                                                  | Oakwood Mortgage Investors, Inc., Series 2001-C, Class A4                                                  | CUSIP: 67087TCM1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    848508 | PA      | $50851.41     | 0.01%             | 2031-06-15      | Variable      | 7.40%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Other                                                                                             | CUSIP: 36179X4X1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     89915 | PA      | $92481.47     | 0.01%             | 2053-06-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC                                                                                                      | CUSIP: 3142BN2G8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1433943 | PA      | $1461586.28   | 0.17%             | 2054-09-01      | Variable      | 6.09%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC Gold Pool, 30 Year                                                                                   | CUSIP: 31293SCC1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2882 | PA      | $2980.18      | 0.00%             | 2029-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Bayview Financial Revolving Asset Trust                                           | Bayview Financial Revolving Asset Trust, Series 2005-E, Class A1                                           | CUSIP: 073250BV3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    652339 | PA      | $715217.50    | 0.08%             | 2040-12-28      | Floating      | 4.79%                 | Yes           |                  2 | On Loan: No      |
| Harvest SBA Loan Trust                                                            | Harvest SBA Loan Trust, Series 2023-1, Class A                                                             | CUSIP: 41757BAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1231900 | PA      | $1274467.90   | 0.15%             | 2050-10-25      | Floating      | 7.04%                 | Yes           |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                                                    | Cascade Funding Mortgage Trust, Series 2025-HB16, Class M4                                                 | CUSIP: 12531BAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $4723107.00   | 0.55%             | 2035-03-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| VCC                                                                               | VCC, Series 2026-MC1, Class A1                                                                             | CUSIP: 91826LAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5436073 | PA      | $5427733.56   | 0.63%             | 2031-01-27      | Variable      | 6.49%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                                          | Morgan Stanley Institutional Liquidity Funds - Government Portfolio - Institutional Class                  | CUSIP: 61747C707<br>LEI: 549300BI6Y5SI6BYPB26 | Long             | STIV             | RF                | US        |   2093806 | NS      | $2093806.16   | 0.24%             |  |  |  | No            |                  1 | On Loan: No      |
| Nykredit Realkredit A/S                                                           | Nykredit Realkredit A/S, Series 01E                                                                        | CUSIP: N/A<br>LEI: LIU16F6VZJSD6UKHD557       | Long             | DBT              | CORP              | DK        |  15000000 | PA      | $2191857.95   | 0.25%             | 2056-10-01      | Fixed         | 3.50%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Single Family, 30 Year                                                                            | CUSIP: 3618MAMS5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1493950 | PA      | $1532933.49   | 0.18%             | 2055-10-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2018-H01, Class XI                                                                            | CUSIP: 38375U4W7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    692274 | PA      | $39909.59     | 0.00%             | 2068-01-20      | Variable      | 2.41%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Single Family, 30 Year                                                                            | CUSIP: 36180UMA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    123727 | PA      | $116357.82    | 0.01%             | 2043-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC Seasoned Credit Risk Transfer Trust, Series 2024-2, Class MT                                         | CUSIP: 35563PX46<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1408124 | PA      | $1230440.34   | 0.14%             | 2064-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                                            | Alternative Loan Trust, Series 2007-11T1, Class A37                                                        | CUSIP: 02150GBP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     70079 | PA      | $71322.97     | 0.01%             | 2037-05-25      | Floating      | 17.26%                | No            |                  2 | On Loan: No      |
| Lansdowne Mortgage Securities No. 1 plc                                           | Lansdowne Mortgage Securities No. 1 plc, Series 1, Class A2                                                | CUSIP: N/A<br>LEI: 549300M5JCJD5NA85U45       | Long             | ABS-MBS          | CORP              | IE        |    246400 | PA      | $281553.62    | 0.03%             | 2045-06-15      | Floating      | 2.45%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Other                                                                                             | CUSIP: 36179XJR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    251507 | PA      | $254499.81    | 0.03%             | 2052-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Harvest SBA Loan Trust                                                            | Harvest SBA Loan Trust, Series 2025-1, Class A                                                             | CUSIP: 41757LAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1899175 | PA      | $1902931.70   | 0.22%             | 2052-01-25      | Floating      | 5.59%                 | Yes           |                  2 | On Loan: No      |
| Delta Funding Home Equity Loan Trust                                              | Delta Funding Home Equity Loan Trust, Series 1999-3, Class A1A                                             | CUSIP: 24763LFX3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    459746 | PA      | $445697.51    | 0.05%             | 2029-09-15      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| FortiFi                                                                           | FortiFi, Series 2023-1A, Class A                                                                           | CUSIP: 34964YAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    727724 | PA      | $722808.65    | 0.08%             | 2059-09-20      | Fixed         | 6.23%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2014-H09, Class AI                                                                            | CUSIP: 38375UFU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    248676 | PA      | $7304.05      | 0.00%             | 2064-01-20      | Variable      | 1.43%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | FNMA, Other                                                                                                | CUSIP: 31418C4L5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19928 | PA      | $19202.14     | 0.00%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Finance of America HECM Buyout                                                    | Finance of America HECM Buyout, Series 2025-HB1, Class M4                                                  | CUSIP: 31735EAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $4858082.50   | 0.56%             | 2035-11-25      | Variable      | 6.00%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                              | FNMA, REMIC, Series 2012-63, Class HS                                                                      | CUSIP: 3136A6TR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4494 | PA      | $24.55        | 0.00%             | 2041-08-25      | Floating      | 2.77%                 | No            |                  2 | On Loan: No      |
| CSFB Mortgage-Backed Pass-Through Certificates Trust                              | CSFB Mortgage-Backed Pass-Through Certificates Trust, Series 2005-10, Class 4A1                            | CUSIP: 225470EA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    470334 | PA      | $85343.98     | 0.01%             | 2035-11-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Single Family, 30 Year                                                                            | CUSIP: 3618H9TW8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    527867 | PA      | $525937.93    | 0.06%             | 2054-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Brean Asset-Backed Securities Trust                                               | Brean Asset-Backed Securities Trust, Series 2023-SRM1, Class M4                                            | CUSIP: 10638RAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6075410 | PA      | $5155667.78   | 0.60%             | 2063-09-25      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Bear Stearns Asset-Backed Securities Trust                                        | Bear Stearns Asset-Backed Securities Trust, Series 2005-SD1, Class 1M6                                     | CUSIP: 073877AJ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    868580 | PA      | $1061508.08   | 0.12%             | 2043-08-25      | Floating      | 7.47%                 | No            |                  2 | On Loan: No      |
| Harvest Commercial Capital Loan Trust                                             | Harvest Commercial Capital Loan Trust, Series 2019-1, Class M5                                             | CUSIP: 41753CAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1477368.45   | 0.17%             | 2046-09-25      | Variable      | 5.73%                 | Yes           |                  2 | On Loan: No      |
| Prpm Fundido DAC                                                                  | PRPM Fundido DAC, Series 2025-1A, Class C                                                                  | CUSIP: N/A<br>LEI: 894500EWWG2B1D664659       | Long             | ABS-MBS          | CORP              | IE        |   4000000 | PA      | $4545921.29   | 0.53%             | 2075-04-29      | Floating      | 4.04%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2017-H14, Class XI                                                                            | CUSIP: 38376R5T9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    316155 | PA      | $8021.83      | 0.00%             | 2067-06-20      | Variable      | 1.86%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | UMBS, 30 Year                                                                                              | CUSIP: 3140HDJW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    121254 | PA      | $115595.32    | 0.01%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | FNMA, Strips, Series 289, Class 2                                                                          | CUSIP: 31364HQ83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2208 | PA      | $75.49        | 0.00%             | 2027-11-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Brean Asset-Backed Securities Trust                                               | Brean Asset-Backed Securities Trust, Series 2023-SRM1, Class M5                                            | CUSIP: 10638RAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4970790 | PA      | $3751619.86   | 0.43%             | 2063-09-25      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Structured Adjustable Rate Mortgage Loan Trust                                    | Structured Adjustable Rate Mortgage Loan Trust, Series 2005-4, Class 6A1                                   | CUSIP: 863579MY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    129968 | PA      | $117913.76    | 0.01%             | 2035-03-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                                                            | SLM Student Loan Trust, Series 2004-10X, Class A8                                                          | CUSIP: N/A<br>LEI: 54930060UIG70QCSNY68       | Long             | ABS-O            | CORP              | US        |   7094068 | PA      | $7670912.91   | 0.89%             | 2040-01-25      | Floating      | 2.58%                 | Yes           |                  2 | On Loan: No      |
| TIAA Bank Mortgage Loan Trust                                                     | TIAA Bank Mortgage Loan Trust, Series 2018-3, Class A1                                                     | CUSIP: 88632AAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    105181 | PA      | $99831.35     | 0.01%             | 2048-11-25      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| loanDepot GMSR Master Trust                                                       | loanDepot GMSR Master Trust, Series 2025-GT2, Class A                                                      | CUSIP: 53946TAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3200000 | PA      | $3252361.92   | 0.38%             | 2030-07-16      | Floating      | 6.83%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                              | UMBS, 30 Year                                                                                              | CUSIP: 31416WP71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6917 | PA      | $6889.95      | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                                          | U.S. Treasury Bills                                                                                        | CUSIP: 912797TQ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |  10000000 | PA      | $9880292.80   | 1.14%             | 2026-07-30      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC, REMIC, Series 4348, Class SA                                                                        | CUSIP: 3137BBZ37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    353302 | PA      | $19492.49     | 0.00%             | 2040-10-15      | Variable      | 2.31%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2013-H25, Class EI                                                                            | CUSIP: 38375UBD1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    144274 | PA      | $2275.43      | 0.00%             | 2063-08-20      | Variable      | 1.15%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                        | UMBS Pool, 30 Year                                                                                         | CUSIP: 31426Q6Z1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8893844 | PA      | $8947507.03   | 1.03%             | 2055-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| OLIT                                                                              | OLIT, Series 2025-HB2, Class M3                                                                            | CUSIP: 68278FAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2500000 | PA      | $2286529.00   | 0.26%             | 2038-11-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                                                        | FHLMC Gold Pool, Other                                                                                     | CUSIP: 3133JMGU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2084816 | PA      | $2104300.54   | 0.24%             | 2055-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                                      | MASTR Alternative Loan Trust                                                                               | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |    108201 | PA      | $98335.20     | 0.01%             | 2033-05-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                                                            | Sequoia Mortgage Trust, Series 2007-4, Class 1A1                                                           | CUSIP: 81744JAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     47161 | PA      | $37421.93     | 0.00%             | 2036-01-20      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| Prime Mortgage Trust                                                              | Prime Mortgage Trust, Series 2006-CL1, Class M3                                                            | CUSIP: 74161QAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    695000 | PA      | $616051.54    | 0.07%             | 2035-02-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2020-H22, Class NI                                                                            | CUSIP: 38380QSV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5624031 | PA      | $264408.45    | 0.03%             | 2070-12-20      | Variable      | 1.45%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC Gold Pool, 30 Year                                                                                   | CUSIP: 3132GLN75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     58299 | PA      | $56904.34     | 0.01%             | 2041-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan Trust                                                | Morgan Stanley Mortgage Loan Trust, Series 2004-2AR, Class 4A                                              | CUSIP: 61748HAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     44228 | PA      | $43254.66     | 0.01%             | 2034-02-25      | Variable      | 6.05%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | UMBS, 30 Year                                                                                              | CUSIP: 3138AMBK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3153 | PA      | $3203.52      | 0.00%             | 2041-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | FNMA, Other                                                                                                | CUSIP: 3140JSED7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4060767 | PA      | $3194791.70   | 0.37%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                        | FHLMC Gold Pool, Other                                                                                     | CUSIP: 3133N3U77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     25520 | PA      | $24241.55     | 0.00%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                        | FHLMC Gold Pool, Other                                                                                     | CUSIP: 3133JLKE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1126154 | PA      | $985700.74    | 0.11%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC, REMIC, Series 4314, Class IT                                                                        | CUSIP: 3137B9FK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    112954 | PA      | $5949.10      | 0.00%             | 2039-04-15      | Floating      | 2.24%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC Whole Loan Securities Trust, Series 2016-SC02, Class 1A                                              | CUSIP: 3137G1BC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    277561 | PA      | $240286.95    | 0.03%             | 2046-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                        | UMBS Pool, 30 Year                                                                                         | CUSIP: 31427BJB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8551299 | PA      | $8623738.80   | 1.00%             | 2055-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Other                                                                                             | CUSIP: 36179VA83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     53240 | PA      | $49946.83     | 0.01%             | 2049-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JOL Air Ltd.                                                                      | JOL Air Ltd., Series 2019-1, Class A                                                                       | CUSIP: 46651NAA2<br>LEI: 549300TS4MUGCDXPW498 | Long             | ABS-O            | CORP              | KY        |   1095211 | PA      | $1093707.56   | 0.13%             | 2044-04-15      | Fixed         | 3.97%                 | Yes           |                  2 | On Loan: No      |
| Alternative Loan Trust                                                            | Alternative Loan Trust, Series 2005-2, Class 2A1                                                           | CUSIP: 12667FZ73<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     66963 | PA      | $64256.68     | 0.01%             | 2035-03-25      | Variable      | 5.14%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Backed Pass-Through Certificates                                    | WaMu Mortgage Backed Pass-Through Certificates, Series 2001-AR5, Class 1A                                  | CUSIP: 22540VLE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    118575 | PA      | $117931.07    | 0.01%             | 2039-12-19      | Variable      | 5.76%                 | No            |                  2 | On Loan: No      |
| EFMT                                                                              | EFMT, Series 2025-RM3, Class A1A                                                                           | CUSIP: 26845NAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2500000 | PA      | $2410214.75   | 0.28%             | 2055-09-25      | Variable      | 4.75%                 | Yes           |                  2 | On Loan: No      |
| Harvest Commercial Capital Loan Trust                                             | Harvest Commercial Capital Loan Trust, Series 2024-1, Class A                                              | CUSIP: 417927AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1599759 | PA      | $1629459.34   | 0.19%             | 2056-10-25      | Fixed         | 6.16%                 | No            |                  2 | On Loan: No      |
| RMF Buyout Issuance Trust                                                         | RMF Buyout Issuance Trust, Series 2021-HB1, Class M6                                                       | CUSIP: 74969TAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2656570 | PA      | $2376645.45   | 0.27%             | 2031-11-25      | Variable      | 6.00%                 | Yes           |                  2 | On Loan: No      |
| FNMA or FHLMC                                                                     | UMBS, Single Family, 30 Year                                                                               | CUSIP: 01F030645<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  10000000 | PA      | $8791406.00   | 1.02%             | 2056-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | FNMA, Other                                                                                                | CUSIP: 3140JCA95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1726097 | PA      | $1581064.93   | 0.18%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | UMBS, 30 Year                                                                                              | CUSIP: 31390EZX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       520 | PA      | $545.76       | 0.00%             | 2032-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust                                           | Saluda Grade Alternative Mortgage Trust, Series 2025-NPL1, Class A1                                        | CUSIP: 79582BAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1977607 | PA      | $1989962.97   | 0.23%             | 2030-01-25      | Variable      | 7.12%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                                          | U.S. Treasury Bills                                                                                        | CUSIP: 912797TP2<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |  10000000 | PA      | $9887418.50   | 1.14%             | 2026-07-23      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | FNMA, REMIC, Series 2014-10, Class CS                                                                      | CUSIP: 3136AJFH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    123418 | PA      | $7234.27      | 0.00%             | 2044-03-25      | Variable      | 1.96%                 | No            |                  2 | On Loan: No      |
| CFMT LLC                                                                          | CFMT LLC, Series 2025-AB3, Class M5                                                                        | CUSIP: 15723JAG7<br>LEI: 984500B0B47A6AEABC92 | Long             | ABS-MBS          | CORP              | US        |   2583450 | PA      | $1888171.98   | 0.22%             | 2055-05-25      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| RMF Proprietary Issuance Trust                                                    | RMF Proprietary Issuance Trust, Series 2020-1, Class A                                                     | CUSIP: 74969MAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1199338 | PA      | $1171214.37   | 0.14%             | 2060-04-26      | Variable      | 3.25%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                              | UMBS, 30 Year                                                                                              | CUSIP: 31388HBH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15968 | PA      | $16590.03     | 0.00%             | 2031-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2018-H02, Class EI                                                                            | CUSIP: 38375U6A3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    157073 | PA      | $6666.65      | 0.00%             | 2068-01-20      | Variable      | 2.51%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Single Family, 30 Year                                                                            | CUSIP: 3618H9TX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    439955 | PA      | $448125.66    | 0.05%             | 2054-08-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Single Family, 30 Year                                                                            | CUSIP: 3617GTNN3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9597 | PA      | $9642.71      | 0.00%             | 2049-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| RMF Buyout Issuance Trust                                                         | RMF Buyout Issuance Trust, Series 2020-HB1, Class M5                                                       | CUSIP: 76971EAH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8264396 | PA      | $6552084.27   | 0.76%             | 2050-10-25      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                                          | U.S. Treasury Bills                                                                                        | CUSIP: 912797TY3<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |  10000000 | PA      | $9852411.10   | 1.14%             | 2026-08-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Tricolor Auto Securitization Trust                                                | Tricolor Auto Securitization Trust, Series 2025-2A, Class E                                                | CUSIP: 89617QAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $41950.00     | 0.00%             | 2031-04-15      | Fixed         | 8.35%                 | Yes           |                  2 | On Loan: No      |
| CFMT LLC                                                                          | CFMT LLC, Series 2024-HB14, Class M5                                                                       | CUSIP: 12530XAF8<br>LEI: 9845005986F840FBE847 | Long             | ABS-MBS          | CORP              | US        |   4000000 | PA      | $3731072.40   | 0.43%             | 2034-06-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                               | U.S. Treasury 2 Year Notes                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        73 | NC      | $-117055.06   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Pioneer Aircraft Finance Ltd.                                                     | Pioneer Aircraft Finance Ltd., Series 2019-1, Class B                                                      | CUSIP: 72353PAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    267090 | PA      | $265843.09    | 0.03%             | 2044-06-15      | Fixed         | 4.95%                 | Yes           |                  2 | On Loan: No      |
| Bear Stearns Asset-Backed Securities I Trust                                      | Bear Stearns Asset-Backed Securities I Trust, Series 2006-AC2, Class 1A2                                   | CUSIP: 07387UGC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    406710 | PA      | $116395.03    | 0.01%             | 2036-03-25      | Floating      | 13.17%                | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2010-H21, Class JI                                                                            | CUSIP: 38375BGD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     50316 | PA      | $2884.29      | 0.00%             | 2060-02-20      | Variable      | 2.54%                 | No            |                  2 | On Loan: No      |
| RMF Buyout Issuance Trust                                                         | RMF Buyout Issuance Trust, Series 2021-HB1, Class M3                                                       | CUSIP: 74969TAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1913810.40   | 0.22%             | 2031-11-25      | Variable      | 3.69%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                                          | U.S. Treasury Bills                                                                                        | CUSIP: 912797UA3<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |   5224700 | PA      | $5185062.60   | 0.60%             | 2026-06-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| PRMI Securitization Trust                                                         | PRMI Securitization Trust, Series 2021-1, Class A2                                                         | CUSIP: 69359DAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9621 | PA      | $8000.35      | 0.00%             | 2051-04-25      | Variable      | 2.50%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Other                                                                                             | CUSIP: 36179VR77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    379978 | PA      | $333387.86    | 0.04%             | 2050-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| EMF-NL Prime BV                                                                   | EMF-NL Prime BV, Series 2008-APRX, Class A2                                                                | CUSIP: N/A<br>LEI: 724500YACYYG8XY5LM10       | Long             | ABS-MBS          | CORP              | NL        |     21802 | PA      | $25148.73     | 0.00%             | 2041-04-17      | Floating      | 2.83%                 | Yes           |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust                                                        | J.P. Morgan Mortgage Trust, Series 2004-A6, Class 1A2                                                      | CUSIP: 466247GS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     29414 | PA      | $26208.57     | 0.00%             | 2034-12-25      | Variable      | 3.45%                 | No            |                  2 | On Loan: No      |
| La Hipotecaria Panamanian Mortgage Trust                                          | La Hipotecaria Panamanian Mortgage Trust, Series 2021-1, Class GA                                          | CUSIP: 50347JAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1509931 | PA      | $1370784.63   | 0.16%             | 2052-07-13      | Fixed         | 4.35%                 | Yes           |                  2 | On Loan: No      |
| FNMA or FHLMC                                                                     | UMBS, Single Family, 30 Year                                                                               | CUSIP: 01F050643<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  40000000 | PA      | $39432814.00  | 4.56%             | 2056-04-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2017-H20, Class DI                                                                            | CUSIP: 38375UM49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    597414 | PA      | $31139.53     | 0.00%             | 2067-10-20      | Variable      | 2.43%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2019-H12, Class DI                                                                            | CUSIP: 38380LWR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1614302 | PA      | $63176.33     | 0.01%             | 2069-06-20      | Variable      | 1.01%                 | No            |                  2 | On Loan: No      |
| NovaStar Mortgage Funding Trust                                                   | NovaStar Mortgage Funding Trust, Series 2003-4, Class O                                                    | CUSIP: 66987XDT9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3750000 | PA      | $2267654.62   | 0.26%             | 2034-02-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage Trust                                                | Ellington Financial Mortgage Trust, Series 2022-4, Class A1                                                | CUSIP: 268432AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2074077 | PA      | $2073009.24   | 0.24%             | 2067-09-25      | Variable      | 5.90%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                              | FNMA, Other                                                                                                | CUSIP: 3140L2AS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    509784 | PA      | $401350.98    | 0.05%             | 2051-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Other                                                                                             | CUSIP: 3618JKPK1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    895622 | PA      | $935712.58    | 0.11%             | 2064-08-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Other                                                                                             | CUSIP: 36179UZH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    138477 | PA      | $122277.22    | 0.01%             | 2049-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2019-H14, Class DI                                                                            | CUSIP: 38380LYZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2575521 | PA      | $155508.60    | 0.02%             | 2069-08-20      | Variable      | 1.61%                 | No            |                  2 | On Loan: No      |
| RMF Buyout Issuance Trust                                                         | RMF Buyout Issuance Trust, Series 2021-HB1, Class M5                                                       | CUSIP: 74969TAF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1421481.00   | 0.16%             | 2031-11-25      | Variable      | 6.00%                 | Yes           |                  2 | On Loan: No      |
| IMS Ecuadorian Mortgage Trust                                                     | IMS Ecuadorian Mortgage Trust, Series 2021-1, Class GA                                                     | CUSIP: 44970EAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    232600 | PA      | $224161.08    | 0.03%             | 2043-08-18      | Fixed         | 3.40%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                              | UMBS, 30 Year                                                                                              | CUSIP: 31390RTP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       761 | PA      | $794.33       | 0.00%             | 2032-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Shenton Aircraft Investment I Ltd.                                                | Shenton Aircraft Investment I Ltd., Series 2015-1A, Class B                                                | CUSIP: 82321UAB9<br>LEI: 254900877LAQRYY3YZ51 | Long             | ABS-O            | CORP              | KY        |    175255 | PA      | $175255.23    | 0.02%             | 2042-10-15      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| MASTR Reperforming Loan Trust                                                     | MASTR Reperforming Loan Trust, Series 2005-2, Class 1A3                                                    | CUSIP: 57643QAH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     90533 | PA      | $62691.21     | 0.01%             | 2035-05-25      | Fixed         | 7.50%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                              | FNMA, REMIC, Series 2025-99, Class ZK                                                                      | CUSIP: 3136BXY65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1626664 | PA      | $1628766.30   | 0.19%             | 2055-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC Seasoned Credit Risk Transfer Trust, Series 2019-4, Class MT                                         | CUSIP: 35563PMK2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    771194 | PA      | $662262.21    | 0.08%             | 2059-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Lehman ABS Manufactured Housing Contract Trust                                    | Lehman ABS Manufactured Housing Contract Trust, Series 2002-A, Class C                                     | CUSIP: 52519SAX1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1104556 | PA      | $1069740.05   | 0.12%             | 2033-06-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Securitization Trust                                                  | MASTR Asset Securitization Trust, Series 2005-2, Class 4A1                                                 | CUSIP: 57643MLK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       909 | PA      | $853.71       | 0.00%             | 2025-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Legacy Mortgage Asset Trust                                                       | Legacy Mortgage Asset Trust, Series 2021-GS2, Class A2                                                     | CUSIP: 52476DAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3119465 | PA      | $3161254.97   | 0.37%             | 2061-04-25      | Variable      | 7.50%                 | Yes           |                  2 | On Loan: No      |
| Countrywide                                                                       | Countrywide Asset-Backed Certificates, Series 2004-SD2, Class M2                                           | CUSIP: 1266716Z4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    361751 | PA      | $379979.59    | 0.04%             | 2033-03-25      | Floating      | 5.97%                 | Yes           |                  2 | On Loan: No      |
| CoreVest American Finance Trust                                                   | CoreVest American Finance Trust, Series 2021-2, Class XA                                                   | CUSIP: 21873BAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1812528 | PA      | $31076.15     | 0.00%             | 2054-07-15      | Variable      | 2.91%                 | Yes           |                  2 | On Loan: No      |
| Amortizing Residential Collateral Trust                                           | Amortizing Residential Collateral Trust, Series 2001-BC6W, Class A                                         | CUSIP: 86358RND5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    318380 | PA      | $316411.49    | 0.04%             | 2031-10-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC Gold Pool, 30 Year                                                                                   | CUSIP: 3128M8W83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     27170 | PA      | $27085.89     | 0.00%             | 2041-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC, REMIC, Series 4363, Class TI                                                                        | CUSIP: 3137BCNT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     90191 | PA      | $4642.72      | 0.00%             | 2039-10-15      | Floating      | 2.20%                 | No            |                  2 | On Loan: No      |
| Shenton Aircraft Investment I Ltd.                                                | Shenton Aircraft Investment I Ltd., Series 2015-1A, Class A                                                | CUSIP: 82321UAA1<br>LEI: 254900877LAQRYY3YZ51 | Long             | ABS-O            | CORP              | KY        |    527186 | PA      | $527185.54    | 0.06%             | 2042-10-15      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2014-H12, Class BI                                                                            | CUSIP: 38375UJE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    425941 | PA      | $16227.92     | 0.00%             | 2064-05-20      | Variable      | 1.63%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                                            | Alternative Loan Trust, Series 2004-2CB, Class 1A9                                                         | CUSIP: 12667FAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     81165 | PA      | $82260.48     | 0.01%             | 2034-03-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Realkredit Danmark A/S                                                            | Realkredit Danmark A/S, Series CCS                                                                         | CUSIP: N/A<br>LEI: 549300NLOMBOWE943Y30       | Long             | DBT              | CORP              | DK        |  10428680 | PA      | $1573139.89   | 0.18%             | 2056-10-01      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| METAL LLC                                                                         | METAL LLC, Series 2017-1, Class A                                                                          | CUSIP: 59111RAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    221441 | PA      | $155002.15    | 0.02%             | 2042-10-15      | Fixed         | 4.58%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Other                                                                                             | CUSIP: 36179U3T7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    345338 | PA      | $314732.22    | 0.04%             | 2049-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC Gold Pool, Other                                                                                     | CUSIP: 31323ABF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    111331 | PA      | $103807.88    | 0.01%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Palatino SPV                                                                      | Palatino SPV, Series 1, Class AR                                                                           | CUSIP: N/A<br>LEI: 8156008628974A9F8838       | Long             | ABS-O            | CORP              | IT        |    710271 | PA      | $789917.40    | 0.09%             | 2045-12-01      | Floating      | 4.61%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Other                                                                                             | CUSIP: 36179VFE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     95659 | PA      | $87181.30     | 0.01%             | 2050-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2012-H11, Class BI                                                                            | CUSIP: 38375BSG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     26699 | PA      | $4235.93      | 0.00%             | 2062-05-20      | Variable      | 2.84%                 | No            |                  2 | On Loan: No      |
| ACM Auto Trust                                                                    | ACM Auto Trust, Series 2024-2A, Class A                                                                    | CUSIP: 00461WAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     14377 | PA      | $14381.37     | 0.00%             | 2029-02-20      | Fixed         | 6.06%                 | Yes           |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                                         | Towd Point Mortgage Trust, Series 2019-MH1, Class B4                                                       | CUSIP: 89177WAH2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4305379 | PA      | $4290021.07   | 0.50%             | 2058-11-25      | Variable      | 4.75%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                                                        | FHLMC Gold Pool, Other                                                                                     | CUSIP: 3133JL7J2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1348968 | PA      | $1110273.65   | 0.13%             | 2052-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2012-128, Class IG                                                                            | CUSIP: 38378HP26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    518389 | PA      | $85830.81     | 0.01%             | 2042-10-16      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ACM Auto Trust                                                                    | ACM Auto Trust, Series 2024-2A, Class B                                                                    | CUSIP: 00461WAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7320000 | PA      | $7391670.85   | 0.85%             | 2031-08-20      | Fixed         | 9.21%                 | Yes           |                  2 | On Loan: No      |
| FMC Issuer Trust-FMSR                                                             | FMC Issuer Trust-FMSR, Series 2024-FT1, Class A                                                            | CUSIP: 30191JAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4100000 | PA      | $4082431.91   | 0.47%             | 2029-09-25      | Fixed         | 6.56%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2016-H20, Class BI                                                                            | CUSIP: 38376RYL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    256884 | PA      | $9400.62      | 0.00%             | 2066-09-20      | Variable      | 1.71%                 | No            |                  2 | On Loan: No      |
| Mansard Mortgages plc                                                             | Mansard Mortgages plc, Series 2006-1X, Class M2                                                            | CUSIP: N/A<br>LEI: 213800OR1ZCE1EMOXP13       | Long             | ABS-MBS          | CORP              | GB        |    347749 | PA      | $447962.47    | 0.05%             | 2048-10-15      | Floating      | 4.47%                 | Yes           |                  2 | On Loan: No      |
| CFMT LLC                                                                          | CFMT LLC, Series 2024-HB14, Class M4                                                                       | CUSIP: 12530XAE1<br>LEI: 9845005986F840FBE847 | Long             | ABS-MBS          | CORP              | US        |   4500000 | PA      | $4300642.80   | 0.50%             | 2034-06-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC Gold Pool, 30 Year                                                                                   | CUSIP: 3128M7SU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10208 | PA      | $10747.81     | 0.00%             | 2035-05-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Newtek Small Business Loan Trust                                                  | Newtek Small Business Loan Trust, Series 2022-1, Class B                                                   | CUSIP: 65254BAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1390939 | PA      | $1382812.79   | 0.16%             | 2049-10-25      | Floating      | 7.00%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC Whole Loan Securities Trust, Series 2015-SC02, Class 1A                                              | CUSIP: 3137G1AK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     36742 | PA      | $32480.12     | 0.00%             | 2045-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                        | UMBS Pool, 30 Year                                                                                         | CUSIP: 3132DWNJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12402304 | PA      | $12482755.94  | 1.44%             | 2054-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2016-H20, Class MI                                                                            | CUSIP: 38376RYK6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     45261 | PA      | $657.75       | 0.00%             | 2062-12-20      | Variable      | 0.30%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2025-173, Class LZ                                                                            | CUSIP: 38383BD25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2932083 | PA      | $2918395.18   | 0.34%             | 2055-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments II Trust                                    | Structured Asset Mortgage Investments II Trust, Series 2005-AR2, Class 2A1                                 | CUSIP: 86359LJA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     56037 | PA      | $50194.87     | 0.01%             | 2045-05-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| Cascade MH Asset Trust                                                            | Cascade MH Asset Trust, Series 2022-MH1, Class A                                                           | CUSIP: 14732KAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1655839 | PA      | $1623001.79   | 0.19%             | 2054-08-25      | Variable      | 4.25%                 | Yes           |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                                           | GSR Mortgage Loan Trust, Series 2004-3F, Class 1A1                                                         | CUSIP: 36228FG34<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9277 | PA      | $8982.32      | 0.00%             | 2034-02-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Rate Mortgage Trust                                                               | Rate Mortgage Trust, Series 2025-J3, Class A1                                                              | CUSIP: 75410EAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2343755 | PA      | $2338902.34   | 0.27%             | 2055-11-25      | Variable      | 5.50%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                              | FNMA, REMIC, Series 2025-91, Class UZ                                                                      | CUSIP: 3136BXLV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1315885 | PA      | $1311574.06   | 0.15%             | 2055-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| VINE Trust                                                                        | VINE Trust, Series 2023-SFR1, Class E1                                                                     | CUSIP: 91825KAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1849000 | PA      | $1786696.28   | 0.21%             | 2040-12-17      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC Gold Pool, 30 Year                                                                                   | CUSIP: 3132GJUA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     25280 | PA      | $25202.45     | 0.00%             | 2041-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust                                           | Saluda Grade Alternative Mortgage Trust, Series 2020-SEQ1, Class M1                                        | CUSIP: 79581PAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2500000 | PA      | $2528865.50   | 0.29%             | 2050-05-25      | Variable      | 7.50%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC Gold Pool, 30 Year                                                                                   | CUSIP: 3132M9WH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     46429 | PA      | $44866.05     | 0.01%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WMRK Commercial Mortgage Trust                                                    | WMRK Commercial Mortgage Trust, Series 2022-WMRK, Class B                                                  | CUSIP: 929342AB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2633855 | PA      | $2641154.42   | 0.31%             | 2027-11-15      | Floating      | 7.11%                 | Yes           |                  2 | On Loan: No      |
| RFMSI Trust                                                                       | RFMSI Trust, Series 2007-S6, Class 1A13                                                                    | CUSIP: 762009AN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    824473 | PA      | $69998.59     | 0.01%             | 2037-06-25      | Floating      | 1.71%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                                                    | Cascade Funding Mortgage Trust, Series 2024-RM5, Class M2                                                  | CUSIP: 147275AC5<br>LEI: 984500AB3AED98FEEV98 | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1363995.60   | 0.16%             | 2054-10-25      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2014-H20, Class MI                                                                            | CUSIP: 38375UQU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1047587 | PA      | $89935.80     | 0.01%             | 2064-10-20      | Variable      | 2.37%                 | No            |                  2 | On Loan: No      |
| STAR Trust                                                                        | STAR Trust, Series 2021-SFR1, Class F                                                                      | CUSIP: 85521DAL6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    763466 | PA      | $763575.43    | 0.09%             | 2038-04-17      | Floating      | 6.19%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Single Family, 30 Year                                                                            | CUSIP: 3618BWLL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    212810 | PA      | $217647.72    | 0.03%             | 2053-06-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                                            | Velocity Commercial Capital Loan Trust, Series 2025-4, Class M2                                            | CUSIP: 92262JAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1220553 | PA      | $1215058.20   | 0.14%             | 2055-09-25      | Variable      | 6.17%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                                          | U.S. Treasury Bills                                                                                        | CUSIP: 912797TN7<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |  20000000 | PA      | $19789271.00  | 2.29%             | 2026-07-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2016-H13, Class EI                                                                            | CUSIP: 38376RVD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7439005 | PA      | $382261.14    | 0.04%             | 2066-04-20      | Variable      | 2.32%                 | No            |                  2 | On Loan: No      |
| RMF Buyout Issuance Trust                                                         | RMF Buyout Issuance Trust, Series 2021-HB1, Class M2                                                       | CUSIP: 74969TAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $489714.30    | 0.06%             | 2031-11-25      | Variable      | 3.15%                 | Yes           |                  2 | On Loan: No      |
| Newtek Small Business Loan Trust                                                  | Newtek Small Business Loan Trust, Series 2022-1, Class A                                                   | CUSIP: 65254BAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    596117 | PA      | $601001.33    | 0.07%             | 2049-10-25      | Floating      | 6.05%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                              | FNMA, REMIC, Series 2009-24, Class LC                                                                      | CUSIP: 31397NWG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10816 | PA      | $9699.57      | 0.00%             | 2039-04-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Onity Loan Investment Trust                                                       | Onity Loan Investment Trust, Series 2024-HB2, Class M3                                                     | CUSIP: 68278DAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1948473.80   | 0.23%             | 2037-08-25      | Variable      | 5.00%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                              | FNMA, Other                                                                                                | CUSIP: 31418D5S7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3834354 | PA      | $3163069.37   | 0.37%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2010-H22, Class HI                                                                            | CUSIP: 38375BHK1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     34460 | PA      | $3558.02      | 0.00%             | 2060-10-20      | Variable      | 2.37%                 | No            |                  2 | On Loan: No      |
| ACM Auto Trust                                                                    | ACM Auto Trust, Series 2025-1A, Class B                                                                    | CUSIP: 00161EAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2500000 | PA      | $2519794.50   | 0.29%             | 2031-11-20      | Fixed         | 7.87%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                              | UMBS, 30 Year                                                                                              | CUSIP: 31418MJP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12773 | PA      | $13440.48     | 0.00%             | 2037-08-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| RMF Proprietary Issuance Trust                                                    | RMF Proprietary Issuance Trust, Series 2022-2, Class M3                                                    | CUSIP: 74970CAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1813264.20   | 0.21%             | 2062-06-25      | Variable      | 3.75%                 | Yes           |                  2 | On Loan: No      |
| PRKCM Trust                                                                       | PRKCM Trust, Series 2024-HOME1, Class A1                                                                   | CUSIP: 69391XAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2309777 | PA      | $2335015.12   | 0.27%             | 2059-05-25      | Variable      | 6.43%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Single Family, 30 Year                                                                            | CUSIP: 3618NPT70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2498284 | PA      | $2547336.52   | 0.29%             | 2055-06-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2012-H08, Class XB                                                                            | CUSIP: 38375BQW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12813 | PA      | $1257.39      | 0.00%             | 2062-03-20      | Variable      | 2.78%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | UMBS, 30 Year                                                                                              | CUSIP: 31418MJT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13204 | PA      | $13846.90     | 0.00%             | 2032-10-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Other                                                                                             | CUSIP: 36179UUB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     51718 | PA      | $50028.10     | 0.01%             | 2049-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Seasoned Credit Risk Transfer Trust                                               | Seasoned Credit Risk Transfer Trust, Series 2025-1, Class MAU                                              | CUSIP: 35563PZ28<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    658325 | PA      | $602393.16    | 0.07%             | 2064-11-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| ACM Auto Trust                                                                    | ACM Auto Trust, Series 2025-4A, Class A                                                                    | CUSIP: 00161LAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3198391 | PA      | $3206110.79   | 0.37%             | 2030-05-20      | Fixed         | 5.87%                 | Yes           |                  2 | On Loan: No      |
| Rain City Mortgage Trust                                                          | Rain City Mortgage Trust, Series 2024-RTL1, Class A1                                                       | CUSIP: 75079KAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2122000 | PA      | $2137502.06   | 0.25%             | 2029-09-25      | Variable      | 6.53%                 | Yes           |                  2 | On Loan: No      |
| loanDepot GMSR Trust                                                              | loanDepot GMSR Trust, Series 2025-GT1, Class A                                                             | CUSIP: 53946TAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $4966389.50   | 0.57%             | 2030-05-16      | Floating      | 6.52%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                              | FNMA, Other                                                                                                | CUSIP: 3140KSH75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    318468 | PA      | $252145.95    | 0.03%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                                                     | UMBS, Single Family, 30 Year                                                                               | CUSIP: 01F022642<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8000000 | PA      | $6727500.00   | 0.78%             | 2056-04-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust                                                        | J.P. Morgan Mortgage Trust, Series 2020-2, Class A3                                                        | CUSIP: 46591TAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    269470 | PA      | $242418.22    | 0.03%             | 2050-07-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| ReadyCap Lending Small Business Loan Trust                                        | ReadyCap Lending Small Business Loan Trust, Series 2019-2, Class A                                         | CUSIP: 75576QAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     61454 | PA      | $61413.07     | 0.01%             | 2044-12-27      | Floating      | 6.25%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2014-H22, Class AI                                                                            | CUSIP: 38375URW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    752263 | PA      | $48372.31     | 0.01%             | 2064-11-20      | Variable      | 2.21%                 | No            |                  2 | On Loan: No      |
| United States of America                                                          | U.S. Treasury Bills                                                                                        | CUSIP: 912797SA6<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |  15000000 | PA      | $14726643.75  | 1.70%             | 2026-10-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ATLX Trust                                                                        | ATLX Trust, Series 2024-RPL1, Class A2                                                                     | CUSIP: 049915AB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1462550.85   | 0.17%             | 2064-04-25      | Variable      | 4.41%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2016-H04, Class HI                                                                            | CUSIP: 38376RQY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    223333 | PA      | $10694.89     | 0.00%             | 2065-07-20      | Variable      | 2.36%                 | No            |                  2 | On Loan: No      |
| Realkredit Danmark A/S                                                            | Realkredit Danmark A/S, Series 28S                                                                         | CUSIP: N/A<br>LEI: 549300NLOMBOWE943Y30       | Long             | DBT              | CORP              | DK        |  19964035 | PA      | $2941384.91   | 0.34%             | 2056-10-01      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                              | FNMA, Other                                                                                                | CUSIP: 3138WHQP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    223470 | PA      | $197903.35    | 0.02%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Other                                                                                             | CUSIP: 36179VKC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     36156 | PA      | $33919.39     | 0.00%             | 2050-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | FNMA, REMIC, Series 2010-68, Class BA                                                                      | CUSIP: 31398THK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    180723 | PA      | $181967.85    | 0.02%             | 2050-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC Gold Pool, 30 Year                                                                                   | CUSIP: 31335ABF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     93824 | PA      | $88602.74     | 0.01%             | 2044-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Legacy Mortgage Asset Trust                                                       | Legacy Mortgage Asset Trust, Series 2021-GS3, Class A1                                                     | CUSIP: 52474XAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    592751 | PA      | $596564.86    | 0.07%             | 2061-07-25      | Variable      | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Boston Lending Trust                                                              | Boston Lending Trust, Series 2021-1, Class A                                                               | CUSIP: 100842AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2005853 | PA      | $1797304.86   | 0.21%             | 2061-07-25      | Variable      | 2.00%                 | Yes           |                  2 | On Loan: No      |
| CSMC Trust                                                                        | CSMC Trust, Series 2021-BPNY, Class A                                                                      | CUSIP: 12659XAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7581132 | PA      | $7444675.50   | 0.86%             | 2026-08-15      | Floating      | 7.50%                 | Yes           |                  2 | On Loan: No      |
| RMF Buyout Issuance Trust                                                         | RMF Buyout Issuance Trust, Series 2021-HB1, Class M4                                                       | CUSIP: 74969TAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5250000 | PA      | $4996984.65   | 0.58%             | 2031-11-25      | Variable      | 4.70%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC Seasoned Credit Risk Transfer Trust, Series 2019-1, Class MT                                         | CUSIP: 35563PJE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    788541 | PA      | $709689.85    | 0.08%             | 2058-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | FNMA, Other                                                                                                | CUSIP: 3140QCDT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33750 | PA      | $31145.85     | 0.00%             | 2049-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2011-94, Class SU                                                                             | CUSIP: 38377WJ96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     54564 | PA      | $3936.57      | 0.00%             | 2041-04-20      | Floating      | 2.31%                 | No            |                  2 | On Loan: No      |
| EFMT                                                                              | EFMT, Series 2025-RM1, Class A1A                                                                           | CUSIP: 267951AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2922546 | PA      | $2851889.14   | 0.33%             | 2055-05-25      | Variable      | 5.00%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2016-H13, Class IK                                                                            | CUSIP: 38376RVS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1687528 | PA      | $154943.79    | 0.02%             | 2066-06-20      | Variable      | 2.63%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                        | FHLMC Gold Pool, Other                                                                                     | CUSIP: 3133JLER6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    349327 | PA      | $331278.46    | 0.04%             | 2049-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                                           | GSR Mortgage Loan Trust, Series 2005-2F, Class 3A1                                                         | CUSIP: 36242DYH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     35916 | PA      | $21247.95     | 0.00%             | 2035-03-25      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| LSF11 Boson Investments Sarl Compartment 2                                        | LSF11 Boson Investments Sarl Compartment 2, Series 2021-NPLX, Class A1                                     | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-O            | CORP              | LU        |    681690 | PA      | $792306.44    | 0.09%             | 2060-11-25      | Floating      | 4.03%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC Seasoned Credit Risk Transfer Trust, Series 2017-3, Class HT                                         | CUSIP: 35563PBX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1145611 | PA      | $1021345.66   | 0.12%             | 2056-07-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| Chase Home Lending Mortgage Trust                                                 | Chase Home Lending Mortgage Trust, Series 2026-1, Class A2                                                 | CUSIP: 16161YAB2<br>LEI: 529900FU45ZZQULAKB21 | Long             | ABS-MBS          | CORP              | US        |   3912234 | PA      | $3906579.43   | 0.45%             | 2056-11-25      | Variable      | 5.50%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2018-H04                                                                                      | CUSIP: 38380VPT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    532650 | PA      | $23270.49     | 0.00%             | 2068-02-20      | Variable      | 1.95%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC, REMIC, Series 4259, Class IA                                                                        | CUSIP: 3137B53F8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19812 | PA      | $4166.95      | 0.00%             | 2041-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                                            | Velocity Commercial Capital Loan Trust, Series 2021-1, Class M3                                            | CUSIP: 92259TAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1497860 | PA      | $1151617.67   | 0.13%             | 2051-05-25      | Variable      | 2.57%                 | Yes           |                  2 | On Loan: No      |
| Bayview Financial Revolving Asset Trust                                           | Bayview Financial Revolving Asset Trust, Series 2004-B, Class A1                                           | CUSIP: 073250BE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7372336 | PA      | $5988238.82   | 0.69%             | 2039-05-28      | Floating      | 4.79%                 | Yes           |                  2 | On Loan: No      |
| Flagstar Mortgage Trust                                                           | Flagstar Mortgage Trust, Series 2020-1INV, Class A3                                                        | CUSIP: 33851YAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     95827 | PA      | $83067.21     | 0.01%             | 2050-03-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                              | FNMA, Other                                                                                                | CUSIP: 3140MFHA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1286278 | PA      | $1053852.57   | 0.12%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | UMBS, 30 Year                                                                                              | CUSIP: 3138YYTZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38866 | PA      | $37300.75     | 0.00%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2010-H15, Class WI                                                                            | CUSIP: 38375BEQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    233594 | PA      | $14406.26     | 0.00%             | 2060-05-20      | Variable      | 1.54%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2015-H05, Class BI                                                                            | CUSIP: 38375UUS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    559828 | PA      | $26587.32     | 0.00%             | 2065-02-20      | Variable      | 1.83%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC Gold Pool, Other                                                                                     | CUSIP: 31281BWC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    172606 | PA      | $162494.89    | 0.02%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                        | FHLMC Gold Pool, Other                                                                                     | CUSIP: 3133SKDE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4986103 | PA      | $4395401.69   | 0.51%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | FNMA, Other                                                                                                | CUSIP: 3140QAVE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5989 | PA      | $5549.37      | 0.00%             | 2049-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2012-H11, Class CI                                                                            | CUSIP: 38375BSJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     85351 | PA      | $12359.73     | 0.00%             | 2062-04-20      | Variable      | 3.12%                 | No            |                  2 | On Loan: No      |
| E-MAC Program BV                                                                  | E-MAC Program BV, Series 2007-1, Class C                                                                   | CUSIP: N/A<br>LEI: 724500SKQP7E7072AD15       | Long             | ABS-MBS          | CORP              | NL        |   1427858 | PA      | $1412226.96   | 0.16%             | 2046-07-25      | Floating      | 6.28%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                              | FNMA, Other                                                                                                | CUSIP: 31418DBR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10051 | PA      | $9313.63      | 0.00%             | 2049-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2010-H15, Class IF                                                                            | CUSIP: 38375BDP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        59 | PA      | $3.86         | 0.00%             | 2060-04-20      | Variable      | 1.43%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust                                                    | Bayview Commercial Asset Trust, Series 2006-3A, Class M2                                                   | CUSIP: 07324NAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    339522 | PA      | $325803.60    | 0.04%             | 2036-10-25      | Floating      | 4.33%                 | Yes           |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust                                                    | Bayview Commercial Asset Trust, Series 2006-3A, Class M3                                                   | CUSIP: 07324NAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    520642 | PA      | $497276.33    | 0.06%             | 2036-10-25      | Floating      | 4.35%                 | Yes           |                  2 | On Loan: No      |
| RiverView HECM Pass-Through Certificates                                          | RiverView HECM Pass-Through Certificates, Series 2007-4X, Class A                                          | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |   1315355 | PA      | $1176444.53   | 0.14%             | 2047-05-25      | Floating      | 4.06%                 | Yes           |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust                                                    | Bayview Commercial Asset Trust, Series 2007-3, Class M1                                                    | CUSIP: 07325YAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1064995 | PA      | $995608.00    | 0.12%             | 2037-07-25      | Floating      | 4.26%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC Seasoned Credit Risk Transfer Trust, Series 2019-3, Class M55D                                       | CUSIP: 35563PLQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    174719 | PA      | $166277.85    | 0.02%             | 2058-10-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2016-H07, Class FM                                                                            | CUSIP: 38376RRJ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       691 | PA      | $696.60       | 0.00%             | 2066-02-20      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | UMBS, 30 Year                                                                                              | CUSIP: 3138A8YQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18347 | PA      | $18639.96     | 0.00%             | 2041-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Brean Asset-Backed Securities Trust                                               | Brean Asset-Backed Securities Trust, Series 2023-SRM1, Class M2                                            | CUSIP: 10638RAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3037705 | PA      | $2874775.01   | 0.33%             | 2063-09-25      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2012-57, Class NI                                                                             | CUSIP: 38375CAA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4856 | PA      | $140.37       | 0.00%             | 2040-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Lehman ABS Manufactured Housing Contract Trust                                    | Lehman ABS Manufactured Housing Contract Trust, Series 2001-B, Class M1                                    | CUSIP: 52519SAL7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     31974 | PA      | $32186.02     | 0.00%             | 2040-04-15      | Variable      | 6.63%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2010-H27, Class JI                                                                            | CUSIP: 38375BJJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    610265 | PA      | $32539.98     | 0.00%             | 2060-11-20      | Variable      | 1.63%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                        | FHLMC Gold Pool, Other                                                                                     | CUSIP: 3133N3YF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    789498 | PA      | $625081.98    | 0.07%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC, REMIC, Series 5536, Class CZ                                                                        | CUSIP: 3137HL5A6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    376899 | PA      | $375512.02    | 0.04%             | 2054-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2025-180, Class ZE                                                                            | CUSIP: 38383BWC2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3558965 | PA      | $3540528.51   | 0.41%             | 2055-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Single Family, 30 Year                                                                            | CUSIP: 36179Y2R4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    940169 | PA      | $956475.83    | 0.11%             | 2054-07-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | FNMA, Other                                                                                                | CUSIP: 3140JVWS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     74547 | PA      | $69553.14     | 0.01%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                                                             | FMC GMSR Issuer Trust, Series 2021-GT1, Class B                                                            | CUSIP: 30259RAJ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $971121.90    | 0.11%             | 2026-07-25      | Variable      | 4.36%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                              | UMBS, 30 Year                                                                                              | CUSIP: 31418MJQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12051 | PA      | $12629.13     | 0.00%             | 2033-04-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| VelocitySBA Loan Trust                                                            | VelocitySBA Loan Trust, Series 2026-1, Class A                                                             | CUSIP: 922968AA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $4932940.50   | 0.57%             | 2051-01-20      | Floating      | 0.00%                 | Yes           |                  2 | On Loan: No      |
| CFMT LLC                                                                          | CFMT LLC, Series 2024-HB13, Class M4                                                                       | CUSIP: 12530VAE5<br>LEI: 984500D67D63D8645054 | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $2883753.30   | 0.33%             | 2034-05-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Other                                                                                             | CUSIP: 36179VHJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    147271 | PA      | $138160.50    | 0.02%             | 2050-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Adjustable Rate Mortgage Trust                                                    | Adjustable Rate Mortgage Trust, Series 2004-5, Class 5A1                                                   | CUSIP: 007036ES1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     44884 | PA      | $42228.65     | 0.00%             | 2035-04-25      | Variable      | 4.59%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Single Family, 30 Year                                                                            | CUSIP: 3618J8WW4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2792594 | PA      | $2844456.41   | 0.33%             | 2054-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Saxon Asset Securities Trust                                                      | Saxon Asset Securities Trust, Series 2002-3, Class M1                                                      | CUSIP: 805564MK4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    211072 | PA      | $195269.42    | 0.02%             | 2032-12-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Eurohome Mortgages plc                                                            | Eurohome Mortgages plc, Series 2007-1, Class A                                                             | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | IE        |    117013 | PA      | $128789.85    | 0.01%             | 2050-08-02      | Floating      | 2.23%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2017-H16, Class BI                                                                            | CUSIP: 38375UD80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    231191 | PA      | $10330.68     | 0.00%             | 2067-08-20      | Variable      | 2.33%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                                                    | Cascade Funding Mortgage Trust, Series 2024-RM5, Class M4A                                                 | CUSIP: 147275AE1<br>LEI: 984500AB3AED98FEEV98 | Long             | ABS-MBS          | CORP              | US        |   7412603 | PA      | $4784342.57   | 0.55%             | 2054-10-25      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Chase Home Lending Mortgage Trust                                                 | Chase Home Lending Mortgage Trust, Series 2024-4, Class A4                                                 | CUSIP: 16159NAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    893102 | PA      | $899877.46    | 0.10%             | 2055-03-25      | Variable      | 6.00%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2017-H15, Class KI                                                                            | CUSIP: 38376R5X0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    862909 | PA      | $43689.16     | 0.01%             | 2067-07-20      | Variable      | 2.27%                 | No            |                  2 | On Loan: No      |
| EFMT                                                                              | EFMT, Series 2026-RM1, Class A1                                                                            | CUSIP: 26846HAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3450000 | PA      | $3298042.68   | 0.38%             | 2056-01-25      | Variable      | 4.75%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Other                                                                                             | CUSIP: 36179USM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16273 | PA      | $16139.45     | 0.00%             | 2049-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MERIT Securities Corp.                                                            | MERIT Securities Corp., Series 11PA, Class B3                                                              | CUSIP: 589962DH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    210305 | PA      | $201944.58    | 0.02%             | 2032-09-28      | Floating      | 7.21%                 | Yes           |                  2 | On Loan: No      |
| Nykredit Realkredit A/S                                                           | Nykredit Realkredit A/S, Series 01E                                                                        | CUSIP: N/A<br>LEI: LIU16F6VZJSD6UKHD557       | Long             | DBT              | CORP              | DK        |  17542902 | PA      | $2705550.07   | 0.31%             | 2046-10-01      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Other                                                                                             | CUSIP: 36179WRT7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    483125 | PA      | $451878.48    | 0.05%             | 2051-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Single Family, 30 Year                                                                            | CUSIP: 21H040640<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5400000 | PA      | $5053851.36   | 0.58%             | 2056-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2013-H11, Class PI                                                                            | CUSIP: 38375BZ96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    112391 | PA      | $5767.13      | 0.00%             | 2063-04-20      | Variable      | 1.26%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | FNMA, Other                                                                                                | CUSIP: 3140K8XM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    109563 | PA      | $93959.72     | 0.01%             | 2050-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CWHEQ Revolving Home Equity Loan Trust                                            | CWHEQ Revolving Home Equity Loan Trust, Series 2005-F, Class 2A                                            | CUSIP: 126685AK2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4288849 | PA      | $4190350.32   | 0.48%             | 2035-12-15      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| Seasoned Credit Risk Transfer Trust                                               | Seasoned Credit Risk Transfer Trust, Series 2025-2, Class MTU                                              | CUSIP: 35563VAY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2895611 | PA      | $2482021.11   | 0.29%             | 2065-06-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2013-H04, Class BI                                                                            | CUSIP: 38375BK92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     27933 | PA      | $4057.04      | 0.00%             | 2063-02-20      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | UMBS, 30 Year                                                                                              | CUSIP: 31416BXR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3357 | PA      | $3456.31      | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GSAA Trust                                                                        | GSAA Trust, Series 2004-CW1, Class 2A1                                                                     | CUSIP: 36228FT55<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    132869 | PA      | $133021.26    | 0.02%             | 2034-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC Seasoned Credit Risk Transfer Trust, Series 2019-3, Class HT                                         | CUSIP: 35563PLB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    113303 | PA      | $99258.27     | 0.01%             | 2058-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Harvest SBA Loan Trust                                                            | Harvest SBA Loan Trust, Series 2024-1, Class A                                                             | CUSIP: 41756NAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1873405 | PA      | $1894780.85   | 0.22%             | 2051-12-25      | Floating      | 6.00%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                              | UMBS, 30 Year                                                                                              | CUSIP: 3138A6JT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12724 | PA      | $12927.19     | 0.00%             | 2041-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC Whole Loan Securities Trust, Series 2015-SC01, Class 1A                                              | CUSIP: 3137G1AA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     31935 | PA      | $29233.17     | 0.00%             | 2045-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC Gold Pool, 30 Year                                                                                   | CUSIP: 312944S69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5943 | PA      | $6043.70      | 0.00%             | 2040-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | FNMA, Other                                                                                                | CUSIP: 3140MFQM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2140867 | PA      | $1754020.73   | 0.20%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| loanDepot GMSR Trust                                                              | loanDepot FAMSR Master Trust, Series 2025-FT1, Class A                                                     | CUSIP: 53949HAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7000000 | PA      | $7003950.03   | 0.81%             | 2030-12-19      | Floating      | 6.43%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC Seasoned Credit Risk Transfer Trust, Series 2019-2, Class M55D                                       | CUSIP: 35563PKL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    655194 | PA      | $619941.20    | 0.07%             | 2058-08-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Champs Trust                                                                      | Champs Trust, Series 2024-2, Class A                                                                       | CUSIP: 15878BAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1581225 | PA      | $1624281.80   | 0.19%             | 2059-11-25      | Variable      | 8.89%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Other                                                                                             | CUSIP: 36179UQV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     28115 | PA      | $27884.46     | 0.00%             | 2049-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | FNMA, Other                                                                                                | CUSIP: 31418EDW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1577581 | PA      | $1372444.91   | 0.16%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Other                                                                                             | CUSIP: 36180ABW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    581482 | PA      | $587673.35    | 0.07%             | 2054-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | UMBS, 30 Year                                                                                              | CUSIP: 31371RFQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7790 | PA      | $8110.33      | 0.00%             | 2032-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | FNMA, 30 Year                                                                                              | CUSIP: 3140Q8HY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    199293 | PA      | $185007.67    | 0.02%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| DataBank Issuer                                                                   | DataBank Issuer, Series 2026-1A, Class A2                                                                  | CUSIP: 23802WAQ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $3983583.20   | 0.46%             | 2056-02-25      | Fixed         | 5.81%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Other                                                                                             | CUSIP: 36179UUC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     66841 | PA      | $66294.19     | 0.01%             | 2049-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ACM Auto Trust                                                                    | ACM Auto Trust, Series 2023-2A, Class B                                                                    | CUSIP: 00161AAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2095584 | PA      | $2112263.67   | 0.24%             | 2030-06-20      | Fixed         | 9.85%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                                                      | GS Mortgage Securities Trust, Series 2015-GC32, Class D                                                    | CUSIP: 36250PAM7<br>LEI: 54930066YOFVQE068N73 | Long             | ABS-MBS          | CORP              | US        |      7297 | PA      | $7154.95      | 0.00%             | 2048-07-10      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                                   | CHL Mortgage Pass-Through Trust, Series 2004-19, Class A14                                                 | CUSIP: 12669F4G5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    160162 | PA      | $159768.09    | 0.02%             | 2034-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Harvest Commercial Capital Loan Trust                                             | Harvest Commercial Capital Loan Trust, Series 2020-1, Class M5                                             | CUSIP: 41754FAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1554000 | PA      | $1434633.84   | 0.17%             | 2052-04-25      | Variable      | 5.96%                 | Yes           |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust                                                    | Bayview Commercial Asset Trust, Series 2005-3A, Class M1                                                   | CUSIP: 07324SCD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    336880 | PA      | $332534.34    | 0.04%             | 2035-11-25      | Floating      | 4.45%                 | Yes           |                  2 | On Loan: No      |
| STAR Trust                                                                        | STAR Trust, Series 2022-SFR3, Class F                                                                      | CUSIP: 78474PAN7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1900443 | PA      | $1907679.14   | 0.22%             | 2039-05-17      | Floating      | 8.18%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                              | FNMA, Other                                                                                                | CUSIP: 31418DCK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44057 | PA      | $40823.64     | 0.00%             | 2049-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Single Family, 30 Year                                                                            | CUSIP: 3618M72L9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1383993 | PA      | $1404074.04   | 0.16%             | 2052-10-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | FNMA, Other                                                                                                | CUSIP: 31418DD90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     80361 | PA      | $77434.09     | 0.01%             | 2049-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Oakwood Mortgage Investors, Inc.                                                  | Oakwood Mortgage Investors, Inc., Series 1999-D, Class A1                                                  | CUSIP: 67087TAQ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     34449 | PA      | $34930.34     | 0.00%             | 2029-11-15      | Variable      | 7.84%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | UMBS, 30 Year                                                                                              | CUSIP: 31371KDL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       107 | PA      | $110.26       | 0.00%             | 2031-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CFMT LLC                                                                          | CFMT LLC, Series 2024-NR1, Class A1                                                                        | CUSIP: 12531DAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2666536 | PA      | $2671644.56   | 0.31%             | 2029-11-25      | Variable      | 6.41%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                              | FNMA, Other                                                                                                | CUSIP: 3140KUWL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    247156 | PA      | $206922.39    | 0.02%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| NALP Business Loan Trust                                                          | NALP Business Loan Trust, Series 2026-1, Class A                                                           | CUSIP: 62986BAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    866677 | PA      | $865354.45    | 0.10%             | 2051-06-26      | Fixed         | 5.72%                 | Yes           |                  2 | On Loan: No      |
| 2023-MIC Trust                                                                    | 2023-MIC Trust (The), Series 2023-MIC, Class B                                                             | CUSIP: 87256GAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1930000 | PA      | $2066434.21   | 0.24%             | 2038-12-05      | Variable      | 9.53%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2012-102, Class SA                                                                            | CUSIP: 38375GZ79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    160872 | PA      | $16947.90     | 0.00%             | 2042-08-20      | Floating      | 2.31%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | UMBS, 30 Year                                                                                              | CUSIP: 31390FAS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1020 | PA      | $1062.87      | 0.00%             | 2032-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2016-H20, Class CI                                                                            | CUSIP: 38376RYN0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4081782 | PA      | $188805.43    | 0.02%             | 2066-08-20      | Variable      | 2.46%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitization Trust                                            | Residential Asset Securitization Trust, Series 2007-A2, Class 2A4                                          | CUSIP: 761120AN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13203545 | PA      | $253296.80    | 0.03%             | 2037-04-25      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| PRPM Fundido DAC                                                                  | PRPM Fundido DAC, Series 2025-2A, Class E                                                                  | CUSIP: N/A<br>LEI: 894500XHX48NOYVH5669       | Long             | ABS-MBS          | CORP              | IE        |   3319000 | PA      | $3526958.94   | 0.41%             | 2075-01-29      | Floating      | 5.04%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Other                                                                                             | CUSIP: 36179VHG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    229931 | PA      | $203031.73    | 0.02%             | 2050-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC Seasoned Credit Risk Transfer Trust, Series 2018-1, Class MT                                         | CUSIP: 35563PDY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    451194 | PA      | $392355.07    | 0.05%             | 2057-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ABFS Mortgage Loan Trust                                                          | ABFS Mortgage Loan Trust, Class X                                                                          | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |   3324696 | PA      | $400000.00    | 0.05%             | 2034-04-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Other                                                                                             | CUSIP: 36179UNZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     21157 | PA      | $20465.23     | 0.00%             | 2049-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | FNMA, Other                                                                                                | CUSIP: 31418D7B2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4824431 | PA      | $3819723.25   | 0.44%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC Seasoned Credit Risk Transfer Trust, Series 2018-1, Class HT                                         | CUSIP: 35563PDT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1307471 | PA      | $1143823.90   | 0.13%             | 2057-05-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $364.48       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Nykredit Realkredit A/S                                                           | Nykredit Realkredit A/S, Series 01e                                                                        | CUSIP: N/A<br>LEI: LIU16F6VZJSD6UKHD557       | Long             | DBT              | CORP              | DK        |  38827840 | PA      | $5871440.60   | 0.68%             | 2056-10-01      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Alternative Loan Trust                                                            | Alternative Loan Trust, Series 2005-79CB, Class A3                                                         | CUSIP: 12668BAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     29329 | PA      | $15660.32     | 0.00%             | 2036-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Nykredit Realkredit A/S                                                           | Nykredit Realkredit A/S, Series 01E*                                                                       | CUSIP: N/A<br>LEI: LIU16F6VZJSD6UKHD557       | Long             | DBT              | CORP              | DK        |  14995035 | PA      | $2219558.34   | 0.26%             | 2056-10-01      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Oakwood Mortgage Investors, Inc.                                                  | Oakwood Mortgage Investors, Inc., Series 2000-C, Class A1                                                  | CUSIP: 67087TBN0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      5655 | PA      | $5660.43      | 0.00%             | 2030-04-15      | Fixed         | 7.72%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2014-H07, Class BI                                                                            | CUSIP: 38375UHX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2824039 | PA      | $71480.94     | 0.01%             | 2064-05-20      | Variable      | 1.58%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-04-30

**Name of Applicant:** Morgan Stanley ETF Trust

**Signature:** James F. Kirchner

**Name of Signer:** James F. Kirchner

**Title:** Principal Financial Officer