# EDGAR Filing Document

**Accession Number:** 0000810893
**File Stem:** 0001099263-25-004413
**Filing Date:** 2025-11
**Character Count:** 3134437
**Document Hash:** e6673492b6e96e0f98b050bdb72966cf
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001099263-25-004413.hdr.sgml**: 20251126

**ACCESSION NUMBER**: 0001099263-25-004413

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250930

**FILED AS OF DATE**: 20251126

**DATE AS OF CHANGE**: 20251126

**PERIOD START**: 20260331

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** PIMCO FUNDS
- **CENTRAL INDEX KEY:** 0000810893

**ORGANIZATION NAME:**
- **EIN:** 952632339
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 0331

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-05028
- **FILM NUMBER:** 251528231

**BUSINESS ADDRESS:**
- **STREET 1:** 650 NEWPORT CENTER DRIVE
- **CITY:** NEWPORT BEACH
- **STATE:** CA
- **ZIP:** 92660
- **BUSINESS PHONE:** 949-720-6000

**MAIL ADDRESS:**
- **STREET 1:** 650 NEWPORT CENTER DRIVE
- **CITY:** NEWPORT BEACH
- **STATE:** CA
- **ZIP:** 92660

## Series and Classes Contracts Data

### PIMCO Total Return Fund (Series ID: S000009707)

| Class ID   | Class Name     | Ticker Symbol   |
|:---|:---|:---|
| C000026643 | Institutional  | PTTRX           |
| C000026644 | Administrative | PTRAX           |
| C000026645 | A              | PTTAX           |
| C000026647 | C              | PTTCX           |
| C000026649 | R              | PTRRX           |
| C000064155 | I-2            | PTTPX           |
| C000200452 | I-3            | PTTNX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** PIMCO Funds

- **b. Investment Company Act file number:** 811-05028

- **c. CIK number of Registrant:** 0000810893

- **d. LEI of Registrant:** 5493003B5Y5GR0Y25Y76

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

  - **Street Address 1:** 650 Newport Center Drive

  - **City:** Newport Beach

  - **State:** CA

  - **Foreign country:** US

  - **Zip / Postal Code:** 92660

  - **Telephone number:** (888) 877-4626

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

- **a. Name of Series:** PIMCO Total Return Fund

- **b. EDGAR series identifier (if any):** S000009707

- **c. LEI of Series:** GCOBPT5OHTVIN37L8N43

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

- **a. Date of fiscal year-end:** 2026-03-31

- **b. Date as of which information is reported:** 2025-09-30

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $76075326693.86

**Total Liabilities:** $30690343603.27

**Net Assets:** $45384983090.59

**Delayed Delivery Securities:** $823348786.82

**Cash Not Reported:** $179044693.09

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 2319560.939600 | **1-Year:** 2918136.269400 | **5-Year:** 10703451.972300 | **10-Year:** 3380867.397800 | **30-Year:** -259011.574800

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

- **3-Month:** 234312.263800 | **1-Year:** 529357.564900 | **5-Year:** 1088986.688500 | **10-Year:** 193190.832100 | **30-Year:** 15662.775700

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000026644 | -0.20%               | 1.53%                | 1.26%                |
| Class ID C000026645 | -0.21%               | 1.52%                | 1.25%                |
| Class ID C000026647 | -0.27%               | 1.46%                | 1.19%                |
| Class ID C000064155 | -0.19%               | 1.54%                | 1.27%                |
| Class ID C000200452 | -0.20%               | 1.54%                | 1.26%                |
| Class ID C000026649 | -0.23%               | 1.50%                | 1.23%                |
| Class ID C000026643 | -0.18%               | 1.55%                | 1.28%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-32545858.48            | $-440721580.55                             |
| Month 2  | $98258823.48             | $408190935.54                              |
| Month 3  | $112333401.19            | $330283307.15                              |

**Designated Index Information**

- **Index Name:** Bloomberg US Aggregate Total Return Unhedged USD Index

- **Index Identifier:** LBUSTRUU

### 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 PASS THRU POOLS                                                             | FNMA POOL DA5932 FN 01/54 FIXED 6.5                         | CUSIP: 3140A6SW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1829612 | PA      | $1901308.64    | 0.00%             | 2054-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                            | WELLS FARGO + COMPANY SR UNSECURED 01/29 4.15               | CUSIP: 95000U2D4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     2450000 | PA      | $2449707.35    | 0.01%             | 2029-01-24      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| NORTHWOODS CAPITAL 25 LTD                                                        | NORTHWOODS CAPITAL LTD WOODS 2021 25A AR 144A               | CUSIP: 668468AL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    19500000 | PA      | $19500000.00   | 0.04%             | 2034-07-20      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| JUBILEE CLO 2016-XVII BV 16-17A                                                  | JUBILEE CDO BV JUBIL 2016 17A A2RR 144A                     | CUSIP: ACI1W2W24<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     7336489 | PA      | $8619079.56    | 0.02%             | 2031-04-15      | Floating      | 2.68%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3486 FN 10/28 FIXED 3.5                         | CUSIP: 31418C2U7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5867 | PA      | $5823.07       | 0.00%             | 2028-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA1174 FN 02/48 FIXED 3                           | CUSIP: 3140Q8JU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       14051 | PA      | $12641.66      | 0.00%             | 2048-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZT1345 FR 11/33 FIXED 3.5                 | CUSIP: 3132ADP69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      884553 | PA      | $872763.88     | 0.00%             | 2033-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 895272 FN 09/36 FIXED 6                           | CUSIP: 31410RT58<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        8622 | PA      | $8985.03       | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AZ0294 FN 08/45 FIXED 4                           | CUSIP: 3138YRKG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5286 | PA      | $5130.99       | 0.00%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 695403 FN 06/33 FIXED 5                           | CUSIP: 31400RRY9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      195413 | PA      | $198283.95     | 0.00%             | 2033-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20251015                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $409936.93     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080736 G2 09/33 FLOATING VAR                   | CUSIP: 36225CZA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       29094 | PA      | $29532.99      | 0.00%             | 2033-09-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 871309 FN 05/36 FIXED 6                           | CUSIP: 31409HAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      109506 | PA      | $115101.33     | 0.00%             | 2036-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 804137 FN 11/34 FIXED 6                           | CUSIP: 31406ALS9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        6768 | PA      | $6987.00       | 0.00%             | 2034-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q06448 FG 02/42 FIXED 4                   | CUSIP: 3132GRP96<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      106560 | PA      | $104152.37     | 0.00%             | 2042-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BN6579 FN 04/34 FIXED 3.5                         | CUSIP: 3140JPJZ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      277721 | PA      | $272510.50     | 0.00%             | 2034-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 905759 FN 12/36 FLOATING VAR                      | CUSIP: 31411EJC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1714 | PA      | $1754.35       | 0.00%             | 2036-12-01      | Floating      | 6.58%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 840123 FN 10/35 FIXED 6                           | CUSIP: 31407TLC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       11195 | PA      | $11541.53      | 0.00%             | 2035-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 845052 FN 11/35 FLOATING VAR                      | CUSIP: 31407YZR3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       18346 | PA      | $18656.09      | 0.00%             | 2035-11-01      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 893451 FN 09/36 FIXED 6                           | CUSIP: 31410PTG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       19755 | PA      | $20765.28      | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                                               | ALLY FINANCIAL INC SR UNSECURED 06/27 4.75                  | CUSIP: 02005NBQ2<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |     2372000 | PA      | $2385423.34    | 0.01%             | 2027-06-09      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM3704 FN 07/34 FIXED VAR                         | CUSIP: 3140X7DJ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      156211 | PA      | $154995.54     | 0.00%             | 2034-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AE9697 FN 11/40 FIXED 4                           | CUSIP: 31419LX32<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       52246 | PA      | $51418.43      | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| POPULAR ABS MTGE PASS THRU TRUST 2006-E                                          | POPULAR ABS MORTGAGE PASS THRO POPLR 2006 E A3              | CUSIP: 73316TAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1948009 | PA      | $1890557.07    | 0.00%             | 2037-01-25      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2005-A8                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2005 A8 1A1                  | CUSIP: 466247YH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      647631 | PA      | $505572.18     | 0.00%             | 2035-11-25      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH ALTERNATIVE NT 2007-A2                                             | MERRILL LYNCH ALTERNATIVE NOTE MANA 2007 A2 A3C             | CUSIP: 59024FAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1820364 | PA      | $425508.19     | 0.00%             | 2037-03-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| ING GROEP NV                                                                     | ING GROEP NV SR UNSECURED 03/28 VAR                         | CUSIP: 456837BB8<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |     3600000 | PA      | $3589890.44    | 0.01%             | 2028-03-28      | Floating      | 4.02%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 775852 FN 03/44 FLOATING VAR                      | CUSIP: 31404Q5M7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       91432 | PA      | $92553.65      | 0.00%             | 2044-03-01      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2106                                                                 | FREDDIE MAC FHR 2106 ZB                                     | CUSIP: 3133THDB0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       21676 | PA      | $22004.99      | 0.00%             | 2028-12-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 910689 FN 02/37 FIXED 6                           | CUSIP: 31411KXS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2413 | PA      | $2464.90       | 0.00%             | 2037-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $190353.25     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-OPX1                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 OPX1 A5A           | CUSIP: 17311FAH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      759845 | PA      | $321274.63     | 0.00%             | 2037-01-25      | Variable      | 7.26%                 | No            |                  2 | On Loan: No      |
| LAVENDER TRUST SERIES 2010-RR2A                                                  | LAVENDER TRUST LTS 2010 RR2A A4 144A                        | CUSIP: 519440AD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3618762 | PA      | $1626532.31    | 0.00%             | 2036-10-26      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT MXN SOLD USD 20251217                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $1509.75       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QG6788 FR 07/53 FIXED 5                   | CUSIP: 3133C7RH2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       78078 | PA      | $77706.15      | 0.00%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THRU SEC T-57                                              | FHLMC STRUCTURED PASS THROUGH FSPC T 57 1A1                 | CUSIP: 31394JD87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2392 | PA      | $2489.73       | 0.00%             | 2043-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2004-AC6                              | BEAR STEARNS ASSET BACKED SECU BSABS 2004 AC6 A2            | CUSIP: 073879LP1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      566028 | PA      | $484546.07     | 0.00%             | 2034-11-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 1N1582 FH 05/37 FLOATING VAR              | CUSIP: 3128QHXK1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       22471 | PA      | $22606.31      | 0.00%             | 2037-05-01      | Floating      | 5.98%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2008-1                                                                | FANNIE MAE FNR 2008 1 AI                                    | CUSIP: 31396YCP5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      148650 | PA      | $11162.76      | 0.00%             | 2037-05-25      | Floating      | 1.78%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QI4076 FR 04/54 FIXED 5.5                 | CUSIP: 3133WAQ50<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    33899205 | PA      | $34281393.16   | 0.08%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BM2003 FN 10/47 FIXED VAR                         | CUSIP: 3140J6GM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4075995 | PA      | $3920980.36    | 0.01%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                                         | LLOYDS BANKING GROUP PLC SR UNSECURED 11/28 VAR             | CUSIP: 539439BB4<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    25400000 | PA      | $25544783.05   | 0.06%             | 2028-11-26      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ5705 FN 03/33 FIXED 3                           | CUSIP: 3140H7KT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       79973 | PA      | $77321.23      | 0.00%             | 2033-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2020-CNP                                          | MORGAN STANLEY CAPITAL I TRUST MSC 2020 CNP A 144A          | CUSIP: 61770YAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    17000000 | PA      | $15027377.80   | 0.03%             | 2042-04-05      | Variable      | 2.51%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 1G0113 FH 03/35 FLOATING VAR              | CUSIP: 3128NCDS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      120079 | PA      | $121375.27     | 0.00%             | 2035-03-01      | Floating      | 6.35%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 828064 FN 06/35 FIXED 6                           | CUSIP: 31407D5Z4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3344 | PA      | $3520.99       | 0.00%             | 2035-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD INR BOUGHT USD 20251020                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $70895.69      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 975105 FN 06/38 FIXED 5.5                         | CUSIP: 31414SYA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3630 | PA      | $3753.65       | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 002097 G2 10/25 FIXED 7                        | CUSIP: 36202CKJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |           7 | PA      | $6.78          | 0.00%             | 2025-10-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QA2955 FR 09/49 FIXED 3                   | CUSIP: 31339SH81<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2506175 | PA      | $2208204.34    | 0.00%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.72186 03/01/24-7Y* LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-1190717.97   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-3                                            | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 3 1A1             | CUSIP: 68402BAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7907350 | PA      | $5381616.23    | 0.01%             | 2037-04-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2023-5A                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2023 5A C 144A          | CUSIP: 21056EAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     6426436 | PA      | $6684995.62    | 0.01%             | 2053-11-25      | Fixed         | 7.40%                 | No            |                  2 | On Loan: No      |
| WHLN - 1330 BROADWAY                                                             | KRE 1330 BROADWAY OWNER 2018 TERM LOAN                      | CUSIP: 933UGCII5<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   109167512 | PA      | $58942246.88   | 0.13%             | 2025-11-10      | Floating      | 6.01%                 | No            |                  3 | On Loan: No      |
| FREDDIE MAC 3360                                                                 | FREDDIE MAC FHR 3360 SA                                     | CUSIP: 31397KE56<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      187336 | PA      | $256447.34     | 0.00%             | 2037-08-15      | Floating      | 11.72%                | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AT4355 FN 07/43 FIXED 3                           | CUSIP: 3138WRZV5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        8487 | PA      | $7772.56       | 0.00%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 475496 GN 07/28 FIXED 6.5                         | CUSIP: 36209MGD0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2696 | PA      | $2779.24       | 0.00%             | 2028-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| RBSGC MTGE PASS THRU CERT 2005-A                                                 | RBSGC MORTGAGE PASS THROUGH CE RBSGC 2005 A 2A3             | CUSIP: 74927UAY4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5526142 | PA      | $4676290.79    | 0.01%             | 2035-04-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | OIS CAD CAONREPO/2.9000 03/31/25-8Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |           1 | NC      | $-10223.61     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL AF0381 GN 07/43 FIXED 2.5                         | CUSIP: 36181FM65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      118683 | PA      | $103862.34     | 0.00%             | 2043-07-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $34255.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BV7528 FN 05/52 FIXED 3                           | CUSIP: 3140MMLJ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    48235890 | PA      | $42528402.73   | 0.09%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-10                                                 | BEAR STEARNS ALT A TRUST BALTA 2005 10 24A1                 | CUSIP: 07386HZJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2012711 | PA      | $1919952.27    | 0.00%             | 2036-01-25      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 830188 FN 06/35 FIXED 6                           | CUSIP: 31407GJ90<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       17274 | PA      | $18001.24      | 0.00%             | 2035-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QJ0163 FR 07/54 FIXED 5.5                 | CUSIP: 3133CQFC4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1397023 | PA      | $1410903.77    | 0.00%             | 2054-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-B                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2006 B 3A1              | CUSIP: 058928AF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       74577 | PA      | $71002.66      | 0.00%             | 2036-03-20      | Floating      | 2.37%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2006-B                                                   | FREMONT HOME LOAN TRUST FHLT 2006 B 2A3                     | CUSIP: 35729QAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6843680 | PA      | $2136902.06    | 0.00%             | 2036-08-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H18                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H18 FA              | CUSIP: 38376RXY7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1277309 | PA      | $1279981.29    | 0.00%             | 2066-08-20      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB2662 FN 01/52 FIXED 3                           | CUSIP: 3140QM5Y6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       23469 | PA      | $20813.07      | 0.00%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2007-35                                                        | FANNIE MAE FNR 2007 35 PF                                   | CUSIP: 31396VMF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      245116 | PA      | $242155.74     | 0.00%             | 2037-04-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| CHASE HOME LENDING MORTGAGE TRUST 2023-RPL2                                      | CHASE MORTGAGE FINANCE CORPORA CHASE 2023 RPL2 A1 144A      | CUSIP: 16159RAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    12305031 | PA      | $11188114.01   | 0.02%             | 2063-03-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20251105                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $134907.82     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 900507 FN 09/36 FIXED 6                           | CUSIP: 31410XNY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3722 | PA      | $3850.71       | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 13.3537 05/12/25-01/02/29 CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |           1 | NC      | $10100.14      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H20                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H20 FG              | CUSIP: 38383KDF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    15858778 | PA      | $16013984.83   | 0.04%             | 2073-08-20      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE COMPANY OF COLORADO                                               | PUBLIC SERVICE COLORADO 1ST MORTGAGE 01/31 1.9              | CUSIP: 744448CT6<br>LEI: 5BANEF6PGSEK0SNMQF44 | Long             | DBT              | CORP              | US        |     1900000 | PA      | $1676528.31    | 0.00%             | 2031-01-15      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| FIELDSTONE MORTGAGE INVESTMENT TRUST SERIES 2006-3                               | FIELDSTONE MORTGAGE INVESTMENT FMIC 2006 3 2A3              | CUSIP: 316599AD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7514896 | PA      | $4887400.25    | 0.01%             | 2036-11-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.65471 04/07/25-30Y* LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $1013098.93    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G30363 FG 10/27 FIXED 6                   | CUSIP: 3128CUML7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2145 | PA      | $2193.44       | 0.00%             | 2027-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 1J1317 FH 04/36 FLOATING VAR              | CUSIP: 3128NHPA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1872 | PA      | $1915.86       | 0.00%             | 2036-04-01      | Floating      | 6.70%                 | No            |                  2 | On Loan: No      |
| NTT FINANCE CORPORATION                                                          | NTT FINANCE CORP SR UNSECURED 144A 07/27 4.567              | CUSIP: 62954WAP0<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |     3600000 | PA      | $3626467.92    | 0.01%             | 2027-07-16      | Fixed         | 4.57%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA6660 G2 05/50 FIXED 5                        | CUSIP: 36179VMH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      240491 | PA      | $245074.69     | 0.00%             | 2050-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2009-RR14                                                         | BCAP LLC TRUST BCAP 2009 RR14 2A2 144A                      | CUSIP: 05532LAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      319866 | PA      | $285306.50     | 0.00%             | 2036-07-26      | Floating      | 3.83%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES 2019-1 CLASS A PASS THROUGH TRUST                              | AMER AIRLINE 19 1A PTT PASS THRU CE 08/33 3.5               | CUSIP: 02378MAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     3683230 | PA      | $3375423.64    | 0.01%             | 2033-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20251217                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $19871.41      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD6461 FN 09/46 FIXED 4                           | CUSIP: 3140FEFB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      271883 | PA      | $261657.81     | 0.00%             | 2046-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QG3596 FR 05/53 FIXED 5.5                 | CUSIP: 3133C37H3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2390541 | PA      | $2417243.53    | 0.01%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8464 FR 09/54 FIXED 6.5                 | CUSIP: 3132DWMM2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    33704651 | PA      | $34813553.77   | 0.08%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3411                                                                 | FREDDIE MAC FHR 3411 SN                                     | CUSIP: 31397RFJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       70803 | PA      | $5037.53       | 0.00%             | 2038-02-15      | Floating      | 1.76%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CAD BOUGHT USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |           1 | NC      | $489461.39     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MASTR REPERFORMING LOAN TR 2006-1                                                | MASTR REPERFORMING LOAN TRUST MARP 2006 1 1A1F 144A         | CUSIP: 57643QBL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1816979 | PA      | $861213.39     | 0.00%             | 2035-07-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL C91261 FG 08/29 FIXED 4.5                 | CUSIP: 3128P7MJ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5976 | PA      | $5999.23       | 0.00%             | 2029-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / GLP FINANCING II INC                                            | GLP CAPITAL LP / FIN II COMPANY GUAR 01/32 3.25             | CUSIP: 361841AR0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      400000 | PA      | $360196.76     | 0.00%             | 2032-01-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2009-111                                                              | FANNIE MAE FNR 2009 111 FC                                  | CUSIP: 31398GQS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3442 | PA      | $3446.86       | 0.00%             | 2038-03-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVS 2006-HE6                                             | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 HE6 A2B            | CUSIP: 59023XAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     9984640 | PA      | $3153662.58    | 0.01%             | 2037-11-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DA3831 FN 11/53 FIXED 5.5                         | CUSIP: 3140A4HH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      431378 | PA      | $437794.08     | 0.00%             | 2053-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080212 G2 07/28 FLOATING VAR                   | CUSIP: 36225CGW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       19076 | PA      | $19129.15      | 0.00%             | 2028-07-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317UA9TA9 PIMCO SWAPTION 2.85 PUT EUR 20251002              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -64500000 | NC      | $-60.58        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM1051 FN 05/49 FIXED VAR                         | CUSIP: 3140X4EZ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        9484 | PA      | $9355.45       | 0.00%             | 2049-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVS 2005-A5                                              | MERRILL LYNCH MORTGAGE INVESTO MLMI 2005 A5 A4              | CUSIP: 59020UYP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      482735 | PA      | $465467.14     | 0.00%             | 2035-06-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| MUNICIPAL ELECTRIC AUTHORITY OF GEORGIA                                          | MUNI ELEC AUTH OF GEORGIA MELPWR 04/57 FIXED 6.655          | CUSIP: 626207YM0<br>LEI: JA0WNILDDF2KUPS83B16 | Long             | DBT              | MUN               | US        |    48220000 | PA      | $52526904.32   | 0.12%             | 2057-04-01      | Fixed         | 6.66%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8299 FR 02/53 FIXED 5                   | CUSIP: 3132DWGG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1169802 | PA      | $1166239.13    | 0.00%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| HOME EQUITY PASS-THRU CERTS 2002-1                                               | HOME EQUITY ASSET TRUST HEAT 2002 1 A4                      | CUSIP: 22541NAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      154214 | PA      | $144056.58     | 0.00%             | 2032-11-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AV9272 FN 02/29 FIXED 3.5                         | CUSIP: 3138XMJS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       98416 | PA      | $97299.32      | 0.00%             | 2029-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2006-5                                                    | GSAA HOME EQUITY TRUST GSAA 2006 5 2A1                      | CUSIP: 362334GR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       37473 | PA      | $11986.51      | 0.00%             | 2036-03-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AU2496 FN 07/43 FIXED 3                           | CUSIP: 3138X1X27<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      147820 | PA      | $135972.52     | 0.00%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 002910 G2 04/30 FIXED 8.5                      | CUSIP: 36202DGT2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          51 | PA      | $52.17         | 0.00%             | 2030-04-20      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AX7465 FN 11/29 FIXED 3                           | CUSIP: 3138Y9JK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       48675 | PA      | $47453.34      | 0.00%             | 2029-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080331 G2 10/29 FLOATING VAR                   | CUSIP: 36225CLM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3656 | PA      | $3668.36       | 0.00%             | 2029-10-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I INC 2022-L8                                             | MORGAN STANLEY CAPITAL I TRUST MSC 2022 L8 A5               | CUSIP: 61774LBF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    45800000 | PA      | $43027428.30   | 0.09%             | 2055-04-15      | Variable      | 3.92%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2061                                                                 | FREDDIE MAC FHR 2061 Z                                      | CUSIP: 3133TEJX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      155523 | PA      | $158242.75     | 0.00%             | 2028-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 880477 FN 05/36 FIXED 6                           | CUSIP: 31409WFS5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        9275 | PA      | $9669.62       | 0.00%             | 2036-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ALAMO RE LTD                                                                     | ALAMO RE LTD UNSECURED 144A 06/26 VAR                       | CUSIP: 011395AQ3<br>LEI: 5493003E22VRD25G0S03 | Long             | DBT              | CORP              | BM        |     8000000 | PA      | $8420000.00    | 0.02%             | 2026-06-08      | Floating      | 15.84%                | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2007-AR2                                            | STRUCTURED ASSET MORTGAGE INVE SAMI 2007 AR2 2A1            | CUSIP: 86363DAH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      846671 | PA      | $322346.30     | 0.00%             | 2037-03-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD AUD BOUGHT USD 20251104                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |           1 | NC      | $-685387.79    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8452 FR 08/54 FIXED 5                   | CUSIP: 3132DWL92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       65180 | PA      | $64709.91      | 0.00%             | 2054-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ORACLE CORPORATION                                                               | ORACLE CORP SR UNSECURED 04/27 2.8                          | CUSIP: 68389XBU8<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |      300000 | PA      | $294250.88     | 0.00%             | 2027-04-01      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZK3619 FR 10/26 FIXED 3                   | CUSIP: 3131X7AU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      198330 | PA      | $196798.63     | 0.00%             | 2026-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-65                                                               | FANNIE MAE FNR 2007 65 KF                                   | CUSIP: 31396WLX2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      148228 | PA      | $146884.54     | 0.00%             | 2037-07-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD IDR BOUGHT USD 20251015                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-14108.99     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES Q029                | FHLMC MULTIFAMILY STRUCTURED P FHMS Q029 A                  | CUSIP: 3137HHH38<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    17400246 | PA      | $17399245.25   | 0.04%             | 2027-08-25      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AT6764 FN 07/43 FIXED 3                           | CUSIP: 3138WUQS5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4020 | PA      | $3684.95       | 0.00%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8350 FR 08/53 FIXED 6                   | CUSIP: 3132DWH30<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    37371009 | PA      | $38290141.11   | 0.08%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 900526 FN 09/36 FIXED 6                           | CUSIP: 31410XPK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       75054 | PA      | $77755.50      | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AH2569 FN 01/26 FIXED 3.5                         | CUSIP: 3138A32B2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4939 | PA      | $4918.40       | 0.00%             | 2026-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ENERGY TRANSFER LP  SNR S* ICE                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $6727.31       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | STRIPS 08/42 0.00000                                        | CUSIP: 912834LR7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    96900000 | PA      | $42902933.34   | 0.09%             | 2042-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 813586 FN 03/35 FLOATING VAR                      | CUSIP: 31406L2T4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1427 | PA      | $1465.38       | 0.00%             | 2035-03-01      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL A89343 FG 10/39 FIXED 4.5                 | CUSIP: 312936LY1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       23089 | PA      | $23007.93      | 0.00%             | 2039-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA4978 FN 04/53 FIXED 5                           | CUSIP: 31418EQ86<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1861174 | PA      | $1855409.07    | 0.00%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FS RIALTO 2022-FL4                                                               | FS RIALTO ISSUER LTD FSRIA 2022 FL4 A 144A                  | CUSIP: 30326MAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    23029049 | PA      | $23028914.32   | 0.05%             | 2039-01-19      | Floating      | 6.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | AUST 10Y BOND FUT DEC25 XSFE 20251215                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |        1958 | NC      | $-427341.10    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| PALM RE LTD                                                                      | PALM RE LTD UNSECURED 144A 06/32 VAR                        | CUSIP: 69664FAB4<br>LEI: 984500D3C66DA10DAP11 | Long             | DBT              | CORP              | BM        |      700000 | PA      | $740985.00     | 0.00%             | 2032-06-07      | Floating      | 11.68%                | No            |                  2 | On Loan: No      |
| LONG BEACH MTGE LOAN TRUST 2004-4                                                | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2004 4 1A1             | CUSIP: 542514HN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        9342 | PA      | $9259.23       | 0.00%             | 2034-10-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS AUD 4.50000 09/20/23-10Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |           1 | NC      | $5835129.96    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 729296 FN 07/33 FIXED 5                           | CUSIP: 31402HGD7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3450 | PA      | $3470.09       | 0.00%             | 2033-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA4920 FN 02/53 FIXED 6                           | CUSIP: 31418EPE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      224792 | PA      | $230453.94     | 0.00%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CHF SOLD USD 20251104                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |           1 | NC      | $4459.64       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AE3202 FN 10/25 FIXED 4                           | CUSIP: 31419DRY9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         102 | PA      | $101.86        | 0.00%             | 2025-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2091                                                                 | FREDDIE MAC FHR 2091 ZD                                     | CUSIP: 3133TGU56<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       70056 | PA      | $70984.79      | 0.00%             | 2028-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC3298 FN 05/46 FIXED 4                           | CUSIP: 3140EXUY7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       79984 | PA      | $76892.52      | 0.00%             | 2046-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2010-35                                                               | FANNIE MAE FNR 2010 35 ZV                                   | CUSIP: 31398PHA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2137062 | PA      | $2133420.71    | 0.00%             | 2040-04-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 575690 FN 11/30 FIXED 8.5                         | CUSIP: 31386WRK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       13856 | PA      | $14259.76      | 0.00%             | 2030-11-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AK1743 FN 01/42 FIXED 5                           | CUSIP: 3138E55D6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       13409 | PA      | $13681.06      | 0.00%             | 2042-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 867746 FN 03/36 FIXED 6                           | CUSIP: 31409DBP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       10455 | PA      | $10778.17      | 0.00%             | 2036-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2023-3A                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2023 3A A2 144A         | CUSIP: 210928AB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    44480000 | PA      | $46200241.76   | 0.10%             | 2053-11-25      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| BENCHMARK MORTGAGE TRUST 2018-B8                                                 | BENCHMARK MORTGAGE TRUST BMARK 2018 B8 A5                   | CUSIP: 08162UAW0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    36036000 | PA      | $35607503.13   | 0.08%             | 2052-01-15      | Fixed         | 4.23%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 557247 FN 08/30 FIXED 8.5                         | CUSIP: 31386ABQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2645 | PA      | $2660.10       | 0.00%             | 2030-08-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE7189 FN 03/47 FIXED 4                           | CUSIP: 3140FS7B3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       21640 | PA      | $20931.87      | 0.00%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES 2016-2 CLASS AA PASS THROUGH TRUST                             | AMER AIRLINE 16 2 AA PTT PASS THRU CE 12/29 3.2             | CUSIP: 023765AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    10285615 | PA      | $9971589.00    | 0.02%             | 2029-12-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL C91288 FG 02/30 FIXED 4.5                 | CUSIP: 3128P7ND1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5637 | PA      | $5680.78       | 0.00%             | 2030-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 840927 FN 10/35 FIXED 6                           | CUSIP: 31407UHC4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5104 | PA      | $5235.53       | 0.00%             | 2035-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD0761 FR 11/51 FIXED 3                   | CUSIP: 3132DMZ24<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      865488 | PA      | $763394.47     | 0.00%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 878210 FN 09/36 FIXED 6                           | CUSIP: 31409TVB1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        8350 | PA      | $8605.58       | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST-2004-7                                                  | BEAR STEARNS ALT A TRUST BALTA 2004 7 2A1                   | CUSIP: 07386HKK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       11348 | PA      | $11132.85      | 0.00%             | 2034-08-25      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080196 G2 05/28 FLOATING VAR                   | CUSIP: 36225CGE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        7157 | PA      | $7168.40       | 0.00%             | 2028-05-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 887695 FN 06/36 FIXED 6                           | CUSIP: 31410FGC3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       15567 | PA      | $16412.74      | 0.00%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THRU SEC T-59                                              | FHLMC STRUCTURED PASS THROUGH FSPC T 59 1A2                 | CUSIP: 31394PPR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3350200 | PA      | $3515705.51    | 0.01%             | 2043-10-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE7553 FN 02/47 FIXED 3                           | CUSIP: 3140FTMB4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1269182 | PA      | $1147737.79    | 0.00%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QG4214 FR 05/53 FIXED 5                   | CUSIP: 3133C4VF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1968336 | PA      | $1959749.27    | 0.00%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TRUST 2005-63                                         | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 63 3A1            | CUSIP: 12668AXF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      308492 | PA      | $288688.05     | 0.00%             | 2035-11-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 527128 GN 02/30 FIXED 8                           | CUSIP: 36211YSR6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5824 | PA      | $5843.28       | 0.00%             | 2030-02-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2006-OPT2                                          | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2006 OPT2 A4            | CUSIP: 83611MML9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1371866 | PA      | $1346855.04    | 0.00%             | 2036-05-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL AJ2973 GN 09/44 FIXED 3.5                         | CUSIP: 36182XJS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      652735 | PA      | $610522.15     | 0.00%             | 2044-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 891271 FN 09/36 FIXED 6                           | CUSIP: 31410MFL9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       65523 | PA      | $67879.78      | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QC4415 FR 07/51 FIXED 3                   | CUSIP: 3133AN3Y8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      837406 | PA      | $737722.65     | 0.00%             | 2051-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 938012 FN 07/37 FIXED 6                           | CUSIP: 31412XR97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       47035 | PA      | $49441.64      | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AY1377 FN 04/45 FIXED 4                           | CUSIP: 3138YEQ75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      669444 | PA      | $644959.56     | 0.00%             | 2045-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 834381 FN 08/35 FIXED 6                           | CUSIP: 31407L6S1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1655 | PA      | $1740.02       | 0.00%             | 2035-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 967503 FN 01/38 FIXED 6                           | CUSIP: 31414JKQ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1933 | PA      | $2013.99       | 0.00%             | 2038-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080010 G2 11/26 FLOATING VAR                   | CUSIP: 36225CAL0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        7310 | PA      | $7306.30       | 0.00%             | 2026-11-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| REINSURANCE GROUP OF AMERICA INCORPORATED                                        | REINSURANCE GRP OF AMER SR UNSECURED 06/30 3.15             | CUSIP: 759351AP4<br>LEI: LORM1GNEU1DKEW527V90 | Long             | DBT              | CORP              | US        |     2000000 | PA      | $1888502.24    | 0.00%             | 2030-06-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON MTGE PASS-THRU TR 2005-AR4                                         | FIRST HORIZON MORTGAGE PASS TH FHASI 2005 AR4 2A1           | CUSIP: 32051GTX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1035292 | PA      | $950001.84     | 0.00%             | 2035-10-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| SCENTRE MANAGEMENT LTD (SCENTRE GROUP TRUST 1/SCENTRE GROUP TRUST 2)             | SCENTRE GROUP TRUST 1/2 COMPANY GUAR 144A 01/26 3.625       | CUSIP: 80622GAD6<br>LEI: N/A                  | Long             | DBT              | CORP              | AU        |     7100000 | PA      | $7083680.44    | 0.02%             | 2026-01-28      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| SKYWORKS SOLUTIONS INC                                                           | SKYWORKS SOLUTIONS INC SR UNSECURED 06/26 1.8               | CUSIP: 83088MAK8<br>LEI: 549300WZ3ORQ2BVKBD96 | Long             | DBT              | CORP              | US        |      380000 | PA      | $373784.63     | 0.00%             | 2026-06-01      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-H                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2006 H 6A1              | CUSIP: 05950PAU7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4954224 | PA      | $3853463.41    | 0.01%             | 2036-10-20      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| 7-ELEVEN INC                                                                     | 7 ELEVEN INC SR UNSECURED 144A 02/28 1.3                    | CUSIP: 817826AD2<br>LEI: 549300K23JPL0SS3LB18 | Long             | DBT              | CORP              | US        |     4600000 | PA      | $4302047.60    | 0.01%             | 2028-02-10      | Fixed         | 1.30%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-3271                                                                 | FREDDIE MAC FHR 3271 FA                                     | CUSIP: 31397FFJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        6094 | PA      | $6034.70       | 0.00%             | 2037-02-15      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| MIZUHO FINANCIAL GROUP INC                                                       | MIZUHO FINANCIAL GROUP SR UNSECURED 09/28 VAR               | CUSIP: 60687YCL1<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |    24400000 | PA      | $24996113.96   | 0.06%             | 2028-09-13      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20251020                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $705065.61     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QH1065 FR 09/53 FIXED 6                   | CUSIP: 3133CDFE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       97427 | PA      | $99786.93      | 0.00%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                                 | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 08/28 4.65              | CUSIP: 694308JC2<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     6100000 | PA      | $6118642.27    | 0.01%             | 2028-08-01      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 886394 FN 08/36 FIXED 6                           | CUSIP: 31410DXX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       11230 | PA      | $11768.62      | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COLUMBIA PIPELINES OPERATING COMPANY LLC                                         | COLUMBIA PIPELINES OPCO SR UNSECURED 144A 08/30 5.927       | CUSIP: 19828TAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     3200000 | PA      | $3387161.63    | 0.01%             | 2030-08-15      | Fixed         | 5.93%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 847996 FN 11/35 FLOATING VAR                      | CUSIP: 31408DC93<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       23533 | PA      | $23937.41      | 0.00%             | 2035-11-01      | Floating      | 6.41%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 827582 FN 06/35 FLOATING VAR                      | CUSIP: 31407DM77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       44528 | PA      | $45198.69      | 0.00%             | 2035-06-01      | Floating      | 6.35%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD0907 FN 07/46 FIXED 4                           | CUSIP: 3140F8AH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       63237 | PA      | $60832.79      | 0.00%             | 2046-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ZAR BOUGHT USD 20251120                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $-148003.91    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 960150 FN 11/37 FIXED 6                           | CUSIP: 31414AEX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         601 | PA      | $626.12        | 0.00%             | 2037-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CARLYLE GLOBAL MARKET STRATEGIES EURO CLO 17-3A                                  | CARLYLE GLOBAL MARKET STRATEGI CGMSE 2017 3A A1R 144A       | CUSIP: ACI1YDTG1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    15705250 | PA      | $18415711.09   | 0.04%             | 2031-01-15      | Floating      | 2.73%                 | No            |                  2 | On Loan: No      |
| HOMEBANC MORTGAGE TRUST 2005-5                                                   | HOMEBANC MORTGAGE TRUST HMBT 2005 5 A1                      | CUSIP: 43739ECB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      212771 | PA      | $207627.05     | 0.00%             | 2036-01-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AV0199 FN 10/28 FIXED 3.5                         | CUSIP: 3138XBGH1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       95967 | PA      | $94674.37      | 0.00%             | 2028-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF7451 FR 02/53 FIXED 6.5                 | CUSIP: 3133BVH40<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      540684 | PA      | $569241.99     | 0.00%             | 2053-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 002935 G2 06/30 FIXED 8                        | CUSIP: 36202DHL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          49 | PA      | $52.05         | 0.00%             | 2030-06-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2015-38                                                        | FANNIE MAE FNR 2015 38 DS                                   | CUSIP: 3136APAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3471946 | PA      | $231608.63     | 0.00%             | 2055-06-25      | Floating      | 1.76%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TREASURY BILL 12/25 0.00000                                 | CUSIP: 912797RR0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1800000 | PA      | $1787941.01    | 0.00%             | 2025-12-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080031 G2 01/27 FLOATING VAR                   | CUSIP: 36225CA97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5865 | PA      | $5853.04       | 0.00%             | 2027-01-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY HOME EQUITY LN 2007-1                                             | MORGAN STANLEY HOME EQUITY LOA MSHEL 2007 1 A2              | CUSIP: 61751QAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    12710909 | PA      | $6105580.69    | 0.01%             | 2036-12-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080453 G2 09/30 FLOATING VAR                   | CUSIP: 36225CQF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1339 | PA      | $1342.40       | 0.00%             | 2030-09-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZN2513 FR 01/34 FIXED 3.5                 | CUSIP: 3131Y8YJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      381086 | PA      | $375662.63     | 0.00%             | 2034-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 995705 FN 01/39 FIXED VAR                         | CUSIP: 31416CDJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       82927 | PA      | $85927.01      | 0.00%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AY2120 FN 02/45 FIXED 5                           | CUSIP: 3138YFLA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       45819 | PA      | $46323.14      | 0.00%             | 2045-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2611                                                                 | FREDDIE MAC FHR 2611 XM                                     | CUSIP: 31393QY89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       53400 | PA      | $58815.25      | 0.00%             | 2033-05-15      | Floating      | 3.84%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT EUR SOLD USD 20251104                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $4859.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 995051 FN 03/37 FIXED VAR                         | CUSIP: 31416BL89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       25851 | PA      | $27254.22      | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| EAST LANE RE VII LTD                                                             | EAST LANE RE VII LTD UNSECURED 144A 03/26 VAR               | CUSIP: 27332EAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |    13400000 | PA      | $13631820.00   | 0.03%             | 2026-03-31      | Floating      | 12.82%                | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC 2004-E                                               | MLCC MORTGAGE INVESTORS INC MLCC 2004 E A2B                 | CUSIP: 59020UJR7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       16796 | PA      | $16129.49      | 0.00%             | 2029-11-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| REALTY INCOME CORPORATION                                                        | REALTY INCOME CORP SR UNSECURED 06/26 4.875                 | CUSIP: 756109BF0<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |     6600000 | PA      | $6625710.70    | 0.01%             | 2026-06-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 008817 G2 02/26 FLOATING VAR                   | CUSIP: 36202KYN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1156 | PA      | $1154.19       | 0.00%             | 2026-02-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 724254 FN 08/33 FLOATING VAR                      | CUSIP: 31402BTK0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         858 | PA      | $877.94        | 0.00%             | 2033-08-01      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB7229 FN 10/53 FIXED 5.5                         | CUSIP: 3140QTA74<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      218078 | PA      | $220627.86     | 0.00%             | 2053-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE3                                            | MORGAN STANLEY CAPITAL INC MSAC 2007 HE3 A2C                | CUSIP: 617538AC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1640022 | PA      | $823541.67     | 0.00%             | 2036-12-25      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-HY6                                                  | COUNTRYWIDE HOME LOANS CWHL 2007 HY6 1A1                    | CUSIP: 17025MAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1318947 | PA      | $1186866.50    | 0.00%             | 2037-11-25      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| MORTGAGEIT TRUST 2005-1                                                          | MORTGAGEIT TRUST MHL 2005 1 1A2                             | CUSIP: 61913PAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       64291 | PA      | $64663.69      | 0.00%             | 2035-02-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL AJ2192 GN 02/45 FIXED 3.5                         | CUSIP: 36182WNH2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       52811 | PA      | $49395.74      | 0.00%             | 2045-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA5467 G2 09/48 FIXED 4.5                      | CUSIP: 36179UCC4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     7303510 | PA      | $7224531.01    | 0.02%             | 2048-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BU8883 FN 03/52 FIXED 3                           | CUSIP: 3140MA2R4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      436634 | PA      | $384479.94     | 0.00%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2007-8                                                    | GSAA HOME EQUITY TRUST GSAA 2007 8 A3                       | CUSIP: 38144RAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      137638 | PA      | $136338.96     | 0.00%             | 2037-08-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| TPG REAL ESTATE FINANCE ISSUER LTD 2021-FL4                                      | TPG REAL ESTATE FINANCE TRTX 2021 FL4 A 144A                | CUSIP: 87276WAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     5977811 | PA      | $5983602.49    | 0.01%             | 2038-03-15      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 252405 FN 03/29 FIXED 6.5                         | CUSIP: 31371HKS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         618 | PA      | $629.84        | 0.00%             | 2029-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| KKR GROUP FINANCE CO VI LLC                                                      | KKR GRP FIN CO VI LLC COMPANY GUAR 144A 07/29 3.75          | CUSIP: 48252AAA9<br>LEI: 549300TUJWGHJM3FSJ07 | Long             | DBT              | CORP              | US        |      300000 | PA      | $294807.81     | 0.00%             | 2029-07-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR EUR ESTRON/2.05630 11/18/24-5Y* LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $267064.59     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2004-9                                                  | BEAR STEARNS ALT A TRUST BALTA 2004 9 2A1                   | CUSIP: 07386HKZ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       78814 | PA      | $70751.90      | 0.00%             | 2034-09-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT GBP SOLD USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $-437996.92    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 845188 FN 12/35 FIXED 6                           | CUSIP: 31407Y6Z7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       78695 | PA      | $81422.95      | 0.00%             | 2035-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                           | CS AT1 CLAIMS XS0989394589 CREDIT SUISSE GROUP AG           | CUSIP: 952NPHII6<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | US        |     4100000 | PA      | $533000.00     | 0.00%             | 2060-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CNH BOUGHT USD 20251016                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $73036.97      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SPECIALTY UNDERWRNG & RES FIN 2006-BC5                                           | SPECIALTY UNDERWRITING + RESID SURF 2006 BC5 A2D            | CUSIP: 84751NAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4620503 | PA      | $2546766.63    | 0.01%             | 2037-11-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| ORACLE CORPORATION                                                               | ORACLE CORPORATION 11/25 ZCP                                | CUSIP: 6840C2YK5<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     9900000 | PA      | $9841929.57    | 0.02%             | 2025-11-19      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC CORP 2006-EMX3                                             | RESIDENTIAL ASSET SECURITIES C RASC 2006 EMX3 A3            | CUSIP: 76113ACA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      467254 | PA      | $468058.04     | 0.00%             | 2036-04-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AH3204 FN 01/41 FIXED 4                           | CUSIP: 3138A4R23<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       25004 | PA      | $24340.27      | 0.00%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 852684 FN 03/36 FIXED 6                           | CUSIP: 31408JJ51<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5777 | PA      | $5976.47       | 0.00%             | 2036-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                      | BANK OF AMERICA CORP SR UNSECURED 01/27 VAR                 | CUSIP: 06051GLE7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     2782000 | PA      | $2787369.57    | 0.01%             | 2027-01-20      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL CE4252 GN 10/51 FIXED 4                           | CUSIP: 3617VSWM0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       71010 | PA      | $67127.90      | 0.00%             | 2051-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SMALL BUSINESS ADMIN PART CERTS 2007-20K                                         | SMALL BUSINESS ADMINISTRATION SBAP 2007 20K 1               | CUSIP: 83162CRK1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       12089 | PA      | $12216.54      | 0.00%             | 2027-11-01      | Fixed         | 5.51%                 | No            |                  2 | On Loan: No      |
| WINDMILL III RE DESIGNATED ACTIVITY COMPANY                                      | WINDMILL III RE DAC UNSECURED 144A 07/28 VAR                | CUSIP: ACI2PJTV3<br>LEI: 635400PB5AXUZ6R7CT68 | Long             | DBT              | CORP              | IE        |      250000 | PA      | $296682.60     | 0.00%             | 2028-07-05      | Floating      | 7.21%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q25184 FG 03/44 FIXED 4.5                 | CUSIP: 3132M5M90<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      168148 | PA      | $165628.04     | 0.00%             | 2044-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AR0693 FN 12/27 FIXED 3                           | CUSIP: 3138NWXX2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       12323 | PA      | $12185.19      | 0.00%             | 2027-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2013-RR1                                                          | BCAP LLC TRUST BCAP 2013 RR1 3A4 144A                       | CUSIP: 05490BAQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1185557 | PA      | $801750.37     | 0.00%             | 2037-10-26      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                     | UBS GROUP AG SR UNSECURED 144A 02/27 VAR                    | CUSIP: 225401AT5<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    27600000 | PA      | $27326558.24   | 0.06%             | 2027-02-02      | Floating      | 1.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20251215                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $55428.88      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 569357 GN 04/32 FIXED 7                           | CUSIP: 36200QQJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1579 | PA      | $1640.45       | 0.00%             | 2032-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 925147 FN 08/37 FIXED 6                           | CUSIP: 31412GZL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       69555 | PA      | $71972.72      | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080426 G2 07/30 FLOATING VAR                   | CUSIP: 36225CPL4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1277 | PA      | $1281.77       | 0.00%             | 2030-07-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 003188 G2 01/32 FIXED 6.5                      | CUSIP: 36202DRH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         109 | PA      | $112.63        | 0.00%             | 2032-01-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080011 G2 11/26 FLOATING VAR                   | CUSIP: 36225CAM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       15820 | PA      | $15855.74      | 0.00%             | 2026-11-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR7                                                 | GSR MORTGAGE LOAN TRUST GSR 2005 AR7 2A1                    | CUSIP: 362341WZ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        1955 | PA      | $1893.98       | 0.00%             | 2035-11-25      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| ESSEX PORTFOLIO LP                                                               | ESSEX PORTFOLIO LP COMPANY GUAR 04/26 3.375                 | CUSIP: 29717PAQ0<br>LEI: 5493003GN3O58H286O74 | Long             | DBT              | CORP              | US        |      880000 | PA      | $875608.70     | 0.00%             | 2026-04-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-5                                                  | BEAR STEARNS ALT A TRUST BALTA 2006 5 1A1                   | CUSIP: 073873AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8025633 | PA      | $7261843.72    | 0.02%             | 2036-08-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL AM5342 GN 04/45 FIXED 3.5                         | CUSIP: 36184S5B2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      389057 | PA      | $363902.26     | 0.00%             | 2045-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 823358 FN 02/35 FLOATING VAR                      | CUSIP: 31406XWT5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       93545 | PA      | $95300.09      | 0.00%             | 2035-02-01      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 893479 FN 09/36 FIXED 6                           | CUSIP: 31410PUC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1122 | PA      | $1178.86       | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 886002 FN 07/36 FIXED 6                           | CUSIP: 31410DKP4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       13431 | PA      | $13811.15      | 0.00%             | 2036-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ8578 FN 04/33 FIXED 3                           | CUSIP: 3140HAQ86<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      364748 | PA      | $352758.94     | 0.00%             | 2033-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| LEHMAN MORTGAGE TRUST 2005-2                                                     | LEHMAN MORTGAGE TRUST LMT 2005 2 4A1                        | CUSIP: 52520MCF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3322663 | PA      | $499850.73     | 0.00%             | 2035-12-25      | Variable      | 4.35%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOME MORTGAGE INVESTMENT TRUST 2006-3                                   | AMERICAN HOME MORTGAGE INVESTM AHM 2006 3 11A1              | CUSIP: 026929AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      404274 | PA      | $343678.89     | 0.00%             | 2046-12-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 850655 FN 02/36 FIXED 6.5                         | CUSIP: 31408GBY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       27319 | PA      | $28209.30      | 0.00%             | 2036-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BK4146 FN 04/33 FIXED 3                           | CUSIP: 3140HHTC9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      627739 | PA      | $611424.82     | 0.00%             | 2033-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080078 G2 05/27 FLOATING VAR                   | CUSIP: 36225CCQ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1966 | PA      | $1970.57       | 0.00%             | 2027-05-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 771019 FN 04/34 FIXED 5                           | CUSIP: 31404KSG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       28334 | PA      | $28390.06      | 0.00%             | 2034-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL CP4968 G2 08/47 FIXED 3                        | CUSIP: 3617FUQV0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3582793 | PA      | $3195605.39    | 0.01%             | 2047-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BW9887 FN 10/52 FIXED 5                           | CUSIP: 3140N26Z9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       46263 | PA      | $46126.44      | 0.00%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL C91249 FG 05/29 FIXED 4.5                 | CUSIP: 3128P7L68<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       18221 | PA      | $18288.97      | 0.00%             | 2029-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SALOMON BROTHERS MTGE SEC VII 2003-UP2                                           | SALOMON BROTHERS MORTGAGE SECU SBM7 2003 UP2 A1             | CUSIP: 79549AXP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         510 | PA      | $509.59        | 0.00%             | 2033-06-25      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| NIGERIA GOVT                                                                     | NIGERIA OMO BILL OMO260626                                  | CUSIP: 958ZIAII6<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        | 12983235000 | PA      | $7645107.57    | 0.02%             | 2026-06-26      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | MEXICO LA SP MYC                                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $17702.76      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2011-H03                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2011 H03 FA              | CUSIP: 38375BJS2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      414995 | PA      | $415201.22     | 0.00%             | 2061-01-20      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080197 G2 05/28 FLOATING VAR                   | CUSIP: 36225CGF7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       13512 | PA      | $13614.24      | 0.00%             | 2028-05-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 1J1219 FH 10/35 FLOATING VAR              | CUSIP: 3128NHK85<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        9711 | PA      | $9916.73       | 0.00%             | 2035-10-01      | Floating      | 7.12%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DA7801 FN 01/54 FIXED 5.5                         | CUSIP: 3140A8U34<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      546841 | PA      | $552907.02     | 0.00%             | 2054-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MEXICO GOVT                                                                      | UNITED MEXICAN STATES SR UNSECURED 03/31 4.75               | CUSIP: 91087BBJ8<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    13600000 | PA      | $13521800.00   | 0.03%             | 2031-03-22      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20251020                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $194482.53     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 995938 FN 01/39 FIXED VAR                         | CUSIP: 31416CLT1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2151246 | PA      | $2268156.83    | 0.00%             | 2039-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 923935 FN 03/37 FIXED 6                           | CUSIP: 31412FPU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      145039 | PA      | $151007.85     | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL U79040 FG 07/29 FIXED 3.5                 | CUSIP: 3132G5BJ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       10605 | PA      | $10537.57      | 0.00%             | 2029-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ROUNDSTONE SECURITIES NO 2 DESIGNATED ACTIVITY CO 2A                             | ROUNDSTONE SECURITIES RNST 2A A 144A                        | CUSIP: ACI2NG9C5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |   338490359 | PA      | $398478379.72  | 0.88%             | 2058-06-28      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-5CB                                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 5CB 1A13          | CUSIP: 02150EAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1135090 | PA      | $557123.75     | 0.00%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZN3121 FR 02/34 FIXED 3.5                 | CUSIP: 3131Y9PE7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       39100 | PA      | $38470.22      | 0.00%             | 2034-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2013-H15                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2013 H15 FC              | CUSIP: 38375B4J8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      233370 | PA      | $233495.53     | 0.00%             | 2063-07-20      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 889057 FN 09/35 FIXED VAR                         | CUSIP: 31410GWS8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       23564 | PA      | $23836.04      | 0.00%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 947543 FN 10/37 FIXED 6                           | CUSIP: 31413KEQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       54046 | PA      | $55714.57      | 0.00%             | 2037-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| KIRKBY RMBS PLC 1A                                                               | KIRKBY RMBS KIRK 1A A 144A                                  | CUSIP: ACI12K1K1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    32455532 | PA      | $43553879.55   | 0.10%             | 2045-02-22      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 256125 FN 01/26 FIXED 5                           | CUSIP: 31371MPJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         327 | PA      | $326.36        | 0.00%             | 2026-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AW5288 FN 05/29 FIXED 3.5                         | CUSIP: 3138XU2W1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        9610 | PA      | $9495.13       | 0.00%             | 2029-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2020-BOC                              | BANC OF AMERICA MERRILL LYNCH BAMLL 2020 BOC A 144A         | CUSIP: 05551JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4200000 | PA      | $3719765.70    | 0.01%             | 2032-01-15      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2004-11                                              | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2004 11 3A1A           | CUSIP: 41161PKD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      739228 | PA      | $715194.52     | 0.00%             | 2035-01-19      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE-2000-39                                                               | FANNIE MAE FNR 2000 39 Z                                    | CUSIP: 31358SUV1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       58947 | PA      | $60698.83      | 0.00%             | 2030-11-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20251029                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $-75727.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN 2004-FF11                                                | FIRST FRANKLIN MTG LOAN ASSET FFML 2004 FF11 M4             | CUSIP: 32027NNA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      797214 | PA      | $803540.69     | 0.00%             | 2035-01-25      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-2357748.85   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL AL4719 GN 01/45 FIXED 3.5                         | CUSIP: 36184BG43<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        7539 | PA      | $7051.09       | 0.00%             | 2045-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QG6222 FR 06/53 FIXED 5                   | CUSIP: 3133C64F3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1357586 | PA      | $1361861.79    | 0.00%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL CO7325 G2 12/46 FIXED 3                        | CUSIP: 3617FKD61<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2446584 | PA      | $2184758.96    | 0.00%             | 2046-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2011-RR5                                                          | BCAP LLC TRUST BCAP 2011 RR5 12A1 144A                      | CUSIP: 05534AAN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2385094 | PA      | $2377739.38    | 0.01%             | 2037-03-26      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 05/42 3.25                                  | CUSIP: 912810TH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   219616100 | PA      | $184580469.05  | 0.41%             | 2042-05-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 946580 FN 09/37 FIXED 6                           | CUSIP: 31413JCR3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       26234 | PA      | $27339.45      | 0.00%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 887379 FN 07/36 FIXED 6                           | CUSIP: 31410E2L1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3673 | PA      | $3861.05       | 0.00%             | 2036-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2011-RR6                                                          | BCAP LLC TRUST BCAP 2011 RR6 5A1 144A                       | CUSIP: 05535YAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2433673 | PA      | $2188001.32    | 0.00%             | 2037-04-26      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 003068 G2 04/31 FIXED 6.5                      | CUSIP: 36202DMR9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          51 | PA      | $53.10         | 0.00%             | 2031-04-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD IDR BOUGHT USD 20251008                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $163791.65     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY4222 FN 06/53 FIXED 5                           | CUSIP: 3140NLVQ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      203855 | PA      | $202987.19     | 0.00%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BARCLAYS REV REPO EUR                                       | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |    -6383190 | PA      | $-7499728.16   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX6022 FN 02/53 FIXED 5.5                         | CUSIP: 3140NAVQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      683460 | PA      | $692465.62     | 0.00%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ONSLOW BAY MORTGAGE LOAN TRUST 2022-INV2                                         | ONSLOW BAY FINANCIAL LLC OBX 2022 INV2 A1 144A              | CUSIP: 67114WAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    97247716 | PA      | $84151589.78   | 0.19%             | 2052-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20251015                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-9249.42      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE TRUST-2005-3AR                                           | MORGAN STANLEY MORTGAGE LOAN T MSM 2005 3AR 3A              | CUSIP: 61745M4R1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2388401 | PA      | $1946459.78    | 0.00%             | 2035-07-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ2692 FN 04/48 FIXED 3.5                         | CUSIP: 3140H37E0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       91254 | PA      | $84783.00      | 0.00%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| IMPERIAL BRANDS FINANCE PLC (AKA: IMPERIAL TOBACCO FINANCE PLC)                  | IMPERIAL BRANDS FIN PLC COMPANY GUAR 144A 07/26 3.5         | CUSIP: 45262BAB9<br>LEI: 2138008L3B3MCG1DFS50 | Long             | DBT              | CORP              | GB        |     8500000 | PA      | $8444178.38    | 0.02%             | 2026-07-26      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 899892 FN 11/36 FIXED 6                           | CUSIP: 31410WXV5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      288514 | PA      | $302818.75     | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q28789 FG 08/44 FIXED 4.5                 | CUSIP: 3132M9NE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1936 | PA      | $1925.14       | 0.00%             | 2044-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-134                                                       | FANNIE MAE FNR 2012 134 FD                                  | CUSIP: 3136AARY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       86344 | PA      | $84614.52      | 0.00%             | 2042-12-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 11/40 1.375                                 | CUSIP: 912810ST6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  1573055000 | PA      | $1026940688.95 | 2.26%             | 2040-11-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| DSLA MORTGAGE LOAN TRUST 2004-AR3                                                | DSLA MORTGAGE LOAN TRUST DSLA 2004 AR3 2A1                  | CUSIP: 23332UBF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        7095 | PA      | $6749.22       | 0.00%             | 2044-07-19      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL C91034 FG 06/27 FIXED 6                   | CUSIP: 3128P7EF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       13176 | PA      | $13471.62      | 0.00%             | 2027-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 937665 FN 06/37 FIXED 6                           | CUSIP: 31412XFE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       36507 | PA      | $38374.58      | 0.00%             | 2037-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8384 FR 12/53 FIXED 6                   | CUSIP: 3132DWJ53<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    14574528 | PA      | $14930864.68   | 0.03%             | 2053-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2024-A                                        | CONSUMER LOAN FINANCE ISSUER T CLFT 2024 A D 144A           | CUSIP: 21050QAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     4500000 | PA      | $4568909.85    | 0.01%             | 2054-11-25      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| GOLUB CAPITAL PARTNERS CLO 50B LTD                                               | GOLUB CAPITAL PARTNERS CLO, LT GCBSL 2020 50A A1R2 144A     | CUSIP: 38178DAN7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    11850000 | PA      | $11890554.49   | 0.03%             | 2035-04-20      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RA6989 FR 03/52 FIXED 3                   | CUSIP: 3133KNXS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3442235 | PA      | $3031736.56    | 0.01%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2022-PJ4                                     | GS MORTGAGE BACKED SECURITIES GSMBS 2022 PJ4 A4 144A        | CUSIP: 36264RAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    24584948 | PA      | $20409342.48   | 0.04%             | 2052-09-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                     | UBS GROUP AG SR UNSECURED 144A 01/28 4.282                  | CUSIP: 225401AC2<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |      500000 | PA      | $500237.65     | 0.00%             | 2028-01-09      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE GRANTOR TRUST 2002-T19                                                 | FANNIEMAE GRANTOR TRUST FNGT 2002 T19 A1                    | CUSIP: 31392GVP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       17643 | PA      | $18547.85      | 0.00%             | 2042-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 555864 FN 09/33 FIXED VAR                         | CUSIP: 31385XQR1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         340 | PA      | $347.96        | 0.00%             | 2033-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BANK 2020-BN25                                                                   | BANK BANK 2020 BN25 A5                                      | CUSIP: 06539WBB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    76896851 | PA      | $71013319.14   | 0.16%             | 2063-01-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2002-23                                                               | FANNIE MAE FNR 2002 23 FA                                   | CUSIP: 31392CCD4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      171609 | PA      | $173170.16     | 0.00%             | 2032-04-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| OMEGA HEALTHCARE INVESTORS INC                                                   | OMEGA HLTHCARE INVESTORS COMPANY GUAR 10/29 3.625           | CUSIP: 681936BL3<br>LEI: 549300OJ7ENK42CZ8E73 | Long             | DBT              | CORP              | US        |    14300000 | PA      | $13725822.83   | 0.03%             | 2029-10-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| 123 LIGHTS RE LTD                                                                | 123 LIGHTS RE LTD UNSECURED 144A 09/31 VAR                  | CUSIP: 68302QAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      700000 | PA      | $700000.00     | 0.00%             | 2031-09-14      | Floating      | 15.19%                | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL C64710 FG 03/32 FIXED 6.5                 | CUSIP: 31287QGT2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         546 | PA      | $563.97        | 0.00%             | 2032-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | US 10YR FUT OPTN  NOV25C 114 EXP 10/24/2025                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -2159 | NC      | $-297156.12    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS COMMERCIAL MORTGAGE TRUST 2018-C11                                           | UBS COMMERCIAL MORTGAGE TRUST UBSCM 2018 C11 A5             | CUSIP: 90276XAV7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7000000 | PA      | $6970099.50    | 0.02%             | 2051-06-15      | Fixed         | 4.24%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | TURKEY EM SP BRC                                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $14734.32      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MASTR ASSET SECURITIZATION TRUST 2006-2                                          | MASTR ASSET SECURITIZATION TRU MASTR 2006 2 1A4             | CUSIP: 55274QAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      164784 | PA      | $89167.15      | 0.00%             | 2036-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 780685 GN 12/27 FIXED 6.5                         | CUSIP: 36225AXN5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          85 | PA      | $85.52         | 0.00%             | 2027-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GOODLEAP SUSTAINABLE HOME SOLUTIONS TRUST 2022-2CS                               | GOODLEAP SUSTAINABLE HOME IMPR GOOD 2022 2CS A 144A         | CUSIP: 38237KAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    13982528 | PA      | $12466973.14   | 0.03%             | 2049-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 843134 FN 11/35 FIXED 6                           | CUSIP: 31407WV34<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      132091 | PA      | $139261.82     | 0.00%             | 2035-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QS8                                              | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QS8 A1             | CUSIP: 75115AAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      702845 | PA      | $594339.70     | 0.00%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2010-111                                                              | FANNIE MAE FNR 2010 111 FC                                  | CUSIP: 31398NWE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       11970 | PA      | $11906.45      | 0.00%             | 2040-10-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD THB BOUGHT USD 20251020                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $6.00          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2007-9T1                                         | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 9T1 1A6           | CUSIP: 02150JAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      239694 | PA      | $109901.89     | 0.00%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB7459 FN 11/53 FIXED 5                           | CUSIP: 3140QTJD2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      267149 | PA      | $265563.96     | 0.00%             | 2053-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2024-A                                        | CONSUMER LOAN FINANCE ISSUER T CLFT 2024 A A1 144A          | CUSIP: 21050QAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    13755848 | PA      | $13853701.37   | 0.03%             | 2054-11-25      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 595556 FN 05/31 FIXED 8.5                         | CUSIP: 31387VTM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        6766 | PA      | $6904.12       | 0.00%             | 2031-05-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8201 FR 03/52 FIXED 3                   | CUSIP: 3132DWDE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5597848 | PA      | $4932560.44    | 0.01%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 826082 FN 07/35 FLOATING VAR                      | CUSIP: 31407BXK0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1507 | PA      | $1525.56       | 0.00%             | 2035-07-01      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AX4411 FN 11/44 FIXED 4                           | CUSIP: 3138Y53V6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       22856 | PA      | $21999.17      | 0.00%             | 2044-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVESTORS 2003-A1                                         | MERRILL LYNCH MORTGAGE INVESTO MLMI 2003 A1 3A              | CUSIP: 589929F37<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       49249 | PA      | $48388.96      | 0.00%             | 2032-12-25      | Floating      | 5.94%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2755 FN 09/46 FIXED 4                           | CUSIP: 31418CBZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       35993 | PA      | $34624.05      | 0.00%             | 2046-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD GBP BOUGHT USD 20251104                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $-49958.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-HYB7                                                 | COUNTRYWIDE HOME LOANS CWHL 2004 HYB7 1A2                   | CUSIP: 12669GBZ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      408547 | PA      | $391551.36     | 0.00%             | 2034-11-20      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP (AKA: AMERICAN TOWER REIT INC)                               | AMERICAN TOWER CORP SR UNSECURED 01/27 2.75                 | CUSIP: 03027XAX8<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |    23000000 | PA      | $22601904.73   | 0.05%             | 2027-01-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2469                                                                 | FREDDIE MAC FHR 2469 FV                                     | CUSIP: 31392RDQ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1634 | PA      | $1630.77       | 0.00%             | 2030-06-15      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AW4796 FN 04/44 FIXED 4                           | CUSIP: 3138XUKJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        6393 | PA      | $6170.01       | 0.00%             | 2044-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH ALTERNATIVE NT 2007-A2                                             | MERRILL LYNCH ALTERNATIVE NOTE MANA 2007 A2 A3A             | CUSIP: 59024FAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      687851 | PA      | $161780.11     | 0.00%             | 2037-03-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| CITICORP MORTGAGE SECURITIES INC 2006-4                                          | CITICORP MORTGAGE SECURITIES, CMSI 2006 4 1A9               | CUSIP: 17310DAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      200397 | PA      | $185290.74     | 0.00%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FORESEA HOLDING SA                                                               | FORESEA HOLDING SA SR SECURED REGS 06/30 7.5                | CUSIP: L26915AA3<br>LEI: 254900BAD50AKYGIMV79 | Long             | DBT              | CORP              | LU        |     2012647 | PA      | $1971491.59    | 0.00%             | 2030-06-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 908103 FN 08/36 FIXED 6                           | CUSIP: 31411G3L4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       76980 | PA      | $78981.17      | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JETBLUE 2019-1 CLASS A PASS THROUGH TRUST                                        | JETBLUE 2019 1 CLASS A PASS THRU CE 11/29 2.95              | CUSIP: 477143AJ0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      446370 | PA      | $413322.36     | 0.00%             | 2029-11-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G01311 FG 09/31 FIXED 7                   | CUSIP: 31283HN43<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1552 | PA      | $1622.53       | 0.00%             | 2031-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 529145 GN 04/30 FIXED 8                           | CUSIP: 36212BZJ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1077 | PA      | $1110.65       | 0.00%             | 2030-04-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                     | UBS GROUP AG SR UNSECURED REGS 09/27 VAR                    | CUSIP: ACI27Z6Z3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |      900000 | PA      | $1240916.17    | 0.00%             | 2027-09-30      | Floating      | 7.00%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                          | HCA INC COMPANY GUAR 02/29 5.875                            | CUSIP: 404119BW8<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     5700000 | PA      | $5935740.14    | 0.01%             | 2029-02-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AJ8147 FN 12/26 FIXED 3.5                         | CUSIP: 3138E1BR7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         599 | PA      | $595.07        | 0.00%             | 2026-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 796823 FN 09/34 FIXED 6                           | CUSIP: 31405RG83<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        6776 | PA      | $7106.46       | 0.00%             | 2034-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2005-S3                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2005 S3 1A2                  | CUSIP: 466247ZP1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       15628 | PA      | $6607.54       | 0.00%             | 2036-01-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G30438 FG 11/27 FIXED 6                   | CUSIP: 3128CUPX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4956 | PA      | $5066.98       | 0.00%             | 2027-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5033 FN 04/43 FIXED 6.5                         | CUSIP: 31418ESX9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       33039 | PA      | $34235.21      | 0.00%             | 2043-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| POLESTAR RE LTD                                                                  | POLESTAR RE LTD UNSECURED 144A 01/27 VAR                    | CUSIP: 73110JAB8<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |     9100000 | PA      | $9476740.00    | 0.02%             | 2027-01-07      | Floating      | 17.18%                | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT MXN SOLD USD 20251217                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $4130866.30    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB2252 FN 02/26 FIXED 3.5                         | CUSIP: 31416XQE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       53761 | PA      | $53541.42      | 0.00%             | 2026-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| TENNESSEE GAS PIPELINE COMPANY LLC                                               | TENNESSEE GAS PIPELINE COMPANY GUAR 10/28 7                 | CUSIP: 880451AV1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     3900000 | PA      | $4197668.20    | 0.01%             | 2028-10-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 889719 FN 07/38 FIXED VAR                         | CUSIP: 31410KPC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       93504 | PA      | $96925.28      | 0.00%             | 2038-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4429                                                          | FREDDIE MAC FHR 4429 AI                                     | CUSIP: 3137BGA25<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5852942 | PA      | $539774.12     | 0.00%             | 2038-11-15      | Floating      | 1.78%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTGE INVEST 2007-AR7                                            | STRUCTURED ASSET MORTGAGE INVE SAMI 2007 AR7 1A1            | CUSIP: 86364KAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6583162 | PA      | $5401798.73    | 0.01%             | 2047-05-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 786625 FH 09/28 FLOATING VAR              | CUSIP: 31295KLE2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          55 | PA      | $55.28         | 0.00%             | 2028-09-01      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZK3501 FR 09/26 FIXED 3.5                 | CUSIP: 3131X63J7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       16714 | PA      | $16591.43      | 0.00%             | 2026-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NIGERIA GOVT                                                                     | NIGERIA OMO BILL OMO260629                                  | CUSIP: 958ZIBII4<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        | 16415931000 | PA      | $9651861.72    | 0.02%             | 2026-06-29      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOFTBANK GROUP CORP SNR JP SP GST                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $6857.03       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL AM0248 GN 03/45 FIXED 3.5                         | CUSIP: 36184KHZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       38910 | PA      | $36393.60      | 0.00%             | 2045-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS NZD 3.75000 06/15/22-5Y LCH                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | NZ        |           1 | NC      | $11236911.43   | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080416 G2 06/30 FLOATING VAR                   | CUSIP: 36225CPA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        8880 | PA      | $8872.46       | 0.00%             | 2030-06-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL AI9896 GN 08/44 FIXED 3.5                         | CUSIP: 36198W7H2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3626863 | PA      | $3392355.17    | 0.01%             | 2044-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RA9057 FR 05/53 FIXED 5                   | CUSIP: 3133KRB29<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   107979554 | PA      | $107588767.25  | 0.24%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2018-4                                                  | JP MORGAN MORTGAGE TRUST JPMMT 2018 4 A1 144A               | CUSIP: 46649CAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      252361 | PA      | $228376.51     | 0.00%             | 2048-10-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 934281 FN 06/38 FIXED 5.5                         | CUSIP: 31412TM67<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        6191 | PA      | $6246.43       | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD KWD BOUGHT USD 20290502                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $244122.55     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2004-2                                                   | FREMONT HOME LOAN TRUST FHLT 2004 2 M2                      | CUSIP: 35729PEE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        3010 | PA      | $5524.58       | 0.00%             | 2034-07-25      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTGE INV 1999-1                                                 | STRUCTURED ASSET MORTGAGE INVE SAMI 1999 1 2A               | CUSIP: 86358HGW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        6482 | PA      | $6326.27       | 0.00%             | 2029-06-25      | Floating      | 3.90%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZA6402 FR 03/39 FIXED 3.5                 | CUSIP: 31329QDF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      609747 | PA      | $587022.21     | 0.00%             | 2039-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WIND RIVER CLO LTD 2021-2A                                                       | WIND RIVER CLO LTD WINDR 2021 2A A1R 144A                   | CUSIP: 97315VAL1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    13000000 | PA      | $13001756.95   | 0.03%             | 2034-07-20      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL CP9584 G2 12/46 FIXED 3                        | CUSIP: 3618A0UH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1736852 | PA      | $1545739.09    | 0.00%             | 2046-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| EPR PROPERTIES                                                                   | EPR PROPERTIES SR UNSECURED 08/29 3.75                      | CUSIP: 26884UAF6<br>LEI: 549300YSSXFHMPOWZ492 | Long             | DBT              | CORP              | US        |    14900000 | PA      | $14348859.88   | 0.03%             | 2029-08-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QI4071 FR 04/54 FIXED 5.5                 | CUSIP: 3133WAQY7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     8303021 | PA      | $8386898.13    | 0.02%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| DELTA FUNDING HOME EQ LN TR 1999-3                                               | DELTA FUNDING HOME EQUITY LOAN DELHE 1999 3 A1A             | CUSIP: 24763LFX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       75519 | PA      | $72632.14      | 0.00%             | 2029-09-15      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG/NEW YORK BRANCH                                                 | DEUTSCHE BANK NY 11/27 VAR                                  | CUSIP: 251526CN7<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    18300000 | PA      | $18390289.82   | 0.04%             | 2027-11-16      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MB0022 G2 11/54 FIXED 3.5                      | CUSIP: 3618N5AY5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    36820406 | PA      | $33604548.98   | 0.07%             | 2054-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 967472 FN 01/38 FIXED 5.5                         | CUSIP: 31414JJR5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2500 | PA      | $2595.12       | 0.00%             | 2038-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AT7057 FN 05/43 FIXED 4                           | CUSIP: 3138WUZX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       28693 | PA      | $27770.69      | 0.00%             | 2043-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL BH6412 G2 07/48 FIXED 4                        | CUSIP: 3617H4DR9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      704760 | PA      | $667675.87     | 0.00%             | 2048-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5296 FN 03/54 FIXED 5.5                         | CUSIP: 31418E3E8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    23317847 | PA      | $23560311.39   | 0.05%             | 2054-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CAD BOUGHT USD 20251104                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |           1 | NC      | $235155.46     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BF0217 FN 09/57 FIXED 3                           | CUSIP: 3140FXG30<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    21120410 | PA      | $18645365.10   | 0.04%             | 2057-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 886737 FN 08/36 FIXED 6                           | CUSIP: 31410EEJ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1808 | PA      | $1900.68       | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 829690 FN 09/35 FIXED 6                           | CUSIP: 31407FXT2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       20820 | PA      | $21561.56      | 0.00%             | 2035-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 888912 FN 11/37 FLOATING VAR                      | CUSIP: 31410GR96<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2556 | PA      | $2556.85       | 0.00%             | 2037-11-01      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2006-QA2                                          | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QA2 2A1            | CUSIP: 761118TR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      546632 | PA      | $468108.08     | 0.00%             | 2036-02-25      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20251021                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $194998.83     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NELNET STUDENT LOAN TRUST 2023-AA                                                | NELNET STUDENT LOAN TRUST NSLT 2023 AA AFX 144A             | CUSIP: 64032PAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     4469438 | PA      | $4634886.32    | 0.01%             | 2041-02-20      | Fixed         | 6.64%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H01                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H01 FA              | CUSIP: 38382YQ30<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    11962830 | PA      | $11991839.68   | 0.03%             | 2073-01-20      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS COMPANY                                                         | AMERICAN EXPRESS CO SR UNSECURED 10/26 VAR                  | CUSIP: 025816DL0<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |     7700000 | PA      | $7713240.15    | 0.02%             | 2026-10-30      | Floating      | 6.34%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2010-4                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2010 4 3A6 144A         | CUSIP: 17315QAN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2334619 | PA      | $935420.24     | 0.00%             | 2037-11-25      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF1742 FR 09/52 FIXED 4.5                 | CUSIP: 3133BN5B5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       95315 | PA      | $93096.90      | 0.00%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-A6                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2007 A6 2A1                  | CUSIP: 46632DAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       41988 | PA      | $31645.49      | 0.00%             | 2037-12-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| ROCKFORD TOWER CLO 2021-2 LTD                                                    | ROCKFORD TOWER CLO LTD ROCKT 2021 2A A1R 144A               | CUSIP: 77341LAQ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     8400000 | PA      | $8400552.47    | 0.02%             | 2034-07-20      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AT8419 FN 06/43 FIXED 3                           | CUSIP: 3138WWK99<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      249690 | PA      | $229676.63     | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 884089 FN 06/36 FIXED 6                           | CUSIP: 31410BF66<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        6319 | PA      | $6587.03       | 0.00%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 912277 FN 03/37 FIXED 6                           | CUSIP: 31411NQ67<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       48144 | PA      | $49635.69      | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H06                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H06 FD              | CUSIP: 38376RSG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      353180 | PA      | $354818.06     | 0.00%             | 2065-07-20      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM9098 FN 10/51 FIXED VAR                         | CUSIP: 3140XDDC7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1869822 | PA      | $1646631.95    | 0.00%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ1069 FN 01/48 FIXED 4                           | CUSIP: 3140H2FK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        6318 | PA      | $6074.72       | 0.00%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE-ACES 2020-M33                                                         | FANNIEMAE ACES FNA 2020 M33 X2                              | CUSIP: 3136BBAR3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   192264004 | PA      | $11200781.77   | 0.02%             | 2031-01-25      | Variable      | 2.35%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 897984 FN 07/36 FIXED 6                           | CUSIP: 31410UUH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2213 | PA      | $2267.34       | 0.00%             | 2036-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2002-AR6                                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2002 AR6 A              | CUSIP: 929227QB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      103163 | PA      | $96973.60      | 0.00%             | 2042-06-25      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOUTH AFRICA EM SP BRC                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $64042.36      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-3                                                    | COUNTRYWIDE HOME LOANS CWHL 2006 3 3A2                      | CUSIP: 126694YR3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        6469 | PA      | $2561.21       | 0.00%             | 2036-02-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| NTT FINANCE CORPORATION                                                          | NTT FINANCE CORP SR UNSECURED 144A 07/37 4.091              | CUSIP: ACI2YN6B3<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |     4500000 | PA      | $5433908.98    | 0.01%             | 2037-07-16      | Fixed         | 4.09%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AY4702 FN 07/46 FIXED 4                           | CUSIP: 3138YJGL4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      524889 | PA      | $504930.00     | 0.00%             | 2046-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD SGD BOUGHT USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $32446.19      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2458 FN 11/45 FIXED 4                           | CUSIP: 31418BWU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2454972 | PA      | $2363401.78    | 0.01%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                                 | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 08/27 2.1               | CUSIP: 694308JF5<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    28879000 | PA      | $27766914.47   | 0.06%             | 2027-08-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB2758 FN 02/52 FIXED 3                           | CUSIP: 3140QNB43<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      743733 | PA      | $655347.70     | 0.00%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080329 G2 10/29 FLOATING VAR                   | CUSIP: 36225CLK0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       50920 | PA      | $50946.28      | 0.00%             | 2029-10-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AH6976 FN 11/25 FIXED 3.5                         | CUSIP: 3138A8XE1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1124 | PA      | $1120.53       | 0.00%             | 2025-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CSMC TRUST 2018-RPL4                                                             | CREDIT SUISSE MORTGAGE TRUST CSMC 2018 RPL4 PT 144A         | CUSIP: 12653MAM8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   151271425 | PA      | $140661610.53  | 0.31%             | 2058-04-25      | Variable      | 4.73%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2023-NQM1                                    | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2023 NQM1 A1A 144A       | CUSIP: 64831HAM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    14546224 | PA      | $14761541.36   | 0.03%             | 2063-10-25      | Fixed         | 6.86%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QD9327 FR 03/52 FIXED 3                   | CUSIP: 3133B7LG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      637355 | PA      | $561326.74     | 0.00%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BGC GROUP INC                                                                    | BGC GROUP INC SR UNSECURED 12/25 4.375                      | CUSIP: 088929AB0<br>LEI: 2549001IGRCG4F0RLD36 | Long             | DBT              | CORP              | US        |     4500000 | PA      | $4494606.30    | 0.01%             | 2025-12-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 11/45 3                                     | CUSIP: 912810RP5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    80700000 | PA      | $62514129.11   | 0.14%             | 2045-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 804701 FN 01/35 FLOATING VAR                      | CUSIP: 31406BAA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      289526 | PA      | $292864.12     | 0.00%             | 2035-01-01      | Floating      | 6.28%                 | No            |                  2 | On Loan: No      |
| RIPON MORTGAGES PLC 25-1A                                                        | RIPON MORTGAGES RIPON 2025 1A R 144A                        | CUSIP: ACI2V5FG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    10500000 | PA      | $10640607.22   | 0.02%             | 2056-08-28      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080756 G2 09/33 FLOATING VAR                   | CUSIP: 36225CZW9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1785 | PA      | $1798.51       | 0.00%             | 2033-09-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2006-E                                                   | FREMONT HOME LOAN TRUST FHLT 2006 E 2A1                     | CUSIP: 35729NAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       25115 | PA      | $11625.72      | 0.00%             | 2037-01-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-64CB                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 64CB 1A12         | CUSIP: 12668AZX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      624764 | PA      | $529588.10     | 0.00%             | 2035-12-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20251119                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $-995550.99    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CSMC TRUST 2018-RPL1                                                             | CREDIT SUISSE MORTGAGE TRUST CSMC 2018 RPL1 SA 144A         | CUSIP: 12653HAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      110394 | PA      | $107228.35     | 0.00%             | 2057-07-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 787239 FH 07/30 FLOATING VAR              | CUSIP: 31295LBG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       42895 | PA      | $43486.73      | 0.00%             | 2030-07-01      | Floating      | 6.54%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AD2470 FN 08/40 FIXED 5                           | CUSIP: 31418PW84<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       57464 | PA      | $58143.82      | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA1729 FN 11/28 FIXED 4                           | CUSIP: 31418A4P0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2616 | PA      | $2602.73       | 0.00%             | 2028-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                                 | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 02/31 2.5               | CUSIP: 694308JG3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    39700000 | PA      | $35385493.72   | 0.08%             | 2031-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES 2015-1 CLASS A PASS THROUGH TRUST                              | AMER AIRLN 15 1 A PTT PASS THRU CE 11/28 3.375              | CUSIP: 023770AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     7048228 | PA      | $6937385.11    | 0.02%             | 2028-11-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 889982 FN 11/38 FIXED VAR                         | CUSIP: 31410KXK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       96749 | PA      | $100446.96     | 0.00%             | 2038-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC TRUST 2006-A8                                              | RESIDENTIAL ASSET SECURITIZATI RAST 2006 A8 2A8             | CUSIP: 761119AN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1316739 | PA      | $365588.66     | 0.00%             | 2036-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-3305                                                                 | FREDDIE MAC FHR 3305 BF                                     | CUSIP: 31397GSV3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       64740 | PA      | $64184.41      | 0.00%             | 2034-07-15      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-141                                                       | FANNIE MAE FNR 2012 141 FA                                  | CUSIP: 3136AAAN5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      361706 | PA      | $354623.58     | 0.00%             | 2042-12-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                            | WELLS FARGO + COMPANY SR UNSECURED 09/29 VAR                | CUSIP: 95000U4A8<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    11100000 | PA      | $11066903.46   | 0.02%             | 2029-09-15      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA8345 G2 10/52 FIXED 3.5                      | CUSIP: 36179XHW9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    56000168 | PA      | $51261886.53   | 0.11%             | 2052-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FIRST NLC TRUST 2007-1                                                           | FIRST NLC TRUST FNLC 2007 1 A4 144A                         | CUSIP: 32115BAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2303034 | PA      | $1161452.26    | 0.00%             | 2037-08-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 745640 FN 06/36 FIXED VAR                         | CUSIP: 31403DLV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         486 | PA      | $512.74        | 0.00%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 897223 FN 08/36 FIXED 6                           | CUSIP: 31410TYU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3123 | PA      | $3189.88       | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 835817 FN 10/35 FIXED 6                           | CUSIP: 31407NSE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1042 | PA      | $1097.47       | 0.00%             | 2035-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 08/44 3.125                                 | CUSIP: 912810RH3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   140275000 | PA      | $112356986.95  | 0.25%             | 2044-08-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 900867 FN 01/37 FIXED 6                           | CUSIP: 31410XZ82<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       59266 | PA      | $60951.25      | 0.00%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB3364 FN 04/52 FIXED 3                           | CUSIP: 3140QNW24<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     8245587 | PA      | $7262606.18    | 0.02%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY HOME EQUITY LN 2006-3                                             | MORGAN STANLEY HOME EQUITY LOA MSHEL 2006 3 A3              | CUSIP: 61749GAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3872494 | PA      | $2710015.41    | 0.01%             | 2036-04-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD SGD BOUGHT USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $856912.01     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BA2815 FN 10/45 FIXED 4                           | CUSIP: 3140E7DV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       31577 | PA      | $30145.81      | 0.00%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2004-4                                                    | SEQUOIA MORTGAGE TRUST SEMT 2004 4 A                        | CUSIP: 81744FBF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       95684 | PA      | $90504.71      | 0.00%             | 2034-05-20      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| QUERCUS RE DESIGNATED ACTIVITY COMPANY                                           | QUERCUS RE DESIGNATED ACTIVITY 07/27 1                      | CUSIP: ACI2Q34M4<br>LEI: 635400YNKWICCYBDBC76 | Long             | DBT              | CORP              | IE        |      300000 | PA      | $357692.15     | 0.00%             | 2027-07-08      | Floating      | 10.02%                | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RATE MTGES TRU 2004-10                                          | MASTR ADJUSTABLE RATE MORTGAGE MARM 2004 10 1A1             | CUSIP: 576433SU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      341812 | PA      | $333950.64     | 0.00%             | 2034-10-25      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FS3643 FN 11/52 FIXED VAR                         | CUSIP: 3140XKBM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      403584 | PA      | $408841.15     | 0.00%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM3075 FN 11/39 FIXED VAR                         | CUSIP: 3140X6MZ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        8440 | PA      | $8108.55       | 0.00%             | 2039-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BAYER US FINANCE II LLC                                                          | BAYER US FINANCE II LLC COMPANY GUAR 144A 12/28 4.375       | CUSIP: 07274NAL7<br>LEI: 529900XWNEXYNJ3X6T40 | Long             | DBT              | CORP              | US        |    29900000 | PA      | $29799634.67   | 0.07%             | 2028-12-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II TBA 30 YR 4.5 JUMBOS                                | CUSIP: 21H0426B0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   350000000 | PA      | $339278551.50  | 0.75%             | 2055-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QH7815 FR 01/54 FIXED 6.5                 | CUSIP: 3133CLVG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      666751 | PA      | $695988.67     | 0.00%             | 2054-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL A71283 FG 01/38 FIXED 6.5                 | CUSIP: 3128L4M84<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2668 | PA      | $2790.84       | 0.00%             | 2038-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20251205                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $-108651.55    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 444538 FN 09/28 FIXED 6                           | CUSIP: 31380MZB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       63779 | PA      | $65679.13      | 0.00%             | 2028-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3602 FN 02/39 FIXED 3.5                         | CUSIP: 31418DAC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      534941 | PA      | $514906.03     | 0.00%             | 2039-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20251006                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $2190.06       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 252334 FN 02/29 FIXED 6.5                         | CUSIP: 31371HHK7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         562 | PA      | $574.56        | 0.00%             | 2029-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2025-18                                                        | FANNIE MAE FNR 2025 18 FM                                   | CUSIP: 3136BVKH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    23218350 | PA      | $23250688.58   | 0.05%             | 2054-09-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 6.5 SINGLE FAMILY MORTGAGE                   | CUSIP: 01F0626B2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   253192000 | PA      | $261832397.28  | 0.58%             | 2054-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AH5613 FN 02/26 FIXED 3.5                         | CUSIP: 3138A7GX0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3275 | PA      | $3260.26       | 0.00%             | 2026-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                           | CS AT1 CLAIMS US225401AJ72 CREDIT SUISSE GROUP AG           | CUSIP: 952NPG006<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | US        |     4400000 | PA      | $572000.00     | 0.00%             | 2060-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 900870 FN 01/37 FIXED 6                           | CUSIP: 31410X2B1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       22274 | PA      | $22753.96      | 0.00%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COMM MORTGAGE TRUST 2016-787S                                                    | COMM MORTGAGE TRUST COMM 2016 787S A 144A                   | CUSIP: 12635WAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    32000000 | PA      | $31671756.80   | 0.07%             | 2036-02-10      | Fixed         | 3.54%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX7283 FN 05/53 FIXED 6                           | CUSIP: 3140NCCV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1345966 | PA      | $1379394.14    | 0.00%             | 2053-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL BN3897 GN 06/49 FIXED 4                           | CUSIP: 3617K7KJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       44956 | PA      | $42619.76      | 0.00%             | 2049-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 907352 FN 04/37 FIXED 6                           | CUSIP: 31411GBV3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       13368 | PA      | $13664.72      | 0.00%             | 2037-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-3                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2007 3 XA1              | CUSIP: 059515BE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      655193 | PA      | $634433.97     | 0.00%             | 2034-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 1999-W4                                                     | FANNIEMAE WHOLE LOAN FNW 1999 W4 A9                         | CUSIP: 31359VA94<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       37792 | PA      | $38299.80      | 0.00%             | 2029-02-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| TORREY PINES RE LTD                                                              | TORREY PINES RE LTD SR UNSECURED 144A 06/31 VAR             | CUSIP: 89141WAK8<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      700000 | PA      | $714420.00     | 0.00%             | 2031-06-05      | Floating      | 12.94%                | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 725704 FN 08/34 FIXED VAR                         | CUSIP: 31402DGM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2364 | PA      | $2460.70       | 0.00%             | 2034-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2004-7                                             | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 7 1A1             | CUSIP: 07384MX98<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        5491 | PA      | $4271.10       | 0.00%             | 2034-10-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL A74236 FG 03/38 FIXED 7                   | CUSIP: 3128L7V53<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3467 | PA      | $3688.75       | 0.00%             | 2038-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| CREDIT OPPORTUNITIES PARTNERS JV LLC                                             | CREDIT OPPORTUNITIES PARTNERS 2025A SR UNSECD NT TRANCHE A  | CUSIP: 955SEWII1<br>LEI: 5493003CSKFS2RY0JR63 | Long             | DBT              | CORP              | US        |     9900000 | PA      | $10025995.82   | 0.02%             | 2028-03-20      | Fixed         | 6.52%                 | Yes           |                  3 | On Loan: No      |
| N/A                                                                              | BOUGHT HUF SOLD USD 20251217                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HU        |           1 | NC      | $-2209.98      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2010-2                                         | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2010 2 7A2A 144A        | CUSIP: 17316HBT1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1193652 | PA      | $1058749.66    | 0.00%             | 2035-08-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL CM8594 G2 12/46 FIXED 3                        | CUSIP: 3617YURP1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3412593 | PA      | $3043803.59    | 0.01%             | 2046-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2005-QA9                                          | RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QA9 NB21           | CUSIP: 761118FJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1247268 | PA      | $434077.23     | 0.00%             | 2035-08-25      | Floating      | 4.10%                 | No            |                  2 | On Loan: No      |
| BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2024-LB1                              | BANC OF AMERICA MERRILL LYNCH 05/56 1                       | CUSIP: 05494AAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6190000 | PA      | $5569804.71    | 0.01%             | 2056-05-25      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| KIRKBY RMBS PLC 1A                                                               | KIRKBY RMBS KIRK 1A B 144A                                  | CUSIP: ACI12K022<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    29232000 | PA      | $38336092.23   | 0.08%             | 2045-02-22      | Floating      | 6.10%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL BQ8595 GN 12/49 FIXED 3                           | CUSIP: 3617LTRQ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      129030 | PA      | $115551.51     | 0.00%             | 2049-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 867653 FN 05/36 FIXED 6                           | CUSIP: 31409C5N1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2690 | PA      | $2786.89       | 0.00%             | 2036-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AE9188 FN 11/40 FIXED 4                           | CUSIP: 31419LF65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2793 | PA      | $2746.72       | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT PEN SOLD USD 20251003                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $80016.78      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CROWN CASTLE INTERNATIONAL CORP (CCI)                                            | CROWN CASTLE INC SR UNSECURED 03/27 2.9                     | CUSIP: 22822VAZ4<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |      500000 | PA      | $490572.25     | 0.00%             | 2027-03-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALT LOAN TRUST 2004-14T2                                             | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2004 14T2 A13          | CUSIP: 12667FMZ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        6717 | PA      | $6608.15       | 0.00%             | 2034-08-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 890566 FN 12/43 FIXED VAR                         | CUSIP: 31410LMP4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      159428 | PA      | $146500.32     | 0.00%             | 2043-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD THB BOUGHT USD 20251020                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $6532.72       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MTGE SEC CORP 2002-34                                            | CREDIT SUISSE FIRST BOSTON MOR CSFB 2002 34 1A1             | CUSIP: 2254W0BZ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         650 | PA      | $667.50        | 0.00%             | 2032-12-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON MTGE PASS-THRU TR 2005-AR3                                         | FIRST HORIZON MORTGAGE PASS TH FHASI 2005 AR3 2A1           | CUSIP: 32051GQL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      349703 | PA      | $234342.07     | 0.00%             | 2035-08-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| COMMONBOND STUDENT LOAN TRUST 2017-AGS                                           | COMMONBOND STUDENT LOAN TRUST CBSLT 2017 AGS A1 144A        | CUSIP: 20267VAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      997024 | PA      | $955561.45     | 0.00%             | 2041-05-25      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL BT9029 GN 03/50 FIXED 4                           | CUSIP: 3617MYA66<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      846059 | PA      | $802086.28     | 0.00%             | 2050-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL D97410 FG 09/27 FIXED 6                   | CUSIP: 3128E4GT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        8824 | PA      | $9022.15       | 0.00%             | 2027-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| THORNBURG MORTGAGE SECURITIES TR 2006-5                                          | THORNBURG MORTGAGE SECURITIES TMST 2006 5 A1                | CUSIP: 88522RAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    17308095 | PA      | $16459794.32   | 0.04%             | 2046-10-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 915184 FN 03/37 FIXED 6                           | CUSIP: 31411UXM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       36005 | PA      | $37301.02      | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 959879 FN 11/37 FIXED 5.5                         | CUSIP: 31413Y2L4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      250232 | PA      | $258609.62     | 0.00%             | 2037-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA ALT LOAN TRUST 2005-10                                           | BANC OF AMERICA ALTERNATIVE LO BOAA 2005 10 2CB1            | CUSIP: 05948KR84<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      195309 | PA      | $172202.35     | 0.00%             | 2035-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD EUR BOUGHT USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $255797.54     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AO6757 FN 06/42 FIXED 4                           | CUSIP: 3138LXQK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       46873 | PA      | $45866.88      | 0.00%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC5973 FN 04/46 FIXED 4                           | CUSIP: 3140F1T77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       61454 | PA      | $59046.05      | 0.00%             | 2046-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2021-LTV4                                               | JP MORGAN MORTGAGE TRUST JPMMT 2021 INV4 A2 144A            | CUSIP: 46654DAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4422796 | PA      | $3829947.73    | 0.01%             | 2052-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                                    | FORD MOTOR CREDIT CO LLC SR UNSECURED 02/26 2.386           | CUSIP: 345397ZT3<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     4575000 | PA      | $5373860.00    | 0.01%             | 2026-02-17      | Fixed         | 2.39%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 31750R9M1 PIMCO FXVAN PUT EUR USD 1.12200000                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | LU        |     4722000 | NC      | $9047.59       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AD0649 FN 08/38 FIXED VAR                         | CUSIP: 31418MWK4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      171338 | PA      | $178363.80     | 0.00%             | 2038-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317UABDA1 PIMCO SWAPTION 3.506 CALL USD 202510              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -87900000 | NC      | $-27292.95     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CANADIAN IMPERIAL BANK OF COMMERCE (CIBC)                                        | CANADIAN IMPERIAL BANK SR UNSECURED 09/28 VAR               | CUSIP: 13607QFD9<br>LEI: 2IGI19DL77OX0HC3ZE78 | Long             | DBT              | CORP              | CA        |     6100000 | PA      | $6113213.27    | 0.01%             | 2028-09-08      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG/NEW YORK BRANCH                                                 | DEUTSCHE BANK NY 09/31 VAR                                  | CUSIP: 251526CD9<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    49700000 | PA      | $47125344.18   | 0.10%             | 2031-09-18      | Floating      | 3.55%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 732218 FN 06/43 FLOATING VAR                      | CUSIP: 31402LPB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      653393 | PA      | $660344.51     | 0.00%             | 2043-06-01      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SEC 2005-G                                                  | BANC OF AMERICA MORTGAGE SECUR BOAMS 2005 G 2A4             | CUSIP: 05949CEG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      893707 | PA      | $853486.15     | 0.00%             | 2035-08-25      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-H07                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 H07 FG              | CUSIP: 38376RY26<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1613778 | PA      | $1613611.18    | 0.00%             | 2067-02-20      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2003-48                                                   | COUNTRYWIDE HOME LOANS CWHL 2003 48 2A2                     | CUSIP: 12669EU95<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      394114 | PA      | $203287.01     | 0.00%             | 2033-10-25      | Floating      | 6.31%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-SD1                              | BEAR STEARNS ASSET BACKED SECU BSABS 2007 SD1 22A1          | CUSIP: 07389QAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      575680 | PA      | $249744.20     | 0.00%             | 2036-10-25      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| VIRGINIA POWER FUEL SECURITIZATION LLC                                           | VIRGINIA POWER FUEL SEC SR SECURED 05/33 4.877              | CUSIP: 92808VAB8<br>LEI: 254900BELJ95ONW6U791 | Long             | DBT              | CORP              | US        |    19800000 | PA      | $20272280.49   | 0.04%             | 2033-05-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 848099 FN 10/35 FIXED 6                           | CUSIP: 31408DGG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        8249 | PA      | $8426.81       | 0.00%             | 2035-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2006-B                                                   | FREMONT HOME LOAN TRUST FHLT 2006 B 2A2                     | CUSIP: 35729QAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      334046 | PA      | $104309.63     | 0.00%             | 2036-08-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2007-22                                       | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 22 2A16           | CUSIP: 02151BBG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1388448 | PA      | $487899.25     | 0.00%             | 2037-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 253348 FN 06/30 FIXED 8.5                         | CUSIP: 31371JL51<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         170 | PA      | $175.30        | 0.00%             | 2030-06-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 821936 FN 06/35 FIXED 6                           | CUSIP: 31406WEH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       33187 | PA      | $33906.61      | 0.00%             | 2035-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZK2981 FR 02/26 FIXED 3.5                 | CUSIP: 3131X6J27<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4704 | PA      | $4686.55       | 0.00%             | 2026-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-2                                                  | BEAR STEARNS ALT A TRUST BALTA 2006 2 23A1                  | CUSIP: 07386HF71<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2898642 | PA      | $2363520.28    | 0.01%             | 2036-03-25      | Floating      | 4.06%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE LN TR-2006-8AR                                           | MORGAN STANLEY MORTGAGE LOAN T MSM 2006 8AR 3A              | CUSIP: 61749LAH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7518740 | PA      | $5415974.81    | 0.01%             | 2036-06-25      | Floating      | 4.26%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL C91149 FG 01/28 FIXED 6                   | CUSIP: 3128P7H22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         317 | PA      | $324.17        | 0.00%             | 2028-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM9793 FN 03/32 FIXED VAR                         | CUSIP: 3140XD3B0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       44565 | PA      | $44220.21      | 0.00%             | 2032-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| DUTCH MORTGAGE FINANCE BV 2024-1                                                 | DUTCH MORTGAGE FINANCE DMFI 2024 1A A 144A                  | CUSIP: ACI2Q4KY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | NL        |    83971258 | PA      | $98830168.19   | 0.22%             | 2067-08-22      | Floating      | 2.78%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AJ7807 FN 12/26 FIXED 3.5                         | CUSIP: 3138E0U98<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3722 | PA      | $3696.33       | 0.00%             | 2026-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CHILEAN GOVT LA SP BPS                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $357730.98     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 190370 FN 06/36 FIXED VAR                         | CUSIP: 31368HMT7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       34926 | PA      | $36822.62      | 0.00%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| DATABRICKS INC                                                                   | DATABRICKS INC LAST OUT TERM LOAN                           | CUSIP: BA000D206<br>LEI: 984500FEDAC7FBD96273 | Long             | LON              | CORP              | US        |    20300684 | PA      | $20655946.29   | 0.05%             | 2031-01-03      | Floating      | 8.72%                 | No            |                  3 | On Loan: No      |
| RNHB BV                                                                          | RNHB B.V. GALIBIER DPFCMBS                                  | CUSIP: ACI2QBKW6<br>LEI: 724500YGUK3ZCLGPE353 | Long             | DBT              | CORP              | NL        |       82786 | PA      | $84992.91      | 0.00%             | 2027-10-28      | Variable      | 0.00%                 | No            |                  3 | On Loan: No      |
| GOVERNMENT NATL MTGE ASSOC 2010-H02                                              | GOVERNMENT NATIONAL MORTGAGE A GNR 2010 H02 FA              | CUSIP: 38375BAM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      115669 | PA      | $116007.83     | 0.00%             | 2060-02-20      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| COOPERATIEVE RABOBANK UA (AKA: RABOBANK NEDERLAND)                               | COOPERATIEVE RABOBANK UA COOPERATIEVE RABOBANK UA           | CUSIP: 74977RDT8<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |    10850000 | PA      | $11240788.25   | 0.02%             | 2030-03-05      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QI4073 FR 04/54 FIXED 5.5                 | CUSIP: 3133WAQ27<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     8381825 | PA      | $8468752.05    | 0.02%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20251020                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $587818.18     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA7768 G2 12/51 FIXED 3                        | CUSIP: 36179WTZ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2340472 | PA      | $2094647.30    | 0.00%             | 2051-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                                 | PACIFIC GAS + ELECTRIC SR SECURED 06/31 3.25                | CUSIP: 694308JT5<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    18660000 | PA      | $17168713.14   | 0.04%             | 2031-06-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 824337 FN 07/35 FIXED 6                           | CUSIP: 31406YZA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       23324 | PA      | $23827.31      | 0.00%             | 2035-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RAAC SERIES 2007-RP4                                                             | RAAC SERIES RAAC 2007 RP4 A 144A                            | CUSIP: 74919LAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5049990 | PA      | $4691831.49    | 0.01%             | 2046-11-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 002118 G2 11/25 FIXED 7.5                      | CUSIP: 36202CK77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          27 | PA      | $27.29         | 0.00%             | 2025-11-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC6000 FN 05/46 FIXED 4                           | CUSIP: 3140F1U26<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       55338 | PA      | $53178.22      | 0.00%             | 2046-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FS0630 FN 02/52 FIXED VAR                         | CUSIP: 3140XFVY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       37127 | PA      | $33012.08      | 0.00%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080109 G2 08/27 FLOATING VAR                   | CUSIP: 36225CDP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       30348 | PA      | $30499.01      | 0.00%             | 2027-08-20      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 800158 FN 11/34 FLOATING VAR                      | CUSIP: 31405U5T2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2091 | PA      | $2130.38       | 0.00%             | 2034-11-01      | Floating      | 6.32%                 | No            |                  2 | On Loan: No      |
| SAXON ASSET SECURITIES TRUST 2006-3                                              | SAXON ASSET SECURITIES TRUST SAST 2006 3 A3                 | CUSIP: 80556AAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2459907 | PA      | $2422265.38    | 0.01%             | 2046-10-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL    | CHARTER COMM OPT LLC/CAP SR SECURED 04/33 4.4               | CUSIP: 161175CJ1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1850000 | PA      | $1755349.12    | 0.00%             | 2033-04-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.7091* 03/01/24-9Y* LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-3255326.19   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 11/50 1.625                                 | CUSIP: 912810SS8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    83160000 | PA      | $44643276.77   | 0.10%             | 2050-11-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 008709 G2 10/25 FLOATING VAR                   | CUSIP: 36202KVA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |           7 | PA      | $7.38          | 0.00%             | 2025-10-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY4760 FN 07/53 FIXED 5.5                         | CUSIP: 3140NMJE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      933316 | PA      | $945800.81     | 0.00%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 004239 G2 09/38 FIXED 6                        | CUSIP: 36202EV89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         137 | PA      | $139.22        | 0.00%             | 2038-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 725975 FN 09/34 FLOATING VAR                      | CUSIP: 31402DQ45<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      545773 | PA      | $558131.50     | 0.00%             | 2034-09-01      | Floating      | 6.34%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP OF AMERICA FINANCE LLC                                          | VOLKSWAGEN GROUP AMERICA COMPANY GUAR 144A 11/28 6.2        | CUSIP: 928668CB6<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |    13950000 | PA      | $14615733.48   | 0.03%             | 2028-11-16      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3204                                                                 | FREDDIE MAC FHR 3204 ZM                                     | CUSIP: 31397AL50<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      348626 | PA      | $357376.06     | 0.00%             | 2034-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | AT&T INC SNR S* ICE                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $26232.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AW7402 FN 01/27 FIXED 3.5                         | CUSIP: 3138XXGL4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2172 | PA      | $2150.50       | 0.00%             | 2027-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR8                                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR8 2A1            | CUSIP: 93362FAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       62947 | PA      | $58614.41      | 0.00%             | 2036-08-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 550153 GN 07/31 FIXED 7                           | CUSIP: 36213CE22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2905 | PA      | $2987.66       | 0.00%             | 2031-07-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZK6914 FR 04/29 FIXED 3.5                 | CUSIP: 3131XAVF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       15119 | PA      | $15010.86      | 0.00%             | 2029-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | TRS SOFRINDX/IBXXLLTR 12/22/25 MYC                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $37271.34      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB9809 FN 07/43 FIXED 3                           | CUSIP: 31417G3T1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      388486 | PA      | $357147.24     | 0.00%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NELNET STUDENT LOAN TRUST 2023-AA                                                | NELNET STUDENT LOAN TRUST NSLT 2023 AA AFL 144A             | CUSIP: 64032PAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     4067690 | PA      | $4157442.34    | 0.01%             | 2041-02-20      | Floating      | 6.59%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT KWD SOLD USD 20260521                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $4467.86       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | US 5YR NOTE (CBT) DEC25 XCBT 20251231                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       74144 | NC      | $14521667.03   | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 866057 FN 03/36 FIXED 6                           | CUSIP: 31409BE60<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         669 | PA      | $705.04        | 0.00%             | 2036-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2178                                                                 | FREDDIE MAC FHR 2178 PB                                     | CUSIP: 3133TLUH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1777 | PA      | $1824.11       | 0.00%             | 2029-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD EUR BOUGHT USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-81345.90     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA7937 G2 03/52 FIXED 3                        | CUSIP: 36179WZA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    57560689 | PA      | $51441002.51   | 0.11%             | 2052-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM1031 FN 02/49 FIXED VAR                         | CUSIP: 3140X4ED4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       88023 | PA      | $92520.59      | 0.00%             | 2049-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZT1732 FR 02/34 FIXED 3.5                 | CUSIP: 3132AD4R6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      210301 | PA      | $207390.92     | 0.00%             | 2034-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.57226 03/01/24-7Y* LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-6036.15      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2003-J3                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2003 J3 2A1            | CUSIP: 12669FFD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        9058 | PA      | $9692.03       | 0.00%             | 2033-12-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| CHASE MORGAGE FINANCE CORP 2005-A2                                               | CHASE MORTGAGE FINANCE CORPORA CHASE 2005 A2 3A4            | CUSIP: 16162WQL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2424629 | PA      | $2184826.49    | 0.00%             | 2036-01-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20251017                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-276556.74    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2005-E                                                   | FREMONT HOME LOAN TRUST FHLT 2005 E 2A4                     | CUSIP: 35729PNC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5308982 | PA      | $5144534.80    | 0.01%             | 2036-01-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QG5126 FR 06/53 FIXED 5.5                 | CUSIP: 3133C5VT5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3307976 | PA      | $3350120.61    | 0.01%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GMAC MORTGAGE CORP LOAN TRUST 2005-AR2                                           | GMAC MORTGAGE CORPORATION LOAN GMACM 2005 AR2 4A            | CUSIP: 36185N6Q8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      358252 | PA      | $320838.92     | 0.00%             | 2035-05-25      | Floating      | 4.02%                 | No            |                  2 | On Loan: No      |
| BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2024-LB1                              | BANC OF AMERICA MERRILL LYNCH BAMLL 2024 LB1 FE 144A        | CUSIP: 05494AAL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6601514 | PA      | $3063159.93    | 0.01%             | 2056-05-25      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317UAFCA3 PIMCO SWAPTION 3.675 PUT USD 2025101              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -85600000 | NC      | $-336425.12    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AU4279 FN 09/43 FIXED 3                           | CUSIP: 3138X3XH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       24612 | PA      | $22632.16      | 0.00%             | 2043-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 543467 GN 12/30 FIXED 7.5                         | CUSIP: 36212TW42<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         137 | PA      | $136.86        | 0.00%             | 2030-12-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20251119                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-6055.36      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SBA TOWER TRUST                                                                  | SBA TOWER TRUST ASSET BACKED 144A 07/52 2.328               | CUSIP: 78403DAR1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    12200000 | PA      | $11598723.00   | 0.03%             | 2052-07-15      | Fixed         | 2.33%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QE1248 FR 05/52 FIXED 4                   | CUSIP: 3133BAL58<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      878935 | PA      | $829959.55     | 0.00%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2018-32                                                        | FANNIE MAE FNR 2018 32 F                                    | CUSIP: 3136B1A53<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    11388229 | PA      | $11053562.87   | 0.02%             | 2048-05-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD AUD BOUGHT USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |           1 | NC      | $-5106535.46   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK NA                                                           | MORGAN STANLEY BANK NA SR UNSECURED 01/29 VAR               | CUSIP: 61690DK64<br>LEI: G1MLHIS0N32I3QPILB75 | Long             | DBT              | CORP              | US        |    16000000 | PA      | $16094644.00   | 0.04%             | 2029-01-12      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| NOMURA HOME EQUITY LOAN INC 2006-AF1                                             | NOMURA HOME EQUITY LOAN INC NHELI 2006 AF1 A4               | CUSIP: 65535AAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    19949762 | PA      | $3618238.42    | 0.01%             | 2036-10-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                     | ROMANIA UNSECURED 144A 02/27 3                              | CUSIP: 77586RAK6<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     5240000 | PA      | $5119073.01    | 0.01%             | 2027-02-27      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 890530 FN 02/41 FIXED VAR                         | CUSIP: 31410LLK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5048 | PA      | $5289.62       | 0.00%             | 2041-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 1997-43                                                               | FANNIE MAE FNR 1997 43 ZC                                   | CUSIP: 31359P2N5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        7111 | PA      | $7127.62       | 0.00%             | 2026-12-18      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL BP6229 GN 11/49 FIXED 3                           | CUSIP: 3617LC4N5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2142984 | PA      | $1919158.04    | 0.00%             | 2049-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 904674 FN 12/36 FIXED 6                           | CUSIP: 31411DCK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        7494 | PA      | $7653.45       | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WEST STREET GLOBAL GROWTH PARTNERS LP                                            | PROJECT HUDSON II FIXED TERM LOAN                           | CUSIP: BA0004RR0<br>LEI: 549300VKOBL0QVVJAP44 | Long             | ABS-MBS          | CORP              | US        |    26500000 | PA      | $26834661.08   | 0.06%             | 2026-05-29      | Fixed         | 7.73%                 | No            |                  3 | On Loan: No      |
| COMM MORTGAGE TRUST 2019-GC44                                                    | COMM MORTGAGE TRUST COMM 2019 GC44 A5                       | CUSIP: 12655TBM0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7700000 | PA      | $7281644.37    | 0.02%             | 2057-08-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST                        | AERCAP IRELAND CAP/GLOBA COMPANY GUAR 10/28 3               | CUSIP: 00774MAW5<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |      643000 | PA      | $619849.21     | 0.00%             | 2028-10-29      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20251202                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $37256.64      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OBX 2023-NQM1 TRUST                                                              | ONSLOW BAY FINANCIAL LLC OBX 2023 NQM1 A1 144A              | CUSIP: 670855AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    14346458 | PA      | $14339855.41   | 0.03%             | 2062-11-25      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| INTEGRITY RE III LTD                                                             | INTEGRITY RE III UNSECURED 144A 06/27 VAR                   | CUSIP: 45870GAC0<br>LEI: 254900VWHVNG2WMBWC74 | Long             | DBT              | CORP              | BM        |      250000 | PA      | $263300.00     | 0.00%             | 2027-06-06      | Floating      | 13.71%                | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 870713 FN 08/36 FIXED 6                           | CUSIP: 31409GK21<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        9368 | PA      | $9692.85       | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20251110                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $150049.83     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H15                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 H15 FC              | CUSIP: 38376RDB9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1489171 | PA      | $1489005.87    | 0.00%             | 2065-06-20      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                                                           | STANDARD CHARTERED PLC SR UNSECURED 144A 01/29 6.301        | CUSIP: 853254CS7<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |    16000000 | PA      | $16649605.92   | 0.04%             | 2029-01-09      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2010-124                                                       | FANNIE MAE FNR 2010 124 JZ                                  | CUSIP: 31398N4D3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    24263553 | PA      | $23956638.46   | 0.05%             | 2040-11-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H08                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H08 GF              | CUSIP: 38382Y3J0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    75144121 | PA      | $75585728.10   | 0.17%             | 2073-03-20      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INTERNATIONAL CORP (CCI)                                            | CROWN CASTLE INC SR UNSECURED 06/26 3.7                     | CUSIP: 22822VAC5<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |      600000 | PA      | $597647.33     | 0.00%             | 2026-06-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AT5993 FN 05/43 FIXED 3                           | CUSIP: 3138WTUT1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      414755 | PA      | $378911.96     | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| RIPON MORTGAGES PLC 25-1A                                                        | RIPON MORTGAGES RIPON 2025 1A F 144A                        | CUSIP: ACI2V59C0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     5460000 | PA      | $7316749.54    | 0.02%             | 2056-08-28      | Floating      | 7.98%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                     | BARCLAYS PLC BARCLAYS PLC                                   | CUSIP: 06738ECT0<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    20600000 | PA      | $20815270.00   | 0.05%             | 2028-09-10      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD KRW BOUGHT USD 20251020                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $82452.71      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080968 G2 07/34 FLOATING VAR                   | CUSIP: 36225DCE2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       12295 | PA      | $12491.97      | 0.00%             | 2034-07-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.73910 03/01/24-7Y* LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-1049242.29   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LEHMAN MORTGAGE TRUST 2006-2                                                     | LEHMAN MORTGAGE TRUST LMT 2006 2 1A1                        | CUSIP: 52520MGG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      496176 | PA      | $308466.55     | 0.00%             | 2036-04-25      | Variable      | 5.74%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL C55998 FG 10/29 FIXED 6.5                 | CUSIP: 31298SUX0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3051 | PA      | $3181.24       | 0.00%             | 2029-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BETH ISRAEL LAHEY HEALTH INC                                                     | BETH ISRAEL LAHEY HEALTH SECURED 07/51 3.08                 | CUSIP: 08661UAB2<br>LEI: 549300QPZ5W3279DU141 | Long             | DBT              | CORP              | US        |     7000000 | PA      | $4609285.66    | 0.01%             | 2051-07-01      | Fixed         | 3.08%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE4020 FN 12/46 FIXED 4                           | CUSIP: 3140FPPE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       85665 | PA      | $82074.41      | 0.00%             | 2046-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GA GLOBAL FUNDING TRUST                                                          | GA GLOBAL FUNDING TRUST SECURED 144A 01/26 1.625            | CUSIP: 36143L2A2<br>LEI: 54930029I8ROQ4OROZ88 | Long             | DBT              | CORP              | US        |     8200000 | PA      | $8134583.76    | 0.02%             | 2026-01-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-33                                                               | FANNIE MAE FNR 2007 33 HF                                   | CUSIP: 31396VGA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       73582 | PA      | $72923.14      | 0.00%             | 2037-04-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| ROMARK CLO LTD 2017-1A                                                           | ROMARK CLO LTD RMRK 2017 1A A1R 144A                        | CUSIP: 77587UAL6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     6984752 | PA      | $6988650.33    | 0.02%             | 2030-10-23      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2024-B                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2024 B A1B 144A          | CUSIP: 78450CAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    11487257 | PA      | $11508732.36   | 0.03%             | 2052-03-15      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 002785 G2 07/29 FIXED 8                        | CUSIP: 36202DCW9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         250 | PA      | $251.17        | 0.00%             | 2029-07-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| SPECIALTY UNDERWRITING & RESID 2006-AB1                                          | SPECIALTY UNDERWRITING + RESID SURF 2006 AB1 A4             | CUSIP: 84751PKW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      942906 | PA      | $934796.95     | 0.00%             | 2036-12-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                          | HCA INC COMPANY GUAR 06/28 5.2                              | CUSIP: 404119CP2<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    13020000 | PA      | $13336672.57   | 0.03%             | 2028-06-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8307 FR 03/53 FIXED 5                   | CUSIP: 3132DWGQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3158612 | PA      | $3148991.28    | 0.01%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 886495 FN 08/36 FIXED 6                           | CUSIP: 31410D3C2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        8009 | PA      | $8346.23       | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 896542 FN 09/36 FIXED 6                           | CUSIP: 31410TBK0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       10867 | PA      | $11422.21      | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BO1350 FN 08/49 FIXED 4                           | CUSIP: 3140JVQC9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2091625 | PA      | $2005937.61    | 0.00%             | 2049-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | GENERAL MOTORS COMPANY SNR S* ICE                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $800985.42     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 889959 FN 05/36 FIXED VAR                         | CUSIP: 31410KWU4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       14632 | PA      | $15426.15      | 0.00%             | 2036-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 889452 FN 05/38 FIXED VAR                         | CUSIP: 31410KEZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       72377 | PA      | $74995.73      | 0.00%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 591475 FN 08/31 FIXED 8.5                         | CUSIP: 31387RCL0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       15818 | PA      | $15844.11      | 0.00%             | 2031-08-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT PEN SOLD USD 20251010                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $172432.62     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AX9215 FN 12/29 FIXED 3.5                         | CUSIP: 3138YBGZ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      194448 | PA      | $192125.43     | 0.00%             | 2029-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZK3101 FR 03/26 FIXED 3.5                 | CUSIP: 3131X6NS5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       26742 | PA      | $26608.97      | 0.00%             | 2026-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2023-5A                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2023 5A E 144A          | CUSIP: 21056EAK4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     3480741 | PA      | $3537318.04    | 0.01%             | 2053-11-25      | Fixed         | 9.35%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-MFM1                                           | BX TRUST BX 2021 MFM1 A 144A                                | CUSIP: 05608VAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      363939 | PA      | $363849.48     | 0.00%             | 2034-01-15      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                                                          | HYUNDAI CAPITAL AMERICA SR UNSECURED 144A 03/27 VAR         | CUSIP: 44891ADS3<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    30000000 | PA      | $30131851.20   | 0.07%             | 2027-03-25      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20251017                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-120700.59    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LEHMAN ABS MTGE LN TR 2007-1                                                     | LEHMAN ABS MORTGAGE LOAN TRUST LABSM 2007 1 2A1 144A        | CUSIP: 52521MAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4317724 | PA      | $2879932.94    | 0.01%             | 2037-06-25      | Floating      | 4.36%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2012-H08                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2012 H08 FC              | CUSIP: 38375BQS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      123814 | PA      | $123984.16     | 0.00%             | 2062-04-20      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-HE10                             | BEAR STEARNS ASSET BACKED SECU BSABS 2006 HE10 21A2         | CUSIP: 07389RAP1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1787890 | PA      | $1758002.88    | 0.00%             | 2036-12-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| SG MORTGAGE SECURITIES TRUST 2006-OPT2                                           | SG MORTGAGE SECURITIES TRUST SGMS 2006 OPT2 A3C             | CUSIP: 78420MAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7927242 | PA      | $7499909.96    | 0.02%             | 2036-10-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| CSMC TRUST 2018-RPL1                                                             | CREDIT SUISSE MORTGAGE TRUST CSMC 2018 RPL1 A2 144A         | CUSIP: 12653HAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   201521554 | PA      | $182987193.50  | 0.40%             | 2057-07-25      | Variable      | 2.68%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CZK SOLD USD 20251217                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CZ        |           1 | NC      | $-1944.60      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TRUIST INSURANCE HOLDINGS LLC / PANTHER CO-ISSUER INC                            | PANTHER ESCROW ISSUER PANTHER ESCROW ISSUER                 | CUSIP: 69867RAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    19900000 | PA      | $20712278.20   | 0.05%             | 2031-06-01      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 745327 FN 03/36 FIXED VAR                         | CUSIP: 31403DA41<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2217 | PA      | $2337.49       | 0.00%             | 2036-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                   | MORGAN STANLEY SR UNSECURED 03/30 VAR                       | CUSIP: ACI2NCY77<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     2900000 | PA      | $3500816.93    | 0.01%             | 2030-03-21      | Floating      | 3.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20251215                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $285753.10     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD SGD BOUGHT USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $38184.92      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL AL2186 GN 02/45 FIXED 3.5                         | CUSIP: 36183XNB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      202670 | PA      | $189564.67     | 0.00%             | 2045-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT MXN SOLD USD 20251217                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $19811.53      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 866066 FN 03/36 FLOATING VAR                      | CUSIP: 31409BFF9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       60992 | PA      | $62148.82      | 0.00%             | 2036-03-01      | Floating      | 6.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD3292 FN 09/46 FIXED 4                           | CUSIP: 3140FAUS9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      153043 | PA      | $147214.16     | 0.00%             | 2046-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | COLOMBIA LA SP GST                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $-5772.74      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BV3336 FN 02/52 FIXED 3                           | CUSIP: 3140MGV65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       91912 | PA      | $81510.02      | 0.00%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2007-2                                                    | SEQUOIA MORTGAGE TRUST SEMT 2007 2 1A1                      | CUSIP: 81744LAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      247681 | PA      | $230827.79     | 0.00%             | 2036-06-20      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 535148 FN 02/30 FIXED VAR                         | CUSIP: 31384VP97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        7130 | PA      | $7413.48       | 0.00%             | 2030-02-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| DALLAS FORT WORTH INTERNATIONAL AIRPORT                                          | DALLAS FORT WORTH TX INTERNATI DALAPT 11/29 FIXED 2.046     | CUSIP: 2350366R6<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     1400000 | PA      | $1305832.36    | 0.00%             | 2029-11-01      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RT MTGE TRUST 2004-4                                            | MASTR ADJUSTABLE RATE MORTGAGE MARM 2004 4 4A1              | CUSIP: 576433ME3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       33505 | PA      | $32642.54      | 0.00%             | 2034-05-25      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY8290 FN 08/53 FIXED 5.5                         | CUSIP: 3140NRF84<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1944380 | PA      | $1970085.64    | 0.00%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AD9208 FN 06/30 FIXED 4.5                         | CUSIP: 31418XGS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       56737 | PA      | $56782.73      | 0.00%             | 2030-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZA6859 FR 05/39 FIXED 3.5                 | CUSIP: 31329QTQ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       54126 | PA      | $52068.45      | 0.00%             | 2039-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 0.65000 05/11/22-5Y LCH                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $-7349026.92   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AU5451 FN 11/28 FIXED 3.5                         | CUSIP: 3138X5BV8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       97105 | PA      | $95964.97      | 0.00%             | 2028-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 935193 FN 06/39 FIXED 6.5                         | CUSIP: 31412UNJ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5581 | PA      | $5826.14       | 0.00%             | 2039-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOUTH AFRICA EM SP DUB                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $68562.99      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY PRIVATE BANK NATIONAL ASSOCIATION                                 | MORGAN STANLEY PVT BANK SR UNSECURED 07/28 VAR              | CUSIP: 61776NVF7<br>LEI: 549300GS0W0TEUQS8571 | Long             | DBT              | CORP              | US        |     2350000 | PA      | $2358502.54    | 0.01%             | 2028-07-06      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN MORTGAGE TRUST 2022-LTV2                                             | JP MORGAN MORTGAGE TRUST JPMMT 2022 LTV2 A3 144A            | CUSIP: 46655LAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7234854 | PA      | $6492953.26    | 0.01%             | 2052-09-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FINANCIAL GROUP INC (MUFG)                                        | MITSUBISHI UFJ FIN GRP SR UNSECURED 02/29 VAR               | CUSIP: 606822CS1<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |    18800000 | PA      | $19342404.06   | 0.04%             | 2029-02-22      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 745423 FN 04/36 FIXED VAR                         | CUSIP: 31403DD48<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       27522 | PA      | $29015.85      | 0.00%             | 2036-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 1Q0369 FH 02/37 FLOATING VAR              | CUSIP: 3128S4MS3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1104 | PA      | $1129.42       | 0.00%             | 2037-02-01      | Floating      | 6.80%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FS6668 FN 12/53 FIXED VAR                         | CUSIP: 3140XNMS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      211379 | PA      | $213968.61     | 0.00%             | 2053-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PARK AVENUE INSTITUTIONAL ADVI 2021-1A                                           | PARK AVENUE INSTITUTIONAL ADVI PAIA 2021 1A A1AR 144A       | CUSIP: 70015QAL2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    12400000 | PA      | $12406797.68   | 0.03%             | 2034-01-20      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-NC1                                            | MORGAN STANLEY CAPITAL INC MSAC 2007 NC1 A2C                | CUSIP: 617505AD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    11696674 | PA      | $5594934.58    | 0.01%             | 2036-11-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS6356 FN 12/45 FIXED 4                           | CUSIP: 3138WGB29<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       14563 | PA      | $13820.03      | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MELLON RESIDENTIAL FUND CORP 2002-TBC2                                           | MELLON RESIDENTIAL FUNDING COR MRFC 2002 TBC2 A             | CUSIP: 585525FX1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       14642 | PA      | $14543.04      | 0.00%             | 2032-08-15      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AT7348 FN 08/43 FIXED 3                           | CUSIP: 3138WVEW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      181240 | PA      | $166487.90     | 0.00%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD AUD BOUGHT USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |           1 | NC      | $-94052.34     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AY2963 FN 05/45 FIXED 4                           | CUSIP: 3138YGJH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       31203 | PA      | $30077.47      | 0.00%             | 2045-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | COLOMBIA LA SP BPS                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $34347.88      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.69100 03/01/24-7Y* LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-1641209.18   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 254478 FN 10/32 FIXED 6                           | CUSIP: 31371KUB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         198 | PA      | $204.88        | 0.00%             | 2032-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AT9346 FN 08/43 FIXED 3                           | CUSIP: 3138WXL47<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       97309 | PA      | $89085.89      | 0.00%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 889451 FN 05/38 FIXED VAR                         | CUSIP: 31410KEY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      386516 | PA      | $407537.06     | 0.00%             | 2038-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BM5340 FN 02/34 FIXED VAR                         | CUSIP: 3140J95A5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       77597 | PA      | $76531.78      | 0.00%             | 2034-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES 2014-1 CLASS A PASS THROUGH TRUST                              | AMER AIRLN 14 1 A PTT PASS THRU CE 04/28 3.7                | CUSIP: 02377AAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     3132190 | PA      | $3114353.16    | 0.01%             | 2028-04-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2007-AR7                                           | INDYMAC INDX MORTGAGE LOAN TRU INDX 2007 AR7 2A1            | CUSIP: 45670CAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1047320 | PA      | $855351.23     | 0.00%             | 2037-06-25      | Floating      | 3.20%                 | No            |                  2 | On Loan: No      |
| SERBIA GOVT                                                                      | REPUBLIC OF SERBIA SR UNSECURED 144A 09/36 2.05             | CUSIP: ACI20JFB9<br>LEI: 254900W94OCY91V32O78 | Long             | DBT              | NUSS              | RS        |    15500000 | PA      | $14221569.19   | 0.03%             | 2036-09-23      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8300 FR 02/53 FIXED 5.5                 | CUSIP: 3132DWGH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    15849626 | PA      | $16044509.23   | 0.04%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST-2005-A6                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2005 A6 4A1                  | CUSIP: 466247TZ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       43079 | PA      | $40690.76      | 0.00%             | 2035-09-25      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2023-5A                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2023 5A B 144A          | CUSIP: 21056EAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     6426436 | PA      | $6665350.65    | 0.01%             | 2053-11-25      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ZAR BOUGHT USD 20251120                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $-30.42        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-29T1                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 29T1 2A2          | CUSIP: 02147PAK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1559513 | PA      | $697587.27     | 0.00%             | 2036-10-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5567                                                          | FREDDIE MAC FHR 5567 FB                                     | CUSIP: 3137HMEX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    13357465 | PA      | $13434521.75   | 0.03%             | 2055-08-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| LUCA RE LTD                                                                      | LUCA RE LTD UNSECURED 144A 07/31 VAR                        | CUSIP: 54930CAA3<br>LEI: 2549001YET1TWKCC6Y26 | Long             | DBT              | CORP              | BM        |     2500000 | PA      | $2500500.00    | 0.01%             | 2031-07-22      | Floating      | 11.18%                | No            |                  2 | On Loan: No      |
| BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2024-LB2                              | BANC OF AMERICA MERRILL LYNCH BAMLL 2024 LB2 B 144A         | CUSIP: 054987AC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    35100000 | PA      | $31114612.62   | 0.07%             | 2053-08-15      | Variable      | 4.40%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AE2771 FN 08/26 FIXED 3.5                         | CUSIP: 31419DCH2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2746 | PA      | $2729.81       | 0.00%             | 2026-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| RIPON MORTGAGES PLC 1RA                                                          | RIPON MORTGAGES PLC RIPON 1RA X1 144A                       | CUSIP: ACI23M1P3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | GB        |      714286 | PA      | $1183.51       | 0.00%             | 2056-08-28      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AE8417 FN 11/25 FIXED 3.5                         | CUSIP: 31419KK79<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         128 | PA      | $127.89        | 0.00%             | 2025-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL AI9978 GN 09/44 FIXED 3.5                         | CUSIP: 36198XCP6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3495 | PA      | $3268.62       | 0.00%             | 2044-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-10                                                   | COUNTRYWIDE HOME LOANS CWHL 2007 10 A5                      | CUSIP: 12545CAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      539049 | PA      | $233959.88     | 0.00%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC2723 FN 04/46 FIXED 4                           | CUSIP: 3140EXAZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      623481 | PA      | $599966.31     | 0.00%             | 2046-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20251017                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-85944.02     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QE0001 FR 04/52 FIXED 3                   | CUSIP: 3133B9AA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      112257 | PA      | $99623.96      | 0.00%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| VOYA CLO LTD 2017-1A                                                             | VOYA CLO LTD VOYA 2017 1A A1R 144A                          | CUSIP: 92916MAF8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1981101 | PA      | $1982600.80    | 0.00%             | 2030-04-17      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 008892 G2 06/26 FLOATING VAR                   | CUSIP: 36202K2Z7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2973 | PA      | $2972.13       | 0.00%             | 2026-06-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| IVORY COAST GOVT (AKA: COTE D'IVOIRE)                                            | IVORY COAST SR UNSECURED 144A 10/31 5.875                   | CUSIP: ACI1G4C61<br>LEI: 254900ICW11T82O6H590 | Long             | DBT              | NUSS              | CI        |    20800000 | PA      | $24344306.79   | 0.05%             | 2031-10-17      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD INR BOUGHT USD 20251008                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $12588.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC-2116                                                                 | FREDDIE MAC FHR 2116 ZG                                     | CUSIP: 3133THTS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      158167 | PA      | $161980.44     | 0.00%             | 2029-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AY5005 FN 03/45 FIXED 4                           | CUSIP: 3138YJR32<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      182241 | PA      | $173537.66     | 0.00%             | 2045-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO MTGE BK SEC TR 2006-AR4                                              | WELLS FARGO MORTGAGE BACKED SE WFMBS 2006 AR4 2A4           | CUSIP: 94983PAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      412508 | PA      | $409240.95     | 0.00%             | 2036-04-25      | Floating      | 6.09%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 1966                                                                 | FREDDIE MAC FHR 1966 Z                                      | CUSIP: 3133TABZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1259 | PA      | $1263.40       | 0.00%             | 2027-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-24                                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 24 4A1            | CUSIP: 12667GPB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       12407 | PA      | $12063.52      | 0.00%             | 2035-07-20      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| REALTY INCOME CORPORATION                                                        | REALTY INCOME CORP SR UNSECURED 11/25 4.625                 | CUSIP: 756109BE3<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |     6600000 | PA      | $6599647.89    | 0.01%             | 2025-11-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL5213 FN 04/44 FIXED VAR                         | CUSIP: 3138EMYK1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4900 | PA      | $4865.87       | 0.00%             | 2044-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ZAR BOUGHT USD 20251120                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $-101860.68    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST                        | AERCAP IRELAND CAP/GLOBA COMPANY GUAR 10/25 4.45            | CUSIP: 00774MAG0<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    22600000 | PA      | $22600000.00   | 0.05%             | 2025-10-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 878534 FN 02/36 FIXED 6                           | CUSIP: 31409UBB0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2482 | PA      | $2572.22       | 0.00%             | 2036-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AKER BP ASA                                                                      | AKER BP ASA SR UNSECURED 144A 01/31 4                       | CUSIP: 00973RAJ2<br>LEI: 549300NFTY73920OYK69 | Long             | DBT              | CORP              | NO        |     1100000 | PA      | $1060624.99    | 0.00%             | 2031-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZN6440 FR 05/34 FIXED 3.5                 | CUSIP: 3131YDEM2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      903979 | PA      | $887152.10     | 0.00%             | 2034-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TRUST 2004-1                                            | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2004 1 2A              | CUSIP: 41161PCY7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        6201 | PA      | $5769.83       | 0.00%             | 2034-04-19      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2003-49                                                   | COUNTRYWIDE HOME LOANS CWHL 2003 49 A9                      | CUSIP: 12669EG59<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        6039 | PA      | $5858.09       | 0.00%             | 2033-12-19      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-85CB                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 85CB 2A5          | CUSIP: 12668BEK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1638149 | PA      | $1270511.37    | 0.00%             | 2036-02-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| VENTURE CLO LTD 2018-33A                                                         | VENTURE CDO LTD VENTR 2018 33A A1LR 144A                    | CUSIP: 92330YAN3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     3446954 | PA      | $3450742.84    | 0.01%             | 2031-07-15      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AZ8107 FN 08/45 FIXED 4                           | CUSIP: 3140E1AH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        7984 | PA      | $7686.52       | 0.00%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-2                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2007 2 1A2              | CUSIP: 05951GAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2747867 | PA      | $2183329.74    | 0.00%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QA4                                              | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QA4 A              | CUSIP: 748939AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5106819 | PA      | $4679089.09    | 0.01%             | 2036-05-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD DKK BOUGHT USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |           1 | NC      | $-12396.30     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL D97161 FG 01/27 FIXED 6                   | CUSIP: 3128E35W0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1444 | PA      | $1476.72       | 0.00%             | 2027-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 530223 GN 12/30 FIXED 8                           | CUSIP: 36212DAY5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       17432 | PA      | $17828.57      | 0.00%             | 2030-12-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD IDR BOUGHT USD 20251020                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $73307.21      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 4.5 SINGLE FAMILY MORTGAGE                   | CUSIP: 01F0426B4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  1997778000 | PA      | $1937014403.44 | 4.27%             | 2055-11-13      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE TRUST-2006-16AX                                          | MORGAN STANLEY MORTGAGE LOAN T MSM 2006 16AX 3A1            | CUSIP: 617487AF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1558837 | PA      | $571969.67     | 0.00%             | 2036-11-25      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| CITIMORTGAGE ALTERNATIVE LOAN TR 2006-A4                                         | CITIMORTGAGE ALTERNATIVE LOAN CMALT 2006 A4 1A9             | CUSIP: 17309VAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      169520 | PA      | $157733.61     | 0.00%             | 2036-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                          | HCA INC DISC COML PAPER 4/A2 Y 10/25 ZCP                    | CUSIP: 40412BXQ1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    26800000 | PA      | $26717456.00   | 0.06%             | 2025-10-24      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AW9034 FN 08/29 FIXED 3.5                         | CUSIP: 3138XZBC4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      201379 | PA      | $199134.10     | 0.00%             | 2029-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PROVINCE OF ALBERTA                                                              | PROVINCE OF ALBERTA SR UNSECURED 144A 08/26 2.05            | CUSIP: 01306GAC7<br>LEI: LQPXMHHNJKIPJYE53543 | Long             | DBT              | NUSS              | CA        |     6000000 | PA      | $5907664.98    | 0.01%             | 2026-08-17      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT THB SOLD USD 20251020                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $2723.44       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 543432 FN 06/30 FIXED 8                           | CUSIP: 31385FVZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       19405 | PA      | $19441.68      | 0.00%             | 2030-06-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| MARSH & MCLENNAN COMPANIES INC                                                   | MARSH + MCLENNAN COS INC SR UNSECURED 03/30 4.65            | CUSIP: 571748CA8<br>LEI: 549300XMP3KDCKJXIU47 | Long             | DBT              | CORP              | US        |     1300000 | PA      | $1322293.28    | 0.00%             | 2030-03-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 960569 FN 01/38 FIXED 5.5                         | CUSIP: 31414AT28<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       20809 | PA      | $21586.89      | 0.00%             | 2038-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL U91254 FG 04/43 FIXED 4                   | CUSIP: 3132HBH73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       74271 | PA      | $72460.31      | 0.00%             | 2043-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT HUF SOLD USD 20251217                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HU        |           1 | NC      | $-2639.04      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2004-W8                                                     | FANNIEMAE WHOLE LOAN FNW 2004 W8 2A                         | CUSIP: 31394ALL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      576702 | PA      | $589981.03     | 0.00%             | 2044-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BO2975 FN 09/49 FIXED 3                           | CUSIP: 3140JXJV1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2890089 | PA      | $2546449.68    | 0.01%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 522183 GN 03/30 FIXED 8                           | CUSIP: 36211TCU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3307 | PA      | $3322.83       | 0.00%             | 2030-03-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2010-150                                                       | FANNIE MAE FNR 2010 150 KF                                  | CUSIP: 31397QCM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       39751 | PA      | $39675.77      | 0.00%             | 2040-03-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 008717 G2 10/25 FLOATING VAR                   | CUSIP: 36202KVJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          52 | PA      | $51.73         | 0.00%             | 2025-10-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DA0571 FN 10/53 FIXED 5.5                         | CUSIP: 3140A0T58<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5426403 | PA      | $5485340.01    | 0.01%             | 2053-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AT2435 FN 05/28 FIXED 3                           | CUSIP: 3138WPV50<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3320 | PA      | $3266.61       | 0.00%             | 2028-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UBS COMMERCIAL MORTGAGE TRUST 2018-C10                                           | UBS COMMERCIAL MORTGAGE TRUST UBSCM 2018 C10 A4             | CUSIP: 90276FAW4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    10000000 | PA      | $9949161.00    | 0.02%             | 2051-05-15      | Fixed         | 4.31%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 900511 FN 10/36 FIXED 6                           | CUSIP: 31410XN44<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2916 | PA      | $3012.28       | 0.00%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF6139 FR 01/53 FIXED 5.5                 | CUSIP: 3133BTZC7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      173912 | PA      | $175688.67     | 0.00%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20251124                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $64985.49      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 2.41000 11/05/24-10Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $-226673.64    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2006-E                                                   | FREMONT HOME LOAN TRUST FHLT 2006 E 2A3                     | CUSIP: 35729NAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    11156640 | PA      | $5164346.15    | 0.01%             | 2037-01-25      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -11908922 | PA      | $-11908922.00  | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD THB BOUGHT USD 20251020                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $3023.85       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AAMES MORTGAGE INVESTMENT TRUST 2005-4                                           | AAMES MORTGAGE INVESTMENT TRUS AMIT 2005 4 M3               | CUSIP: 00252FCV1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      554837 | PA      | $551447.09     | 0.00%             | 2035-10-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED BANK/NEW YORK BRANCH                                          | STANDARD CHARTERED BK/NY SR UNSECURED 12/27 4.853           | CUSIP: 85325X2B1<br>LEI: RILFO74KP1CM8P6PCT96 | Long             | DBT              | CORP              | GB        |    29800000 | PA      | $30348061.34   | 0.07%             | 2027-12-03      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL FUNDING MTGE SEC 2007-S6                                             | RESIDENTIAL FUNDING MTG SEC I RFMSI 2007 S6 2A3             | CUSIP: 762009BA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      201065 | PA      | $156603.46     | 0.00%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF7774 FR 02/53 FIXED 5.5                 | CUSIP: 3133BVT70<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     9522131 | PA      | $9649077.02    | 0.02%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| INTEGRIS BAPTIST MEDICAL CENTER                                                  | INTEGRIS BAPTIST MEDICAL SR SECURED 08/50 3.875             | CUSIP: 45834QAA7<br>LEI: 549300S00ZKDLJSB3927 | Long             | DBT              | CORP              | US        |     6300000 | PA      | $4615832.91    | 0.01%             | 2050-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2007-A1                                              | CHASE MORTGAGE FINANCE CORPORA CHASE 2007 A1 10A1           | CUSIP: 161630BA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      539839 | PA      | $539556.00     | 0.00%             | 2037-02-25      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.25000 03/19/25-30Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $18449418.11   | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20251017                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-203962.37    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 841068 FN 11/34 FLOATING VAR                      | CUSIP: 31407UMR5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      143373 | PA      | $149400.24     | 0.00%             | 2034-11-01      | Floating      | 6.49%                 | No            |                  2 | On Loan: No      |
| BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2023-HTL                              | BAMLL 2023 HTL 10/27 1                                      | CUSIP: 05942JAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    49980304 | PA      | $45512024.84   | 0.10%             | 2027-10-15      | Floating      | 7.62%                 | Yes           |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS4169 FN 12/44 FIXED 4                           | CUSIP: 3138WDT35<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        7082 | PA      | $6825.77       | 0.00%             | 2044-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 256085 FN 12/25 FIXED 4.5                         | CUSIP: 31371MNA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          92 | PA      | $91.85         | 0.00%             | 2025-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| RIPON MORTGAGES PLC 1RA                                                          | RIPON MORTGAGES PLC RIPON 1RA Y 144A                        | CUSIP: ACI23MMX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     2375000 | PA      | $88618.12      | 0.00%             | 2056-08-28      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| GLITNIR HOLDCO EHF                                                               | PP690IAC7 GLITNER BANKI HF PP690IAC7 GLITNER BANKI HF       | CUSIP: 962LJPII7<br>LEI: N/A                  | Long             | DBT              | CORP              | IS        |       26686 | PA      | $31.34         | 0.00%             | 2030-12-31      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| JP MORGAN CHASE & CO                                                             | JPMORGAN CHASE + CO SR UNSECURED 01/29 VAR                  | CUSIP: 46647PEU6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     5800000 | PA      | $5905459.89    | 0.01%             | 2029-01-24      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB1939 FN 12/25 FIXED 3.5                         | CUSIP: 31416XEM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3833 | PA      | $3820.50       | 0.00%             | 2025-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RB5033 FR 02/40 FIXED 3                   | CUSIP: 3133KYSW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1706597 | PA      | $1596892.01    | 0.00%             | 2040-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 726912 FN 08/33 FIXED 4                           | CUSIP: 31402ER91<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         381 | PA      | $377.35        | 0.00%             | 2033-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                                    | FORD MOTOR CREDIT CO LLC SR UNSECURED 05/29 5.113           | CUSIP: 345397ZR7<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     7650000 | PA      | $7595227.38    | 0.02%             | 2029-05-03      | Fixed         | 5.11%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS8652 FR 04/32 FIXED 3.5                 | CUSIP: 3132A9TH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       98286 | PA      | $97173.92      | 0.00%             | 2032-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD JPY BOUGHT USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $7425.58       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 1.00000 05/13/22-5Y LCH                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $-6120208.64   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB0282 FN 01/39 FIXED 6                           | CUSIP: 31416VJ47<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2965139 | PA      | $3132740.94    | 0.01%             | 2039-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NOMURA HOLDINGS INC                                                              | NOMURA HOLDINGS INC SR UNSECURED 01/28 5.842                | CUSIP: 65535HBH1<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |    13500000 | PA      | $13962516.35   | 0.03%             | 2028-01-18      | Fixed         | 5.84%                 | No            |                  2 | On Loan: No      |
| CI FINANCIAL CORP                                                                | CI FINANCIAL CORP CI FINANCIAL CORP                         | CUSIP: 125491AT7<br>LEI: 549300M9W7JJQSVCEM78 | Long             | DBT              | CORP              | CA        |     7900000 | PA      | $8422678.46    | 0.02%             | 2029-05-30      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALT MTGE SEC 2004-AA2                                              | FIRST HORIZON ALTERNATIVE MORT FHAMS 2004 AA2 2A1           | CUSIP: 32051D4S8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       42696 | PA      | $42761.71      | 0.00%             | 2034-08-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317UAALA4 PIMCO SWAPTION 3.575 CALL USD 202510              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -62100000 | NC      | $-22778.28     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE FIRST BOSTON MORTGAGE SECURITIES CORP 2018-SP2                     | CREDIT SUISSE MORTGAGE TRUST CSMC 2018 SP2 PT 144A          | CUSIP: 12654QBH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   245881429 | PA      | $245213049.50  | 0.54%             | 2050-06-01      | Variable      | 6.91%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 535126 FN 12/28 FIXED VAR                         | CUSIP: 31384VPK2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       28723 | PA      | $29370.22      | 0.00%             | 2028-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-1                                            | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 1 2A4             | CUSIP: 68400DAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6613469 | PA      | $3886274.26    | 0.01%             | 2037-01-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| MEXICO GOVT                                                                      | MEXICAN UDIBONOS BONDS 08/34 4                              | CUSIP: ACI2NBJY7<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     3249254 | PA      | $169954.42     | 0.00%             | 2034-08-24      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL3063 FN 01/28 FIXED VAR                         | CUSIP: 3138EKMM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       28218 | PA      | $28034.59      | 0.00%             | 2028-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 1G0862 FH 08/35 FLOATING VAR              | CUSIP: 3128NC5X8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       25067 | PA      | $25394.96      | 0.00%             | 2035-08-01      | Floating      | 6.34%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AJ5319 FN 11/41 FIXED 4                           | CUSIP: 3138AW4D2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2540 | PA      | $2472.37       | 0.00%             | 2041-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD KWD BOUGHT USD 20290503                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $572891.55     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 02/41 1.875                                 | CUSIP: 912810SW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   568475000 | PA      | $399875530.50  | 0.88%             | 2041-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 755702 FN 03/34 FIXED 5.5                         | CUSIP: 31403RRX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        6650 | PA      | $6709.85       | 0.00%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AR7400 FN 06/43 FIXED 3                           | CUSIP: 3138W5GJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       10946 | PA      | $10068.72      | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 871976 FN 04/36 FIXED 6                           | CUSIP: 31409HXD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         173 | PA      | $176.43        | 0.00%             | 2036-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 753514 FN 11/33 FIXED 6                           | CUSIP: 31403NDT1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2291 | PA      | $2340.62       | 0.00%             | 2033-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| TBW MTGE BACKED PASS THRU CERT 2006-2                                            | TBW MORTGAGE BACKED PASS THROU TBW 2006 2 5A1               | CUSIP: 878048AJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4587204 | PA      | $950946.11     | 0.00%             | 2036-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT NZD SOLD USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |           1 | NC      | $-39158.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SPIRIT AEROSYSTEMS INC                                                           | SPIRIT AEROSYSTEMS INC COMPANY GUAR 06/28 4.6               | CUSIP: 85205TAK6<br>LEI: ZD2NBKV6GCC3UMGBM518 | Long             | DBT              | CORP              | US        |     6800000 | PA      | $6797152.84    | 0.01%             | 2028-06-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| KILROY REALTY LP                                                                 | KILROY REALTY LP COMPANY GUAR 02/30 3.05                    | CUSIP: 49427RAP7<br>LEI: 5493008CT3N3JR7P1552 | Long             | DBT              | CORP              | US        |     6700000 | PA      | $6188016.69    | 0.01%             | 2030-02-15      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| MASTER ADJUSTABLE RATE MTGE TR 2003-6                                            | MASTR ADJUSTABLE RATE MORTGAGE MARM 2003 6 3A1              | CUSIP: 576433GF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        3340 | PA      | $3315.09       | 0.00%             | 2033-12-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317UACKA1 PIMCO SWAPTION 3.398 CALL USD 202510              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -57500000 | NC      | $-2093.00      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3376                                                          | FREDDIE MAC FHR 3376 FD                                     | CUSIP: 31397KZG9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      425695 | PA      | $426462.61     | 0.00%             | 2037-10-15      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK NA                                                           | MORGAN STANLEY BANK NA SR UNSECURED 10/27 VAR               | CUSIP: 61690U8F0<br>LEI: G1MLHIS0N32I3QPILB75 | Long             | DBT              | CORP              | US        |    20100000 | PA      | $20150551.10   | 0.04%             | 2027-10-15      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 847415 FH 06/35 FLOATING VAR              | CUSIP: 3128JRGY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1511239 | PA      | $1563040.65    | 0.00%             | 2035-06-01      | Floating      | 6.51%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2010-107                                                       | FANNIE MAE FNR 2010 107 JI                                  | CUSIP: 31398NKU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4201246 | PA      | $239496.22     | 0.00%             | 2036-03-25      | Floating      | 1.55%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BZ2240 FN 12/29 FIXED 4.045                       | CUSIP: 3140NWP25<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     8530000 | PA      | $8523695.56    | 0.02%             | 2029-12-01      | Fixed         | 4.04%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                     | BARCLAYS PLC SR UNSECURED 03/28 VAR                         | CUSIP: 06738ECQ6<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    46500000 | PA      | $46995629.55   | 0.10%             | 2028-03-12      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 970338 FN 02/38 FIXED 6                           | CUSIP: 31414MPX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       50402 | PA      | $52527.08      | 0.00%             | 2038-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2538                                                                 | FREDDIE MAC FHR 2538 F                                      | CUSIP: 31393G5Y6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      130675 | PA      | $130985.95     | 0.00%             | 2032-12-15      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL FUNDING MORTGAGE SECURITIES 2006-S6                                  | RESIDENTIAL FUNDING MTG SEC I RFMSI 2006 S6 A15             | CUSIP: 74957VAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      415429 | PA      | $359357.21     | 0.00%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 542736 GN 04/31 FIXED 7                           | CUSIP: 36212S4V5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1362 | PA      | $1385.15       | 0.00%             | 2031-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE GRANTOR TR 2004-T1                                                    | FANNIEMAE GRANTOR TRUST FNGT 2004 T1 1A1                    | CUSIP: 31393XFS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       81846 | PA      | $84879.67      | 0.00%             | 2044-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 932843 FN 12/25 FIXED 3.5                         | CUSIP: 31412RLY1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2733 | PA      | $2724.53       | 0.00%             | 2025-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES 2019-1 CLASS AA PASS THROUGH TRUST                             | AMER AIRLINE 19 1AA PTT PASS THRU CE 08/33 3.15             | CUSIP: 02377LAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    19598292 | PA      | $18394034.23   | 0.04%             | 2033-08-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZM8819 FR 09/48 FIXED 6                   | CUSIP: 3131Y3YQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      449218 | PA      | $467401.26     | 0.00%             | 2048-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | COLOMBIA LA SP BPS                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $-1376.04      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 894782 FN 12/36 FIXED 6                           | CUSIP: 31410RCT4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         643 | PA      | $660.84        | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 644473 FN 05/32 FIXED 6                           | CUSIP: 31390E6J6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1171 | PA      | $1196.64       | 0.00%             | 2032-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FIRST NLC TRUST 2005-1                                                           | FIRST NLC TRUST FNLC 2005 1 A                               | CUSIP: 32113JAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      874643 | PA      | $787709.39     | 0.00%             | 2035-05-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                        | REPUBLIC OF PERU SR UNSECURED REGS 08/31 6.95               | CUSIP: 715638BE1<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |   269520000 | PA      | $85978902.15   | 0.19%             | 2031-08-12      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE LN TR-2006-3AR                                           | MORGAN STANLEY MORTGAGE LOAN T MSM 2006 3AR 1A3             | CUSIP: 61748HWP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      501004 | PA      | $324556.15     | 0.00%             | 2036-03-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 893842 FN 10/36 FIXED 6.5                         | CUSIP: 31410QBK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         405 | PA      | $428.03        | 0.00%             | 2036-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TRUST 2005-AB1                                            | MASTR ASSET BACKED SECURITIES MABS 2005 AB1 A6              | CUSIP: 57643LLF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       91973 | PA      | $68201.41      | 0.00%             | 2035-11-25      | Variable      | 5.97%                 | No            |                  2 | On Loan: No      |
| SPIRIT AEROSYSTEMS INC                                                           | SPIRIT AEROSYSTEMS INC SR SECURED 144A 11/29 9.375          | CUSIP: 85205TAN0<br>LEI: ZD2NBKV6GCC3UMGBM518 | Long             | DBT              | CORP              | US        |     8000000 | PA      | $8435752.00    | 0.02%             | 2029-11-30      | Fixed         | 9.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 831468 FN 05/36 FIXED 6                           | CUSIP: 31407HW51<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1196 | PA      | $1256.81       | 0.00%             | 2036-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MONONGAHELA POWER COMPANY                                                        | MONONGAHELA POWER CO 1ST MORTGAGE 144A 05/27 3.55           | CUSIP: 610202BR3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     4400000 | PA      | $4362583.19    | 0.01%             | 2027-05-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 776488 FN 03/34 FLOATING VAR                      | CUSIP: 31404RUM7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      154673 | PA      | $158824.34     | 0.00%             | 2034-03-01      | Floating      | 6.20%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 357746 FN 04/35 FIXED 6                           | CUSIP: 31376KL38<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         411 | PA      | $433.04        | 0.00%             | 2035-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVS 2006-HE5                                             | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 HE5 A2B            | CUSIP: 59022QAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6972009 | PA      | $3431653.72    | 0.01%             | 2037-08-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 543460 GN 11/30 FIXED 7                           | CUSIP: 36212TWV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2176 | PA      | $2198.91       | 0.00%             | 2030-11-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL6289 FN 02/42 FIXED VAR                         | CUSIP: 3138EN7B9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      181907 | PA      | $188495.07     | 0.00%             | 2042-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.88400 03/25/25-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-53174.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 255894 FN 10/25 FIXED 5                           | CUSIP: 31371MGB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |           9 | PA      | $8.53          | 0.00%             | 2025-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 736069 FN 09/33 FLOATING VAR                      | CUSIP: 31402RW62<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2149 | PA      | $2191.75       | 0.00%             | 2033-09-01      | Floating      | 6.28%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 962073 FN 03/38 FIXED 5.5                         | CUSIP: 31414CJS8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1956 | PA      | $2027.05       | 0.00%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT MXN SOLD USD 20251217                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $5134.58       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 11/49 2.375                                 | CUSIP: 912810SK5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   434019000 | PA      | $284095951.38  | 0.63%             | 2049-11-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY6785 FN 08/53 FIXED 5.5                         | CUSIP: 3140NPRF9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    17941994 | PA      | $18164559.42   | 0.04%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL C91213 FG 10/28 FIXED 6                   | CUSIP: 3128P7K28<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        6218 | PA      | $6358.56       | 0.00%             | 2028-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2004-W2                                                     | FANNIEMAE WHOLE LOAN FNW 2004 W2 5AF                        | CUSIP: 31393XGV3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       46271 | PA      | $46181.66      | 0.00%             | 2044-03-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOEING CO/THE SNR S* ICE                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $95138.18      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 256464 FN 09/26 FIXED 4.5                         | CUSIP: 31371MZ59<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         920 | PA      | $916.88        | 0.00%             | 2026-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AT3223 FN 03/27 FIXED 3.5                         | CUSIP: 3138WQSM5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       73978 | PA      | $73545.32      | 0.00%             | 2027-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZK3402 FR 07/26 FIXED 3.5                 | CUSIP: 3131X6X70<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        8981 | PA      | $8922.46       | 0.00%             | 2026-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD KRW BOUGHT USD 20251010                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $91145.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SAUDI ARABIA GOVT                                                                | SAUDI INTERNATIONAL BOND SR UNSECURED 144A 01/31 5.375      | CUSIP: 80413TBK4<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |    57500000 | PA      | $60468104.58   | 0.13%             | 2031-01-13      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2017-3                                                         | FANNIE MAE FNR 2017 3 FA                                    | CUSIP: 3136AU5W7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4094193 | PA      | $4027098.11    | 0.01%             | 2047-02-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                     | UBS GROUP AG SR UNSECURED 144A 04/26 4.125                  | CUSIP: 90351DAF4<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    38200000 | PA      | $38205761.32   | 0.08%             | 2026-04-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MORTGAGE PRODUCTS INC 2006-NC1                                 | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2006 NC1 M1             | CUSIP: 76112BX39<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1216293 | PA      | $1202317.58    | 0.00%             | 2036-01-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| INVITATION HOMES OPERATING PARTNERSHIP LP                                        | INVITATION HOMES OP COMPANY GUAR 11/28 2.3                  | CUSIP: 46188BAB8<br>LEI: 549300147YMUQB3GW319 | Long             | DBT              | CORP              | US        |     3250000 | PA      | $3069223.04    | 0.01%             | 2028-11-15      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD IDR BOUGHT USD 20251217                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-1019.25      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| KIZUNA RE III PTE LTD                                                            | KIZUNA RE III PTE LTD UNSECURED 144A 04/29 VAR              | CUSIP: 49835JAB2<br>LEI: 984500004749BBB42B88 | Long             | DBT              | CORP              | SG        |     2434000 | PA      | $2495336.80    | 0.01%             | 2029-04-09      | Floating      | 6.71%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2004-1                                                  | BEAR STEARNS ALT A TRUST BALTA 2004 1 2A3                   | CUSIP: 07386HFU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      397917 | PA      | $379204.23     | 0.00%             | 2034-02-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 902237 FN 10/36 FIXED 6                           | CUSIP: 31411ALS2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       53420 | PA      | $55344.70      | 0.00%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2013-H13                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2013 H13 FT              | CUSIP: 38375B2L5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      361630 | PA      | $360862.51     | 0.00%             | 2063-05-20      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| NETAPP INC                                                                       | NETAPP INC SR UNSECURED 06/30 2.7                           | CUSIP: 64110DAK0<br>LEI: QTX3D84DZDD5JYOCYH15 | Long             | DBT              | CORP              | US        |    31100000 | PA      | $28803023.04   | 0.06%             | 2030-06-22      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 781048 GN 06/29 FIXED 6.5                         | CUSIP: 36225BEV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         298 | PA      | $306.08        | 0.00%             | 2029-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2007-A1                                              | CHASE MORTGAGE FINANCE CORPORA CHASE 2007 A1 12M3           | CUSIP: 161630CA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1291135 | PA      | $1251830.23    | 0.00%             | 2037-03-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 932840 FN 12/25 FIXED 3.5                         | CUSIP: 31412RLV7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         821 | PA      | $818.40        | 0.00%             | 2025-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SFO COMMERCIAL MORTGAGE TRUST 2021-555                                           | SFO COMMERICAL MORTGAGE TRUST SFO 2021 555 A 144A           | CUSIP: 78432WAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    34140000 | PA      | $33922121.93   | 0.07%             | 2038-05-15      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| DELTA AIR LINES 2020-1 CLASS AA PASS THROUGH TRUST                               | DELTA AIR LINES 2020 AA PASS THRU CE 12/29 2                | CUSIP: 247361ZV3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1612370 | PA      | $1544780.55    | 0.00%             | 2029-12-10      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 02/48 3                                     | CUSIP: 912810SA7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   116800000 | PA      | $88225062.21   | 0.19%             | 2048-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AVIS BUDGET RENTAL CAR FUNDING AESOP 2023-1A LLC                                 | AVIS BUDGET RENTAL CAR FUNDING AESOP 2023 1A A 144A         | CUSIP: 05377RGC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    20700000 | PA      | $21194166.96   | 0.05%             | 2029-04-20      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AA1730 FN 01/39 FIXED 6                           | CUSIP: 31416J4Q1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3273 | PA      | $3430.33       | 0.00%             | 2039-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB2256 FN 02/26 FIXED 3.5                         | CUSIP: 31416XQJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5026 | PA      | $5005.79       | 0.00%             | 2026-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS8784 FN 02/47 FIXED 3                           | CUSIP: 3138WJXN3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        9301 | PA      | $8353.91       | 0.00%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 917939 FN 05/37 FLOATING VAR                      | CUSIP: 31411XZC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1644 | PA      | $1686.78       | 0.00%             | 2037-05-01      | Floating      | 6.61%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AU4481 FN 07/43 FIXED 4                           | CUSIP: 3138X36T4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       16832 | PA      | $16372.31      | 0.00%             | 2043-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 942980 FN 09/37 FIXED 6                           | CUSIP: 31413ECR4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       40711 | PA      | $42924.75      | 0.00%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AE1529 FN 10/25 FIXED 3.5                         | CUSIP: 31419BVX0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         176 | PA      | $175.95        | 0.00%             | 2025-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2016-76                                                        | FANNIE MAE FNR 2016 76 FA                                   | CUSIP: 3136ATZ56<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     7330052 | PA      | $7218757.11    | 0.02%             | 2046-10-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AT0859 FN 06/43 FIXED 3                           | CUSIP: 3138WM5V9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      275599 | PA      | $253422.75     | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2006-AR7                                              | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 AR7 1A3A           | CUSIP: 172987AD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1490908 | PA      | $1419736.37    | 0.00%             | 2046-07-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2012-H08                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2012 H08 FB              | CUSIP: 38375BQN5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      331661 | PA      | $332297.97     | 0.00%             | 2062-03-20      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| MORTGAGEIT SECURITIES CORP MORTGAGE LOAN TRUST SERIES 2007-2                     | MORTGAGEIT TRUST MHL 2007 2 A1                              | CUSIP: 61915CAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4333340 | PA      | $3299061.81    | 0.01%             | 2037-09-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-9161126.90   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS8448 FR 11/26 FIXED 3                   | CUSIP: 3132A9L54<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2469 | PA      | $2449.50       | 0.00%             | 2026-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CAIRN CLO X BV 18-10A                                                            | CAIRN CLO BV CRNCL 2018 10A AR 144A                         | CUSIP: ACI1YFN80<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    15262179 | PA      | $17930471.01   | 0.04%             | 2031-10-15      | Floating      | 2.81%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 627292 FN 04/32 FIXED 6                           | CUSIP: 31389J2Z6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4860 | PA      | $4963.74       | 0.00%             | 2032-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COLONY MORTGAGE CAPITAL SERIES LTD 2019-IKPR                                     | COLONY MORTGAGE CAPITAL LTD CLNY 2019 IKPR A 144A           | CUSIP: 12564NAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1256367 | PA      | $1241964.35    | 0.00%             | 2038-11-15      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| MELLON RESIDENTIAL FUNDING CO 2001-TBC1                                          | MELLON RESIDENTIAL FUNDING COR MRFC 2001 TBC1 A1            | CUSIP: 585525FC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      272699 | PA      | $265168.68     | 0.00%             | 2031-11-15      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BA4727 FN 12/45 FIXED 4                           | CUSIP: 3140E9HD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      152631 | PA      | $147048.28     | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CSAB MORTGAGE BACKED TR 2006-4                                                   | CSAB MORTGAGE BACKED TRUST CSAB 2006 4 A6A                  | CUSIP: 12628LAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1250427 | PA      | $191074.87     | 0.00%             | 2036-12-25      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC TRUST 2006-A12                                             | RESIDENTIAL ASSET SECURITIZATI RAST 2006 A12 A1             | CUSIP: 76113XAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1791993 | PA      | $636922.21     | 0.00%             | 2036-11-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 1997-89                                                               | FANNIE MAE FNR 1997 89 Z                                    | CUSIP: 31359RPN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       18548 | PA      | $18686.20      | 0.00%             | 2027-12-20      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL CO9126 G2 12/46 FIXED 3                        | CUSIP: 3617FMD75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      771034 | PA      | $686190.09     | 0.00%             | 2046-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ5500 FN 04/48 FIXED 4                           | CUSIP: 3140H7DE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      343984 | PA      | $330207.32     | 0.00%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MTG SEC CORP 2002-HE1                                            | CREDIT SUISSE FIRST BOSTON MOR CSFB 2002 HE1 A2             | CUSIP: 22540VUG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1058459 | PA      | $1018467.63    | 0.00%             | 2032-08-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB3410 FN 03/52 FIXED 3                           | CUSIP: 3140QNYG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    10690590 | PA      | $9418077.44    | 0.02%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2006-OA11                                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA11 A1C          | CUSIP: 02147DAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      902179 | PA      | $742390.80     | 0.00%             | 2046-09-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 831019 FN 10/35 FIXED 6                           | CUSIP: 31407HG42<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3208 | PA      | $3366.90       | 0.00%             | 2035-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL AL4231 GN 02/45 FIXED 3.5                         | CUSIP: 36184AVY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       65393 | PA      | $61164.55      | 0.00%             | 2045-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                           | CS AT1 CLAIMS USH3698DBW32 CREDIT SUISSE GROUP AG           | CUSIP: 952NPG907<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | US        |     1100000 | PA      | $143000.00     | 0.00%             | 2060-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                                                    | BOEING CO SR UNSECURED 02/27 2.7                            | CUSIP: 097023CM5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     8125000 | PA      | $7962381.86    | 0.02%             | 2027-02-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SEC 2005-F                                                  | BANC OF AMERICA MORTGAGE SECUR BOAMS 2005 F 2A2             | CUSIP: 05949CCA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      109700 | PA      | $104625.42     | 0.00%             | 2035-07-25      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA0807 FN 07/31 FIXED 5                           | CUSIP: 31417Y3R6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       21906 | PA      | $22272.64      | 0.00%             | 2031-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT MYR SOLD USD 20251217                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |           1 | NC      | $-1890.97      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ORACLE CORPORATION                                                               | ORACLE CORP SR UNSECURED 08/28 4.8                          | CUSIP: 68389XCY9<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |      300000 | PA      | $305090.42     | 0.00%             | 2028-08-03      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BO1862 FN 08/49 FIXED 3                           | CUSIP: 3140JWB82<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    18153867 | PA      | $15995555.50   | 0.04%             | 2049-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BT8106 FN 04/52 FIXED 3                           | CUSIP: 3140LXAG0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      633756 | PA      | $559883.76     | 0.00%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CHEVY CHASE MORTGAGE FUND CORP 2005-1A                                           | CHEVY CHASE MORTGAGE FUNDING C CCMFC 2005 1A A1 144A        | CUSIP: 16678RCT2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      169236 | PA      | $162487.39     | 0.00%             | 2036-01-25      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2007-QS10                                             | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QS10 A1            | CUSIP: 74924DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      787015 | PA      | $658092.53     | 0.00%             | 2037-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BM3369 FN 01/48 FIXED VAR                         | CUSIP: 3140J7W76<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       91563 | PA      | $88047.07      | 0.00%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II TBA 30 YR 5.5 JUMBOS                                | CUSIP: 21H0526B9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   167000000 | PA      | $168151531.80  | 0.37%             | 2054-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2006-24CB                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 24CB A1           | CUSIP: 02146TAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      146685 | PA      | $74228.72      | 0.00%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 254676 FN 03/33 FIXED 6                           | CUSIP: 31371K2H3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         246 | PA      | $255.02        | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB6622 FN 06/53 FIXED 5                           | CUSIP: 3140QSLC3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    75135907 | PA      | $74825719.30   | 0.16%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CHASEFLEX TRUST 2007-M1                                                          | CHASEFLEX TRUST CFLX 2007 M1 1A1                            | CUSIP: 16165YAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2673475 | PA      | $2360137.86    | 0.01%             | 2037-08-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MORTGAGE SEC INC 2002-C                                               | AMERIQUEST MORTGAGE SECURITIES AMSI 2002 C M1               | CUSIP: 03072SDF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1608788 | PA      | $1693906.45    | 0.00%             | 2032-11-25      | Floating      | 7.65%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC7551 FN 04/46 FIXED 4                           | CUSIP: 3140F3L97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       42937 | PA      | $41375.25      | 0.00%             | 2046-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                                 | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 12/41 4.5               | CUSIP: 694308GY7<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    10400000 | PA      | $8596262.17    | 0.02%             | 2041-12-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT MXN SOLD USD 20251217                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $8869.31       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 782547 GN 02/35 FIXED 7.5                         | CUSIP: 36241KZL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       22832 | PA      | $24172.56      | 0.00%             | 2035-02-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| ENCINA SPV                                                                       | ENCINA PRIVATE CREDIT LLC NOTE                              | CUSIP: 938DREII2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     4179197 | PA      | $4057523.58    | 0.01%             | 2025-11-30      | Floating      | 6.41%                 | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 848223 FN 11/35 FIXED 6                           | CUSIP: 31408DLC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       59761 | PA      | $63006.14      | 0.00%             | 2035-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 848408 FN 12/35 FIXED 6                           | CUSIP: 31408DR55<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         659 | PA      | $692.68        | 0.00%             | 2035-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2246                                                                 | FREDDIE MAC FHR 2246 Z                                      | CUSIP: 3133TPLV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        8818 | PA      | $9193.08       | 0.00%             | 2030-08-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL A53285 FG 10/36 FIXED 7.5                 | CUSIP: 3128KFUJ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       10108 | PA      | $10274.12      | 0.00%             | 2036-10-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| TELEDYNE TECHNOLOGIES INCORPORATED                                               | TELEDYNE TECHNOLOGIES IN COMPANY GUAR 04/28 2.25            | CUSIP: 879360AD7<br>LEI: 549300VSMO9KYQWDND94 | Long             | DBT              | CORP              | US        |     1500000 | PA      | $1431985.82    | 0.00%             | 2028-04-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| PRIME MORTGAGE TRUST 2004-CL1                                                    | PRIME MORTGAGE TRUST PRIME 2004 CL1 1A2                     | CUSIP: 74160MDL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      200821 | PA      | $191183.76     | 0.00%             | 2034-02-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2007-FM2                                                             | GSAMP TRUST GSAMP 2007 FM2 A2B                              | CUSIP: 3622MHAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2440617 | PA      | $1497887.60    | 0.00%             | 2037-01-25      | Floating      | 4.36%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AY0276 FN 04/45 FIXED 4                           | CUSIP: 3138YDJW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      158014 | PA      | $152054.25     | 0.00%             | 2045-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G04021 FG 02/38 FIXED 6.5                 | CUSIP: 3128M5YS3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4730 | PA      | $5002.36       | 0.00%             | 2038-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2006-HE2                                              | JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 HE2 A5            | CUSIP: 46625SAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      836908 | PA      | $831626.91     | 0.00%             | 2036-07-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 831469 FN 05/36 FIXED 6                           | CUSIP: 31407HW69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        6540 | PA      | $6874.49       | 0.00%             | 2036-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY4544 FN 09/53 FIXED 6                           | CUSIP: 3140NMBN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         893 | PA      | $916.47        | 0.00%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL CL6201 GN 03/52 FIXED 4                           | CUSIP: 3617YD3J9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      195055 | PA      | $184374.58     | 0.00%             | 2052-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 313449 FN 04/27 FLOATING VAR                      | CUSIP: 31374GEW3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2112 | PA      | $2117.26       | 0.00%             | 2027-04-01      | Floating      | 6.48%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2023-2A                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2023 2A E 144A          | CUSIP: 210927AK5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     5202366 | PA      | $5286120.85    | 0.01%             | 2053-11-25      | Fixed         | 9.35%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AT8127 FN 07/43 FIXED 3                           | CUSIP: 3138WWA58<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       11963 | PA      | $10996.24      | 0.00%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3986 FN 04/35 FIXED 3.5                         | CUSIP: 31418DNC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1749125 | PA      | $1704291.11    | 0.00%             | 2035-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AZ0701 FN 11/45 FIXED 4                           | CUSIP: 3138YRX78<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4561 | PA      | $4376.64       | 0.00%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2005-AR31                                          | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR31 4A1           | CUSIP: 45660LW70<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       55742 | PA      | $50110.18      | 0.00%             | 2036-01-25      | Floating      | 3.37%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 776486 FN 03/34 FLOATING VAR                      | CUSIP: 31404RUK1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1312 | PA      | $1347.29       | 0.00%             | 2034-03-01      | Floating      | 6.18%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA0538 FN 10/30 FIXED 4.5                         | CUSIP: 31417YS40<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        9074 | PA      | $9127.03       | 0.00%             | 2030-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 908251 FN 01/37 FIXED 6                           | CUSIP: 31411HBU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4359 | PA      | $4542.62       | 0.00%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM CORPORATION                                                 | OCCIDENTAL PETROLEUM COR OCCIDENTAL PETROLEUM COR           | CUSIP: 674599EJ0<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |     3250000 | PA      | $3300173.50    | 0.01%             | 2029-08-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-3339                                                                 | FREDDIE MAC FHR 3339 FL                                     | CUSIP: 31397JYP3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      317438 | PA      | $316550.18     | 0.00%             | 2037-07-15      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BT8113 FN 05/52 FIXED 3                           | CUSIP: 3140LXAP0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1949582 | PA      | $1716977.71    | 0.00%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-4                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2007 4 TA4              | CUSIP: 05953YAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1873697 | PA      | $1608447.54    | 0.00%             | 2037-05-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-18                                            | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 18 1A               | CUSIP: 23243WAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1139612 | PA      | $1120862.72    | 0.00%             | 2037-03-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q52473 FG 12/47 FIXED 4                   | CUSIP: 3132XUXB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      272284 | PA      | $262148.35     | 0.00%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 676699 FN 12/32 FIXED 6                           | CUSIP: 31391TX45<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3228 | PA      | $3297.09       | 0.00%             | 2032-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CSWF 2021-SOP2                                                                   | CREDIT SUISSE COMMERCIAL MORTG CSWF 2021 SOP2 A 144A        | CUSIP: 12657VAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      953142 | PA      | $925995.53     | 0.00%             | 2034-06-15      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QG2197 FR 05/53 FIXED 5.5                 | CUSIP: 3133C2NN4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      705679 | PA      | $718009.29     | 0.00%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MTGE LN TR 2007-10XS                                              | MORGAN STANLEY MORTGAGE LOAN T MSM 2007 10XS A1             | CUSIP: 61751MAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      323855 | PA      | $179320.70     | 0.00%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CHASEFLEX TRUST 2007-3                                                           | CHASEFLEX TRUST CFLX 2007 3 1A1                             | CUSIP: 16165AAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1040484 | PA      | $339239.56     | 0.00%             | 2037-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| KREF 2022-FL3 LTD                                                                | KREF 2022 FL3 LTD KREF 2022 FL3 A 144A                      | CUSIP: 48275EAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    34700645 | PA      | $34766660.74   | 0.08%             | 2039-02-17      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 782371 GN 08/38 FIXED 5                           | CUSIP: 36241KT40<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       40245 | PA      | $41291.82      | 0.00%             | 2038-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM3647 FN 06/35 FIXED VAR                         | CUSIP: 3140X7BR9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      182539 | PA      | $177859.30     | 0.00%             | 2035-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AP6060 FN 07/43 FIXED 3                           | CUSIP: 3138M9WW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      487343 | PA      | $448337.47     | 0.00%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| DUTCH MORTGAGE FINANCE BV 2024-1                                                 | DUTCH MORTGAGE FINANCE DMFI 2024 1A E                       | CUSIP: ACI2Q4KR3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | NL        |     2643000 | PA      | $3042370.24    | 0.01%             | 2067-08-22      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT PLN SOLD USD 20251022                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $35230.79      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB3278 FN 04/52 FIXED 3                           | CUSIP: 3140QNUC4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      179003 | PA      | $157553.59     | 0.00%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL8198 FN 02/46 FIXED VAR                         | CUSIP: 3138ETDC7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      115877 | PA      | $111590.58     | 0.00%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CHF SOLD USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |           1 | NC      | $11071.74      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS5839 FN 09/45 FIXED 4                           | CUSIP: 3138WFPZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      694062 | PA      | $668390.03     | 0.00%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GREENPOINT MTGE FUNDING TR 2006-AR3                                              | GREENPOINT MORTGAGE FUNDING TR GPMF 2006 AR3 4A2            | CUSIP: 39538WHG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       98799 | PA      | $88266.46      | 0.00%             | 2036-04-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 844270 FN 11/35 FIXED 6                           | CUSIP: 31407X6F3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       19171 | PA      | $19788.30      | 0.00%             | 2035-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WINSTON RE LTD                                                                   | WINSTON RE LTD UNSECURED 144A 02/28 VAR                     | CUSIP: 975660AC5<br>LEI: 2549001Q4VX5Y31QFJ88 | Long             | DBT              | CORP              | BM        |      300000 | PA      | $311640.00     | 0.00%             | 2028-02-21      | Floating      | 10.43%                | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5189 FN 11/53 FIXED 5                           | CUSIP: 31418EXT2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      338081 | PA      | $336423.78     | 0.00%             | 2053-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS6121 FN 11/45 FIXED 4                           | CUSIP: 3138WFYT7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       74469 | PA      | $71699.22      | 0.00%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINANCIAL GROUP INC                                              | SUMITOMO MITSUI FINL GRP SR UNSECURED 04/30 5.24            | CUSIP: 86562MDS6<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |    44100000 | PA      | $45717090.55   | 0.10%             | 2030-04-15      | Fixed         | 5.24%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TREASURY BILL 12/25 0.00000                                 | CUSIP: 912797RX7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      790000 | PA      | $783637.43     | 0.00%             | 2025-12-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MTGE LN TR 2007-8XS                                               | MORGAN STANLEY MORTGAGE LOAN T MSM 2007 8XS A1              | CUSIP: 61754PAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      526092 | PA      | $254078.61     | 0.00%             | 2037-04-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QE2221 FR 05/52 FIXED 4.5                 | CUSIP: 3133BBPE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       13411 | PA      | $13077.08      | 0.00%             | 2052-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVESTMENT LOAN TRUST 2004-11 2004-11                           | STRUCTURED ASSET INVESTMENT LO SAIL 2004 11 M1              | CUSIP: 86358EPQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     9233826 | PA      | $9177766.17    | 0.02%             | 2035-01-25      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                   | MORGAN STANLEY 03/27 1                                      | CUSIP: ACI2NCY93<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     9900000 | PA      | $11646844.42   | 0.03%             | 2027-03-19      | Floating      | 2.67%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AT2724 FN 05/43 FIXED 3                           | CUSIP: 3138WQA28<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4386 | PA      | $4035.28       | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 889685 FN 07/38 FIXED VAR                         | CUSIP: 31410KNA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       65539 | PA      | $68044.37      | 0.00%             | 2038-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | EURO-BUND OPTION  NOV25P 127.5 EXP 10/24/2025               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |       -1585 | NC      | $-353565.36    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 254694 FN 04/33 FIXED 6                           | CUSIP: 31371K3B5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         182 | PA      | $188.07        | 0.00%             | 2033-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA4700 FN 08/52 FIXED 4                           | CUSIP: 31418EGJ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1146150 | PA      | $1083873.26    | 0.00%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL CI7716 GN 11/51 FIXED 4                           | CUSIP: 3617XCSD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3883033 | PA      | $3671432.02    | 0.01%             | 2051-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3621 FN 03/39 FIXED 3.5                         | CUSIP: 31418DAX0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      203249 | PA      | $195661.00     | 0.00%             | 2039-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS0863 FN 10/43 FIXED 3                           | CUSIP: 3138W95Z9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        7229 | PA      | $6646.66       | 0.00%             | 2043-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ARM 2003-1                                                          | BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 1 6A1             | CUSIP: 07384MTN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        6694 | PA      | $6753.54       | 0.00%             | 2033-04-25      | Floating      | 6.57%                 | No            |                  2 | On Loan: No      |
| WARWICK FINANCE RESIDENTIAL MORTGAGES 3A                                         | WARWICK FINANCE RESIDENTIAL MO WARW 3A A 144A               | CUSIP: ACI0Y9KL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    52083389 | PA      | $70299091.17   | 0.15%             | 2049-12-21      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| NORVESTOR SPV III SCSP                                                           | PROJECT FENNO EUR REVOLVER                                  | CUSIP: BA000MLP0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | LU        |     7786657 | PA      | $9141930.03    | 0.02%             | 2028-07-10      | Floating      | 0.50%                 | Yes           |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AH9031 FN 03/26 FIXED 3.5                         | CUSIP: 3138ABA90<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        7889 | PA      | $7854.74       | 0.00%             | 2026-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS3869 FN 11/44 FIXED 4                           | CUSIP: 3138WDJP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       26537 | PA      | $25591.06      | 0.00%             | 2044-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2024-RPL2                                    | GS MORTGAGE BACKED SECURITIES GSMBS 2024 RPL2 A1 144A       | CUSIP: 36269MAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6321755 | PA      | $6189814.87    | 0.01%             | 2061-07-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 821433 FN 06/35 FIXED 6                           | CUSIP: 31406VSW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3245 | PA      | $3375.19       | 0.00%             | 2035-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $83027.23      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT PLN SOLD USD 20251015                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $136830.15     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PRINCIPAL LIFE GLOBAL FUNDING II                                                 | PRINCIPAL LFE GLB FND II SR SECURED 144A 08/26 1.25         | CUSIP: 74256LEP0<br>LEI: 635400WSLKBQWSOIIT41 | Long             | DBT              | CORP              | US        |    14000000 | PA      | $13666029.16   | 0.03%             | 2026-08-16      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AE9030 FN 06/26 FIXED 4                           | CUSIP: 31419LA86<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         898 | PA      | $894.21        | 0.00%             | 2026-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AH4088 FN 02/26 FIXED 3.5                         | CUSIP: 3138A5RJ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         477 | PA      | $475.35        | 0.00%             | 2026-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20251015                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-97724.30     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2551                                                                 | FREDDIE MAC FHR 2551 FD                                     | CUSIP: 31393JAZ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1306 | PA      | $1303.23       | 0.00%             | 2033-01-15      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 2025-RPL1                         | MSRM 2025 RPL1 SA 144A                                      | CUSIP: 990AAXQZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      368755 | PA      | $368959.49     | 0.00%             | 2075-11-01      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 008744 G2 11/25 FLOATING VAR                   | CUSIP: 36202KWD3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          79 | PA      | $79.05         | 0.00%             | 2025-11-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080046 G2 02/27 FLOATING VAR                   | CUSIP: 36225CBQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4158 | PA      | $4150.16       | 0.00%             | 2027-02-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2007-1                                               | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2007 1 2A1A            | CUSIP: 41164MAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    14049040 | PA      | $13077507.96   | 0.03%             | 2037-03-19      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| SOFI CONSUMER LOAN PROGRAM 2025-A TRUST                                          | SOFI CONSUMER LOAN PROGRAM TRU SCLP 2025 A R 144A           | CUSIP: 83407UAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     4019000 | PA      | $5437933.71    | 0.01%             | 2034-03-27      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| BFLD TRUST 2020-EYP                                                              | BFLD TRUST BFLD 2020 EYP A 144A                             | CUSIP: 05493AAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    14300000 | PA      | $11132524.26   | 0.02%             | 2035-10-15      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 775452 FN 05/34 FLOATING VAR                      | CUSIP: 31404QQD4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       22393 | PA      | $22660.40      | 0.00%             | 2034-05-01      | Floating      | 6.35%                 | No            |                  2 | On Loan: No      |
| HEALTHCARE REALTY HOLDINGS LP                                                    | HEALTHCARE RLTY HLDGS LP COMPANY GUAR 03/31 2.05            | CUSIP: 42225UAM6<br>LEI: 549300IYGAS4GE6VDL07 | Long             | DBT              | CORP              | US        |     3100000 | PA      | $2673492.36    | 0.01%             | 2031-03-15      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 008788 G2 01/26 FLOATING VAR                   | CUSIP: 36202KXR1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1456 | PA      | $1454.09       | 0.00%             | 2026-01-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| STIFEL FINANCIAL CORP                                                            | STIFEL FINANCIAL CORP SR UNSECURED 05/30 4                  | CUSIP: 860630AG7<br>LEI: 549300E5F07FE5GHJX84 | Long             | DBT              | CORP              | US        |    27600000 | PA      | $27062510.42   | 0.06%             | 2030-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QE8999 FR 08/52 FIXED 4                   | CUSIP: 3133BJ7L0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4285794 | PA      | $4052851.92    | 0.01%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2004-3                                             | COUNTRYWIDE ASSET BACKED CERTI CWL 2004 3 2A                | CUSIP: 1266714M5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      292631 | PA      | $287463.34     | 0.00%             | 2034-08-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX9427 FN 03/53 FIXED 5.5                         | CUSIP: 3140NEPM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    15876508 | PA      | $16128031.86   | 0.04%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QA8274 FR 03/50 FIXED 3.5                 | CUSIP: 3133A3FP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       51004 | PA      | $47123.43      | 0.00%             | 2050-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 323908 FN 09/29 FIXED VAR                         | CUSIP: 31374TYD5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         163 | PA      | $166.67        | 0.00%             | 2029-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WP CAREY INC                                                                     | WP CAREY INC SR UNSECURED 10/26 4.25                        | CUSIP: 92936UAE9<br>LEI: 54930042CRNE713E3Q67 | Long             | DBT              | CORP              | US        |     1700000 | PA      | $1700837.85    | 0.00%             | 2026-10-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| LIFEPOINT HEALTH INC                                                             | LIFEPOINT HEALTH INC SR SECURED 144A 10/30 11               | CUSIP: 53219LAW9<br>LEI: 549300G8ZVHRTBBBSZ90 | Long             | DBT              | CORP              | US        |     9200000 | PA      | $10151344.40   | 0.02%             | 2030-10-15      | Fixed         | 11.00%                | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317UAEOA3 PIMCO SWAPTION 3.625 PUT USD 2025101              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -62200000 | NC      | $-379364.02    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2010-39                                                               | FANNIE MAE FNR 2010 39 MZ                                   | CUSIP: 31398PW96<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1910752 | PA      | $1904513.03    | 0.00%             | 2040-05-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-21CB                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 21CB A3           | CUSIP: 12667GKC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      195787 | PA      | $144007.14     | 0.00%             | 2035-06-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20251015                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-391889.02    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3277 FN 02/48 FIXED 4                           | CUSIP: 31418CUB8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       22196 | PA      | $21341.77      | 0.00%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT EUR SOLD USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-13643.41     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MORTGAGE INVESTMENTS II TRUST 2003-AR4                          | STRUCTURED ASSET MORTGAGE INVE SAMI 2003 AR4 A1             | CUSIP: 86359LAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       69941 | PA      | $67096.28      | 0.00%             | 2034-01-19      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                                    | FORD MOTOR CREDIT CO LLC FORD MOTOR CREDIT CO LLC           | CUSIP: 345397G23<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |      800000 | PA      | $798233.50     | 0.00%             | 2029-09-06      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                      | BANK OF AMERICA CORP SR UNSECURED 11/28 VAR                 | CUSIP: 06051GLC1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     5897000 | PA      | $6146688.71    | 0.01%             | 2028-11-10      | Floating      | 6.20%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BV8822 FN 05/52 FIXED 3                           | CUSIP: 3140MNYU4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1300040 | PA      | $1146886.37    | 0.00%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ATLAS SENIOR LOAN FUND XIII                                                      | ATLAS SENIOR LOAN FUND LTD ATCLO 2019 13A A1NR 144A         | CUSIP: 04942VAW4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      484094 | PA      | $484499.98     | 0.00%             | 2031-04-22      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| WARWICK FINANCE RESIDENTIAL MORTGAGES 3A                                         | WARWICK FINANCE RESIDENTIAL MO WARW 3A RRC 144A             | CUSIP: ACI0YB0R4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |        1812 | PA      | $795798.61     | 0.00%             | 2049-12-21      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAP I 2003-SD1                                                | MORGAN STANLEY CAPITAL INC MSAC 2003 SD1 A1                 | CUSIP: 61746RCE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      390183 | PA      | $385361.66     | 0.00%             | 2033-03-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| NOMURA HOME EQUITY LOAN INC 2006-AF1                                             | NOMURA HOME EQUITY LOAN INC NHELI 2006 AF1 A1               | CUSIP: 65535AAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2579734 | PA      | $449209.52     | 0.00%             | 2036-10-25      | Variable      | 6.53%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DA4221 FN 11/53 FIXED 5.5                         | CUSIP: 3140A4VP3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      113584 | PA      | $114759.63     | 0.00%             | 2053-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| TRIAXX PRIME CDO 2007-1A                                                         | TRIAXX PRIME CDO TRIAX 2007 1A A1D 144A                     | CUSIP: 896006AB9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2659708 | PA      | $24533.15      | 0.00%             | 2039-10-02      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA4979 FN 04/53 FIXED 5.5                         | CUSIP: 31418EQ94<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1738297 | PA      | $1761203.33    | 0.00%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 13 08/13/25-01/02/29 CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |           1 | NC      | $335007.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS1560 FN 01/39 FIXED 4                           | CUSIP: 3138WAWW3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       45491 | PA      | $44728.03      | 0.00%             | 2039-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2005-AR12                                           | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR12 2A1A          | CUSIP: 45660LMG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      635394 | PA      | $589137.97     | 0.00%             | 2035-07-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2073                                                                 | FREDDIE MAC FHR 2073 Z                                      | CUSIP: 3133TERT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       73487 | PA      | $74791.30      | 0.00%             | 2028-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2018-RPL4                                            | LEGACY MORTGAGE ASSET TRUST LMAT 2018 RPL4 PT 144A          | CUSIP: 52472GAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    21655187 | PA      | $19847491.95   | 0.04%             | 2058-01-25      | Variable      | 4.27%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-29                                                   | COUNTRYWIDE HOME LOANS CWHL 2005 29 A1                      | CUSIP: 126694TD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      962592 | PA      | $451369.30     | 0.00%             | 2035-12-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 655819 FN 08/32 FLOATING VAR                      | CUSIP: 31390TSG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1346 | PA      | $1371.69       | 0.00%             | 2032-08-01      | Floating      | 6.18%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2023-6                                                | VERUS SECURITIZATION TRUST VERUS 2023 6 A1 144A             | CUSIP: 92539XAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8143683 | PA      | $8243205.48    | 0.02%             | 2068-09-25      | Fixed         | 6.67%                 | No            |                  2 | On Loan: No      |
| TEXAS NATURAL GAS SECURITIZATION FINANCE CORP                                    | TEXAS NATURAL GAS SECURITIZTN TNGUTL 04/35 FIXED 5.102      | CUSIP: 88258MAA3<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    55873058 | PA      | $57601720.17   | 0.13%             | 2035-04-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 31750R5B9 PIMCO FXVAN PUT EUR USD 1.10000000                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    10618500 | NC      | $218104.17     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR17                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR17 A1B2          | CUSIP: 92922F7S1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       90305 | PA      | $82992.66      | 0.00%             | 2045-12-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| PEOPLE'S CHOICE HOME LN SEC TR 2005-2                                            | PEOPLE S CHOICE HOME LOAN SECU PCHLT 2005 2 M4              | CUSIP: 71085PCD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2182296 | PA      | $2060844.05    | 0.00%             | 2035-05-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE TRUST-2006-12XS                                          | MORGAN STANLEY MORTGAGE LOAN T MSM 2006 12XS A6A            | CUSIP: 61749EAH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      974530 | PA      | $259511.97     | 0.00%             | 2036-10-25      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC8075 FN 06/46 FIXED 4                           | CUSIP: 3140F36M5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      552107 | PA      | $536700.13     | 0.00%             | 2046-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MEXICO GOVT                                                                      | UNITED MEXICAN STATES SR UNSECURED 03/38 5.125              | CUSIP: ACI30CT50<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |      800000 | PA      | $957057.92     | 0.00%             | 2038-03-19      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-25                                                   | COUNTRYWIDE HOME LOANS CWHL 2004 25 1A1                     | CUSIP: 12669GJY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      231277 | PA      | $219478.27     | 0.00%             | 2035-02-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 843855 FN 11/35 FIXED 6                           | CUSIP: 31407XQG9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       22714 | PA      | $23423.39      | 0.00%             | 2035-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 1998-40                                                               | FANNIE MAE FNR 1998 40 D                                    | CUSIP: 31359TJ25<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      241388 | PA      | $245310.85     | 0.00%             | 2028-07-18      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FS0344 FN 12/51 FIXED VAR                         | CUSIP: 3140XFL25<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      158937 | PA      | $140134.34     | 0.00%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PROJECT PANAMA SPV LIMITED LIABILITY CO                                          | PROJECT PANAMA SPV LLC 01/29 1                              | CUSIP: 74290GAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    46803000 | PA      | $47047641.62   | 0.10%             | 2029-01-03      | Floating      | 7.63%                 | No            |                  3 | On Loan: No      |
| FREDDIE MAC 1982                                                                 | FREDDIE MAC FHR 1982 Z                                      | CUSIP: 3133TAZT2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       18667 | PA      | $18700.26      | 0.00%             | 2027-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016 H23                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H23 F               | CUSIP: 38376RB70<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      710304 | PA      | $711754.33     | 0.00%             | 2066-10-20      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 940804 FN 07/37 FIXED 6                           | CUSIP: 31413BU58<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        6716 | PA      | $7059.29       | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD EUR BOUGHT USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-4896.60      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 485909 GN 04/31 FIXED 7.5                         | CUSIP: 36209YYE2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         280 | PA      | $283.16        | 0.00%             | 2031-04-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 928076 FN 01/37 FIXED 6                           | CUSIP: 31412LCM0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5339 | PA      | $5569.32       | 0.00%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD SGD BOUGHT USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $480.93        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| THORNBURG MORTGAGE SECURITIES TR 2007-3                                          | THORNBURG MORTGAGE SECURITIES TMST 2007 3 3A1               | CUSIP: 88522XAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3180006 | PA      | $2786024.59    | 0.01%             | 2047-06-25      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT                                                 | DEUTSCHE BANK AG REGS 09/30 VAR                             | CUSIP: ACI27THY8<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    22200000 | PA      | $27832440.19   | 0.06%             | 2030-09-05      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QH1172 FR 09/53 FIXED 5.5                 | CUSIP: 3133CDJR6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3859443 | PA      | $3901064.43    | 0.01%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS5599 FN 08/45 FIXED 4                           | CUSIP: 3138WFGH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2111901 | PA      | $2034443.33    | 0.00%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TREASURY BILL 12/25 0.00000                                 | CUSIP: 912797QS9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     2283000 | PA      | $2267200.11    | 0.00%             | 2025-12-04      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | VERIZON COMMUNICATIONS INC SNR S* ICE                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $150169.60     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL CO9381 G2 07/46 FIXED 3                        | CUSIP: 3617FMM67<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1091592 | PA      | $973614.62     | 0.00%             | 2046-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2006-M2                                                    | ARGENT SECURITIES INC. ARSI 2006 M2 A2B                     | CUSIP: 04013BAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3744309 | PA      | $1207943.93    | 0.00%             | 2036-09-25      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 008928 G2 07/26 FLOATING VAR                   | CUSIP: 36202K4M4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4773 | PA      | $4773.49       | 0.00%             | 2026-07-20      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TREASURY BILL 11/25 0.00000                                 | CUSIP: 912797RN9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     5247000 | PA      | $5222559.58    | 0.01%             | 2025-11-12      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| TRINITY SQUARE 2021-1 PLC A                                                      | TRINITY SQUARE TRINI 2021 1A AR 144A                        | CUSIP: ACI2NNG08<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    22531850 | PA      | $30381354.65   | 0.07%             | 2059-07-15      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECUR TRUST 2005-A15                                           | RESIDENTIAL ASSET SECURITIZATI RAST 2005 A15 5A1            | CUSIP: 45660L4G1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      519433 | PA      | $171617.13     | 0.00%             | 2036-02-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2010-18R                             | CREDIT SUISSE MORTGAGE TRUST CSMC 2010 18R 4A4 144A         | CUSIP: 22944JDG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      130970 | PA      | $128140.59     | 0.00%             | 2038-04-26      | Floating      | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL C01197 FG 07/31 FIXED 6.5                 | CUSIP: 31292HKJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         119 | PA      | $122.87        | 0.00%             | 2031-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CARRINGTON MTGE LOAN TRUST 2006-FRE2                                             | CARRINGTON MORTGAGE LOAN TRUST CARR 2006 FRE2 A3            | CUSIP: 14454AAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2760404 | PA      | $2123357.53    | 0.00%             | 2036-10-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL BC3826 GN 10/47 FIXED 3.5                         | CUSIP: 3617B7HB9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      358422 | PA      | $332802.65     | 0.00%             | 2047-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC8965 FN 07/46 FIXED 4                           | CUSIP: 3140F46B7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1276778 | PA      | $1228760.78    | 0.00%             | 2046-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 890446 FN 06/26 FIXED VAR                         | CUSIP: 31410LHX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1590 | PA      | $1588.75       | 0.00%             | 2026-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL C32912 FG 11/29 FIXED 7.5                 | CUSIP: 31293YGV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         267 | PA      | $268.75        | 0.00%             | 2029-11-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 754203 FN 12/33 FLOATING VAR                      | CUSIP: 31403N3L9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       40269 | PA      | $40979.43      | 0.00%             | 2033-12-01      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2017-RPL2                            | CREDIT SUISSE MORTGAGE TRUST CSMC 2017 RPL2 SA 144A         | CUSIP: 12594YAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       58861 | PA      | $58163.47      | 0.00%             | 2056-02-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 357821 FN 05/35 FIXED 6                           | CUSIP: 31376KPE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1028 | PA      | $1076.81       | 0.00%             | 2035-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AH3784 FN 01/41 FIXED 4                           | CUSIP: 3138A5F23<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       29310 | PA      | $28531.47      | 0.00%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080145 G2 12/27 FLOATING VAR                   | CUSIP: 36225CET9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1507 | PA      | $1509.49       | 0.00%             | 2027-12-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| BOSTON PROPERTIES LP                                                             | BOSTON PROPERTIES LP SR UNSECURED 06/29 3.4                 | CUSIP: 10112RBB9<br>LEI: BVHHEFJI6SHNOKQT2572 | Long             | DBT              | CORP              | US        |    24141000 | PA      | $23174550.55   | 0.05%             | 2029-06-21      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2091                                                                 | FREDDIE MAC FHR 2091 ZE                                     | CUSIP: 3133TGU64<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      225253 | PA      | $228805.09     | 0.00%             | 2028-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-15CB                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 15CB A25          | CUSIP: 02151CBK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       90979 | PA      | $51646.00      | 0.00%             | 2037-07-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3147 FN 10/47 FIXED 3                           | CUSIP: 31418CP99<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        6333 | PA      | $5721.41       | 0.00%             | 2047-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BW5789 FN 08/52 FIXED 4.5                         | CUSIP: 3140MXNF7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      384909 | PA      | $375168.39     | 0.00%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 555436 FN 05/33 FIXED VAR                         | CUSIP: 31385XBD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1794 | PA      | $1855.52       | 0.00%             | 2033-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 781430 GN 09/31 FIXED 8                           | CUSIP: 36225BST6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1288 | PA      | $1365.11       | 0.00%             | 2031-09-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC7610 FN 05/46 FIXED 4                           | CUSIP: 3140F3N46<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      750396 | PA      | $721859.88     | 0.00%             | 2046-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 946206 FN 09/37 FIXED 6                           | CUSIP: 31413HU71<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       31522 | PA      | $33235.50      | 0.00%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2024-INV1                                            | LEGACY MORTGAGE ASSET TRUST LMAT 2024 INV1 SA 144A          | CUSIP: 52475VAT5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      118791 | PA      | $117001.79     | 0.00%             | 2053-12-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 917021 FN 04/37 FIXED 6                           | CUSIP: 31411WYS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       14895 | PA      | $15522.39      | 0.00%             | 2037-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 2.42000 03/07/25-10Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $-95747.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-8T2                                            | BANC OF AMERICA FUNDING CORPOR BAFC 2006 8T2 A10            | CUSIP: 05951UAK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      186024 | PA      | $166116.61     | 0.00%             | 2036-10-25      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INTERNATIONAL CORP (CCI)                                            | CROWN CASTLE INC CROWN CASTLE INC                           | CUSIP: 22822VBD2<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |     3100000 | PA      | $3222522.76    | 0.01%             | 2029-06-01      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ABS INC 2003-SD2                                                    | BEAR STEARNS ASSET BACKED SECU BSABS 2003 SD2 2A            | CUSIP: 07384YLJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      177054 | PA      | $174400.75     | 0.00%             | 2043-06-25      | Variable      | 6.14%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE8342 FN 10/47 FIXED 4                           | CUSIP: 3140FUHU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5482 | PA      | $5271.04       | 0.00%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MATTEL INC                                                                       | MATTEL INC COMPANY GUAR 144A 04/26 3.375                    | CUSIP: 577081BE1<br>LEI: 549300VELLG24KHTJ564 | Long             | DBT              | CORP              | US        |     4300000 | PA      | $4269836.92    | 0.01%             | 2026-04-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 1997-57                                                               | FANNIE MAE FNR 1997 57 PN                                   | CUSIP: 31359QJS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       10117 | PA      | $10081.07      | 0.00%             | 2027-09-18      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE WHOLE LOAN 2003-W4                                                    | FANNIEMAE WHOLE LOAN FNW 2003 W4 2A                         | CUSIP: 31393AP68<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2530541 | PA      | $2561472.79    | 0.01%             | 2042-10-25      | Variable      | 5.09%                 | No            |                  2 | On Loan: No      |
| LEHMAN MORTGAGE TRUST 2006-3 2006-3                                              | LEHMAN MORTGAGE TRUST LMT 2006 3 1A4                        | CUSIP: 52520CAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1207149 | PA      | $600727.33     | 0.00%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 902784 FN 12/36 FIXED 6                           | CUSIP: 31411A6V2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       17879 | PA      | $18793.30      | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH9389 FN 11/32 FIXED 3                           | CUSIP: 3140GYNF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      871583 | PA      | $849228.54     | 0.00%             | 2032-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3957 FN 03/35 FIXED 3.5                         | CUSIP: 31418DMF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      233796 | PA      | $227803.43     | 0.00%             | 2035-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALT MTG SEC 2006-RE1                                               | FIRST HORIZON ALTERNATIVE MORT FHAMS 2006 RE1 A1            | CUSIP: 32051RAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      995538 | PA      | $618594.69     | 0.00%             | 2035-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 807963 FN 01/35 FIXED 5                           | CUSIP: 31406ETU8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         714 | PA      | $730.68        | 0.00%             | 2035-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080263 G2 03/29 FLOATING VAR                   | CUSIP: 36225CJH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       11870 | PA      | $11921.69      | 0.00%             | 2029-03-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS8966 FN 03/47 FIXED 4                           | CUSIP: 3138WJ6C7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        9805 | PA      | $9434.48       | 0.00%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $13173000.14   | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 400975 FN 09/27 FIXED 8                           | CUSIP: 31378KMY7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       17728 | PA      | $17851.40      | 0.00%             | 2027-09-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2007-A1                                              | CHASE MORTGAGE FINANCE CORPORA CHASE 2007 A1 1A3            | CUSIP: 161630AC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        3786 | PA      | $3784.10       | 0.00%             | 2037-02-25      | Floating      | 6.52%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 972159 FH 03/35 FLOATING VAR              | CUSIP: 31336CMG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3055 | PA      | $3116.33       | 0.00%             | 2035-03-01      | Floating      | 6.67%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                                                    | BOEING CO/THE SR UNSECURED 05/29 6.298                      | CUSIP: 097023DQ5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     4500000 | PA      | $4776892.65    | 0.01%             | 2029-05-01      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 922569 FN 12/36 FIXED 6                           | CUSIP: 31412D6E3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      188278 | PA      | $196209.92     | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2002-45                                                               | FANNIE MAE FNR 2002 45 ZA                                   | CUSIP: 31392DTH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      174703 | PA      | $179675.87     | 0.00%             | 2031-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                               | ENERGY TRANSFER LP ENERGY TRANSFER LP                       | CUSIP: 29273VAY6<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     5250000 | PA      | $5388908.44    | 0.01%             | 2034-05-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY6820 FN 08/53 FIXED 4.5                         | CUSIP: 3140NPSJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2611936 | PA      | $2545295.56    | 0.01%             | 2053-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| LUMINENT MORTGAGE TRUST 2007-1                                                   | LUMINENT MORTGAGE TRUST LUM 2007 1 1A1                      | CUSIP: 55028CAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      108813 | PA      | $99221.37      | 0.00%             | 2036-11-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 985558 FN 06/38 FIXED 5.5                         | CUSIP: 31415PZX9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       26122 | PA      | $27067.45      | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-682824.01    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ORANGE CAPITAL RE DESIGNATED ACTIVITY COMPANY                                    | ORANGE CAPITAL RE DAC SR UNSECURED 144A 01/29 VAR           | CUSIP: ACI2S2B04<br>LEI: 635400PXTZAPQFEPH515 | Long             | DBT              | CORP              | IE        |      300000 | PA      | $355103.36     | 0.00%             | 2029-01-17      | Floating      | 7.98%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 896824 FN 07/36 FIXED 6                           | CUSIP: 31410TLD5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1434 | PA      | $1494.85       | 0.00%             | 2036-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 399907 FN 08/27 FLOATING VAR                      | CUSIP: 31378JGQ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        8543 | PA      | $8550.74       | 0.00%             | 2027-08-01      | Floating      | 6.46%                 | No            |                  2 | On Loan: No      |
| MFA 2023-NQM1 TRUST                                                              | MFRA TRUST MFRA 2023 NQM1 A1 144A                           | CUSIP: 55285PAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    24480346 | PA      | $24458832.47   | 0.05%             | 2067-11-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 08/48 3                                     | CUSIP: 912810SD1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   178290900 | PA      | $134094258.26  | 0.30%             | 2048-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-R1                                                 | BEAR STEARNS ALT A TRUST BALTA 2006 R1 2E21                 | CUSIP: 073866BN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3037722 | PA      | $2021972.32    | 0.00%             | 2036-08-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AZ8885 FN 10/45 FIXED 4                           | CUSIP: 3140E12T9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      121556 | PA      | $116881.39     | 0.00%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA0866 FN 08/31 FIXED 5                           | CUSIP: 31417Y6C6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5076 | PA      | $5142.96       | 0.00%             | 2031-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 555570 FN 06/33 FIXED VAR                         | CUSIP: 31385XFK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        6076 | PA      | $6286.60       | 0.00%             | 2033-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AU6566 FN 09/43 FIXED 3                           | CUSIP: 3138X6JL0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       11176 | PA      | $10269.77      | 0.00%             | 2043-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2007-AR1                                           | INDYMAC INDX MORTGAGE LOAN TRU INDX 2007 AR1 3A1            | CUSIP: 45669BAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4446992 | PA      | $3941474.30    | 0.01%             | 2037-04-25      | Floating      | 3.76%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5009 FN 05/53 FIXED 5                           | CUSIP: 31418ER77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1011806 | PA      | $1008410.90    | 0.00%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3975                                                          | FREDDIE MAC FHR 3975 CS                                     | CUSIP: 3137AK4J7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4444834 | PA      | $653891.56     | 0.00%             | 2041-12-15      | Floating      | 2.02%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                    | CITIGROUP INC SR UNSECURED 02/28 VAR                        | CUSIP: 172967NG2<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    71900000 | PA      | $70808895.21   | 0.16%             | 2028-02-24      | Floating      | 3.07%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20251027                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $-36553.89     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON COMPANY                                               | SOUTHERN CAL EDISON 1ST MORTGAGE 06/31 2.5                  | CUSIP: 842400HD8<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     7760000 | PA      | $6887126.02    | 0.02%             | 2031-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QG6242 FR 06/53 FIXED 5                   | CUSIP: 3133C65B1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       34851 | PA      | $34684.55      | 0.00%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIES 2006-KS8                                            | RESIDENTIAL ASSET SECURITIES C RASC 2006 KS8 A4             | CUSIP: 74924RAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      895992 | PA      | $886905.49     | 0.00%             | 2036-10-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL FUNDING MTG SEC I 2003-S9                                            | RESIDENTIAL FUNDING MTG SEC I RFMSI 2003 S9 A1              | CUSIP: 76111JZ72<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       33115 | PA      | $33504.28      | 0.00%             | 2032-03-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ELECTRICITE DE FRANCE SA (EDF)                                                   | ELECTRICITE DE FRANCE SA SR UNSECURED 144A 01/55 6.375      | CUSIP: 28504DAG8<br>LEI: 549300X3UK4GG3FNMO06 | Long             | DBT              | CORP              | FR        |     7100000 | PA      | $7437211.02    | 0.02%             | 2055-01-13      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20251027                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $37026.14      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA8149 G2 07/52 FIXED 3.5                      | CUSIP: 36179XBS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    68467992 | PA      | $62575756.94   | 0.14%             | 2052-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL A38713 FG 01/35 FIXED 6.5                 | CUSIP: 31297UVE7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        7999 | PA      | $8310.58       | 0.00%             | 2035-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20251015                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-73321.24     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 529481 GN 07/30 FIXED 8.5                         | CUSIP: 36212CFW6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3813 | PA      | $3824.91       | 0.00%             | 2030-07-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2135                                                                 | FREDDIE MAC FHR 2135 LZ                                     | CUSIP: 3133TJWT6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       48488 | PA      | $49149.06      | 0.00%             | 2029-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CSMC TRUST 2017-RPL1                                                             | CREDIT SUISSE MORTGAGE TRUST CSMC 2017 RPL1 A1 144A         | CUSIP: 22945AAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      873126 | PA      | $855316.09     | 0.00%             | 2057-07-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN ABS 2006-FF11                                            | FIRST FRANKLIN MTG LOAN ASSET FFML 2006 FF11 2A4            | CUSIP: 32028PAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1949041 | PA      | $1908179.74    | 0.00%             | 2036-08-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 530071 GN 08/30 FIXED 8.5                         | CUSIP: 36212C2C4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         460 | PA      | $461.14        | 0.00%             | 2030-08-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20251017                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-244532.51    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX5930 FN 01/53 FIXED 5.5                         | CUSIP: 3140NASU8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      253407 | PA      | $256498.63     | 0.00%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-NC5                                            | MORGAN STANLEY CAPITAL INC MSAC 2006 NC5 A2C                | CUSIP: 61749BAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    11004429 | PA      | $5745477.55    | 0.01%             | 2036-10-25      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| TOYOTA AUTO LOAN EXTENDED NOTE TRUST 2023-1A                                     | TOYOTA AUTO LOAN EXTENDED NOTE TALNT 2023 1A A 144A         | CUSIP: 89231WAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     9400000 | PA      | $9628418.12    | 0.02%             | 2036-06-25      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2022-DATA                 | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2022 DATA A 144A       | CUSIP: 465972AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    17100000 | PA      | $15991425.81   | 0.04%             | 2042-06-10      | Variable      | 4.05%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 953898 FN 11/37 FIXED 6                           | CUSIP: 31413SGF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       35114 | PA      | $36314.13      | 0.00%             | 2037-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                     | BARCLAYS PLC SR UNSECURED 11/26 VAR                         | CUSIP: 06738ECC7<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    40000000 | PA      | $40092989.60   | 0.09%             | 2026-11-02      | Floating      | 7.33%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR15                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR15 A1B2          | CUSIP: 92922F5W4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      111770 | PA      | $105938.90     | 0.00%             | 2045-11-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SECURITIES INC 2007-AR1                                           | DEUTSCHE ALT A SECURITIES INC DBALT 2007 AR1 A5             | CUSIP: 25151RAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2887573 | PA      | $2547896.18    | 0.01%             | 2047-01-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 743877 FN 11/33 FIXED 6                           | CUSIP: 31403BM26<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      115399 | PA      | $118836.14     | 0.00%             | 2033-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5216 FN 12/53 FIXED 6                           | CUSIP: 31418EYN4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     9696343 | PA      | $9935151.88    | 0.02%             | 2053-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 1998-36                                                               | FANNIE MAE FNR 1998 36 ZB                                   | CUSIP: 31359T5E4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       10495 | PA      | $10603.62      | 0.00%             | 2028-07-18      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                                | REPUBLIC OF SOUTH AFRICA SR UNSECURED 01/37 8.5             | CUSIP: ACI06HB74<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |   720900000 | PA      | $38462749.16   | 0.08%             | 2037-01-31      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLINES 2023-1 CLASS A PASS THROUGH TRUST                                | UNITED AIR 2023 1 A PTT PASS THRU CE 07/37 5.8              | CUSIP: 90932LAJ6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    44316124 | PA      | $45991104.65   | 0.10%             | 2037-07-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2025-1                                                         | FANNIE MAE FNR 2025 1 FD                                    | CUSIP: 3136BUZM5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    21236219 | PA      | $21354065.61   | 0.05%             | 2055-02-25      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR13                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR13 2A            | CUSIP: 93363RAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3639273 | PA      | $3453213.90    | 0.01%             | 2046-10-25      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT AUD SOLD USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |           1 | NC      | $685492.09     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZT1566 FR 12/33 FIXED 3.5                 | CUSIP: 3132ADW38<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       19421 | PA      | $19159.64      | 0.00%             | 2033-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 972607 FN 04/38 FIXED 5.5                         | CUSIP: 31414QAG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        9215 | PA      | $9478.51       | 0.00%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2006-16N                                                         | LEHMAN XS TRUST LXS 2006 16N A4A                            | CUSIP: 52522DAM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      119043 | PA      | $106194.17     | 0.00%             | 2046-11-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| NEW CENTURY HOME EQUITY LOAN TR 2004-1                                           | NEW CENTURY HOME EQUITY LOAN T NCHET 2004 1 M1              | CUSIP: 64352VFQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      469538 | PA      | $486239.55     | 0.00%             | 2034-05-25      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 889829 FN 07/35 FIXED VAR                         | CUSIP: 31410KSS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2258 | PA      | $2280.94       | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3741 FN 08/39 FIXED 3                           | CUSIP: 31418DEP3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       67796 | PA      | $63638.80      | 0.00%             | 2039-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 922067 FN 02/37 FIXED 6                           | CUSIP: 31412DMQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1379 | PA      | $1429.61       | 0.00%             | 2037-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT PLN SOLD USD 20251022                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $49408.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZK2767 FR 12/25 FIXED 3.5                 | CUSIP: 3131X6CC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       12807 | PA      | $12752.82      | 0.00%             | 2025-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM1628 FN 09/33 FIXED VAR                         | CUSIP: 3140X4Y26<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      627965 | PA      | $619601.06     | 0.00%             | 2033-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY8593 FN 08/53 FIXED 5                           | CUSIP: 3140NRRP3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      262838 | PA      | $262396.55     | 0.00%             | 2053-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 929940 FN 09/38 FIXED 6                           | CUSIP: 31412NEM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      235659 | PA      | $248470.23     | 0.00%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AH5614 FN 02/26 FIXED 3.5                         | CUSIP: 3138A7GY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2744 | PA      | $2732.43       | 0.00%             | 2026-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 817468 FN 09/35 FLOATING VAR                      | CUSIP: 31406RFH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      227752 | PA      | $230122.22     | 0.00%             | 2035-09-01      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJ RATE MTGE LOAN 2006-1                                             | STRUCTURED ADJUSTABLE RATE MOR SARM 2006 1 6A1              | CUSIP: 863579Q43<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      803629 | PA      | $592839.90     | 0.00%             | 2036-02-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 965509 FN 12/37 FIXED 6                           | CUSIP: 31414GDN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       56737 | PA      | $59640.39      | 0.00%             | 2037-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB9560 FN 05/43 FIXED 3                           | CUSIP: 31417GTS5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       81744 | PA      | $75150.18      | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QE0616 FR 04/52 FIXED 3                   | CUSIP: 3133B9VH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1793298 | PA      | $1578873.24    | 0.00%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| EDISON INTERNATIONAL                                                             | EDISON INTERNATIONAL SR UNSECURED 06/29 5.45                | CUSIP: 281020BA4<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |    13300000 | PA      | $13408337.68   | 0.03%             | 2029-06-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20251015                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-199860.29    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HUNTINGTON INGALLS INDUSTRIES INC                                                | HUNTINGTON INGALLS INDUS COMPANY GUAR 08/28 2.043           | CUSIP: 446413AZ9<br>LEI: 5TZLZ6WJTBVJ0QWBG121 | Long             | DBT              | CORP              | US        |    10000000 | PA      | $9400452.70    | 0.02%             | 2028-08-16      | Fixed         | 2.04%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2003-34A                                               | STRUCTURED ASSET SECURITIES CO SASC 2003 34A 6A             | CUSIP: 86359A5V1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       18171 | PA      | $18406.60      | 0.00%             | 2033-11-25      | Floating      | 6.61%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | EURO-BOBL FUTURE  DEC25 XEUR 20251208                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |         104 | NC      | $3994.40       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| PROVINCE OF ONTARIO CANADA                                                       | ONTARIO (PROVINCE OF) SR UNSECURED 12/34 3.8                | CUSIP: 68333ZBG1<br>LEI: C7PVKCRGLG18EBQGZV36 | Long             | DBT              | NUSS              | CA        |    95200000 | PA      | $69338683.66   | 0.15%             | 2034-12-02      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 357843 FN 07/35 FIXED 6                           | CUSIP: 31376KP42<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5888 | PA      | $6189.24       | 0.00%             | 2035-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 252409 FN 03/29 FIXED 6.5                         | CUSIP: 31371HKW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1271 | PA      | $1292.66       | 0.00%             | 2029-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AU3414 FN 07/43 FIXED 3                           | CUSIP: 3138X2YL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4903 | PA      | $4512.05       | 0.00%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALT LOAN TRUST 2003-J2                                               | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2003 J2 A1             | CUSIP: 12669E4A1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      143317 | PA      | $146516.01     | 0.00%             | 2033-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES 2015-2 CLASS AA PASS THROUGH TRUST                             | AMER AIRLN 15 2 AA PTT PASS THRU CE 03/29 3.6               | CUSIP: 02377BAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     4949231 | PA      | $4854637.27    | 0.01%             | 2029-03-22      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 1998-RF1                                               | STRUCTURED ASSET SECURITIES CO SASC 1998 RF1 A 144A         | CUSIP: 863572SK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        5238 | PA      | $5231.87       | 0.00%             | 2027-04-15      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| BARROW FUNDING PLC 1A                                                            | BARROW FUNDING PLC BARRO 1A B                               | CUSIP: ACI2P7XP7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    14894000 | PA      | $20271788.62   | 0.04%             | 2062-11-16      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| EMPOWER FINANCE 2020 LP                                                          | EMPOWER FINANCE 2020 LP COMPANY GUAR 144A 09/27 1.357       | CUSIP: 29248HAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    15600000 | PA      | $14772955.08   | 0.03%             | 2027-09-17      | Fixed         | 1.36%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD KRW BOUGHT USD 20251022                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $193529.38     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2003-5 2003-5                                             | SEQUOIA MORTGAGE TRUST SEMT 2003 5 A2                       | CUSIP: 81743PCK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       28560 | PA      | $28175.22      | 0.00%             | 2033-09-20      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 1J1279 FH 04/36 FLOATING VAR              | CUSIP: 3128NHM42<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       61962 | PA      | $63725.89      | 0.00%             | 2036-04-01      | Floating      | 6.46%                 | No            |                  2 | On Loan: No      |
| OSCAR US FUNDING XIV LLC 2022-1A                                                 | OSCAR US FUNDING TRUST OSCAR 2022 1A A4 144A                | CUSIP: 68784HAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | JP        |     3261500 | PA      | $3227604.21    | 0.01%             | 2029-04-10      | Fixed         | 2.82%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AJ3897 FN 10/41 FIXED 4                           | CUSIP: 3138AVKK0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       86412 | PA      | $84090.37      | 0.00%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 651267 FN 07/32 FIXED 6.5                         | CUSIP: 31390NQU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1371 | PA      | $1416.13       | 0.00%             | 2032-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.6637* 03/01/24-7Y* LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-699597.07    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2006-AR7                                           | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR7 1A1            | CUSIP: 45661ECW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1283984 | PA      | $1015606.88    | 0.00%             | 2036-05-25      | Floating      | 3.57%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL3191 FN 02/28 FIXED VAR                         | CUSIP: 3138EKRM9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       80636 | PA      | $80111.69      | 0.00%             | 2028-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SAUDI ARABIA GOVT                                                                | SAUDI INTERNATIONAL BOND SR UNSECURED 144A 03/32 3.375      | CUSIP: ACI2V6L67<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |    17800000 | PA      | $21113561.22   | 0.05%             | 2032-03-05      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                                                           | STANDARD CHARTERED PLC SR UNSECURED 144A 01/27 VAR          | CUSIP: 853254BZ2<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |    11600000 | PA      | $11496548.18   | 0.03%             | 2027-01-14      | Floating      | 1.46%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                                                           | STANDARD CHARTERED PLC SR UNSECURED 144A 07/27 VAR          | CUSIP: 853254CT5<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |     1500000 | PA      | $1520123.43    | 0.00%             | 2027-07-06      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20251001                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $329942.34     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 797649 FN 09/35 FIXED 6                           | CUSIP: 31405SEW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         666 | PA      | $699.48        | 0.00%             | 2035-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 886220 FN 07/36 FIXED 6                           | CUSIP: 31410DSH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       10598 | PA      | $11139.18      | 0.00%             | 2036-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2006-93                                                        | FANNIE MAE FNR 2006 93 FN                                   | CUSIP: 31396LBH2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      163573 | PA      | $162316.24     | 0.00%             | 2036-10-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| AVIATION CAPITAL GROUP LLC                                                       | AVIATION CAPITAL GROUP AVIATION CAPITAL GROUP               | CUSIP: 05369AAQ4<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |     1100000 | PA      | $1127243.33    | 0.00%             | 2029-07-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS AUD 4.50000 03/20/24-10Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |           1 | NC      | $2648070.61    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| NATIONWIDE BUILDING SOCIETY                                                      | NATIONWIDE BLDG SOCIETY 144A 10/27 VAR                      | CUSIP: 63861VAJ6<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |    20275000 | PA      | $20739466.19   | 0.05%             | 2027-10-18      | Floating      | 6.56%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 820207 FN 05/35 FIXED 6                           | CUSIP: 31406UGQ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       10736 | PA      | $11209.91      | 0.00%             | 2035-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 852487 FN 12/35 FIXED 6                           | CUSIP: 31408JCY5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4598 | PA      | $4766.98       | 0.00%             | 2035-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317UADUA8 PIMCO SWAPTION 3.385 CALL USD 202510              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -83600000 | NC      | $-17656.32     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20251020                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $-1105.89      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TR 2007-2                                           | RENAISSANCE HOME EQUITY LOAN T RAMC 2007 2 AF4              | CUSIP: 75970QAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8996798 | PA      | $2292269.76    | 0.01%             | 2037-06-25      | Variable      | 5.91%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZT1872 FR 04/34 FIXED 3.5                 | CUSIP: 3132AECH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      237697 | PA      | $234326.90     | 0.00%             | 2034-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL BA2666 GN 06/47 FIXED 5                           | CUSIP: 3617AE6B7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       68376 | PA      | $68617.07      | 0.00%             | 2047-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 581625 FN 06/31 FIXED 8.5                         | CUSIP: 31387ED61<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        6397 | PA      | $6443.22       | 0.00%             | 2031-06-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-OA12                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA12 A1B          | CUSIP: 23243AAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      378611 | PA      | $390809.86     | 0.00%             | 2046-09-20      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB6018 FN 08/42 FIXED 3.5                         | CUSIP: 31417CVL6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2212 | PA      | $2096.28       | 0.00%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $1597528.87    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AE9741 FN 12/40 FIXED 5                           | CUSIP: 31419LZF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        8874 | PA      | $9093.33       | 0.00%             | 2040-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2021-8                                                  | JP MORGAN MORTGAGE TRUST JPMMT 2021 8 A12 144A              | CUSIP: 46592TBL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     9842577 | PA      | $9700185.50    | 0.02%             | 2051-12-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 840883 FN 10/35 FIXED 6                           | CUSIP: 31407UFY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        6534 | PA      | $6720.89       | 0.00%             | 2035-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2006-8F                                                  | GSR MORTGAGE LOAN TRUST GSR 2006 8F 4A1                     | CUSIP: 362611AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2077311 | PA      | $902313.61     | 0.00%             | 2036-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 612197 FN 11/31 FLOATING VAR                      | CUSIP: 31388RDA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       22219 | PA      | $22328.74      | 0.00%             | 2031-11-01      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZK2839 FR 12/25 FIXED 3.5                 | CUSIP: 3131X6EL0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         413 | PA      | $411.62        | 0.00%             | 2025-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BRANDYWINE OPERATING PARTNERSHIP LP                                              | BRANDYWINE OPER PARTNERS COMPANY GUAR 10/29 4.55            | CUSIP: 105340AP8<br>LEI: IXBXSCONLDQ1ZI73YU71 | Long             | DBT              | CORP              | US        |    16500000 | PA      | $15779874.00   | 0.03%             | 2029-10-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 839307 FN 10/35 FLOATING VAR                      | CUSIP: 31407SNY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       61594 | PA      | $63152.56      | 0.00%             | 2035-10-01      | Floating      | 6.52%                 | No            |                  2 | On Loan: No      |
| AIRCASTLE LIMITED                                                                | AIRCASTLE LTD COMPANY GUAR 06/26 4.25                       | CUSIP: 00928QAS0<br>LEI: 549300PNK8AKY3OIKP58 | Long             | DBT              | CORP              | BM        |     1500000 | PA      | $1498802.67    | 0.00%             | 2026-06-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2006-AR39                                           | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR39 A1            | CUSIP: 45660KAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1235290 | PA      | $1146254.31    | 0.00%             | 2037-02-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS7188 FN 05/46 FIXED 4                           | CUSIP: 3138WG7A6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1051166 | PA      | $1011960.03    | 0.00%             | 2046-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CALIFORNIA HEALTH FACILITIES FINANCING AUTHORITY                                 | CALIFORNIA ST HLTH FACS FING A CASMED 06/28 FIXED 2.534     | CUSIP: 13032UVF2<br>LEI: 5493007RI8BUDOGHZ546 | Long             | DBT              | MUN               | US        |     5100000 | PA      | $4915996.59    | 0.01%             | 2028-06-01      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TR 2004-3                                           | RENAISSANCE HOME EQUITY LOAN T RAMC 2004 3 AV2A             | CUSIP: 759950DY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      183200 | PA      | $162493.85     | 0.00%             | 2034-11-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 922668 FN 03/37 FIXED 6                           | CUSIP: 31412ECD6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       20411 | PA      | $21086.53      | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2006-WF1                                              | JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 WF1 A3B           | CUSIP: 46628SAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4931987 | PA      | $1358793.02    | 0.00%             | 2036-07-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                                | REPUBLIC OF SOUTH AFRICA SR UNSECURED 02/31 7               | CUSIP: S69124NF8<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |  1368700000 | PA      | $75181018.76   | 0.17%             | 2031-02-28      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR ACCEPTANCE CORPORATION                                              | NISSAN MOTOR ACCEPTANCE SR UNSECURED 144A 03/26 2           | CUSIP: 654740BS7<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |    23900000 | PA      | $23533940.43   | 0.05%             | 2026-03-09      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS7386 FR 12/30 FIXED 3.5                 | CUSIP: 3132A8F38<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        8818 | PA      | $8776.22       | 0.00%             | 2030-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 908962 FN 01/37 FIXED 6                           | CUSIP: 31411HZ37<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       22168 | PA      | $22847.87      | 0.00%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BRITISH AIRWAYS 2019-1 CLASS AA PASS THROUGH TRUST                               | BRITISH AIR 19 1 AA PTT PASS THRU CE 144A 06/34 3.3         | CUSIP: 11043XAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     4484749 | PA      | $4249290.26    | 0.01%             | 2034-06-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2022-PJ2                                     | GS MORTGAGE BACKED SECURITIES GSMBS 2022 PJ2 A4 144A        | CUSIP: 36267EAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    44313392 | PA      | $36869978.44   | 0.08%             | 2052-06-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A2                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2006 A2 3A1                  | CUSIP: 466247J95<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      412778 | PA      | $360715.67     | 0.00%             | 2036-04-25      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT PEN SOLD USD 20251210                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $251.10        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2006-12N                                                         | LEHMAN XS TRUST LXS 2006 12N A31A                           | CUSIP: 525226AG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      373859 | PA      | $391556.08     | 0.00%             | 2046-08-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| BMW VEHICLE LEASE TRUST 2023-2                                                   | BMW VEHICLE LEASE TRUST BMWLT 2023 2 A3                     | CUSIP: 055979AC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      859669 | PA      | $861204.40     | 0.00%             | 2026-09-25      | Fixed         | 5.99%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA7650 G2 10/51 FIXED 3                        | CUSIP: 36179WQB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      940540 | PA      | $841022.17     | 0.00%             | 2051-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AZ6051 FN 11/45 FIXED 4                           | CUSIP: 3138YXWM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       29220 | PA      | $27891.94      | 0.00%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2025-C                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2025 C B 144A            | CUSIP: 83208DAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     8500000 | PA      | $8536008.55    | 0.02%             | 2055-03-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A1                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2006 A1 2A2                  | CUSIP: 466247E74<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        4221 | PA      | $2927.92       | 0.00%             | 2036-02-25      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS4073 FN 12/44 FIXED 4                           | CUSIP: 3138WDQ38<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       20352 | PA      | $19614.20      | 0.00%             | 2044-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20260326                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $-178151.67    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5584                                                          | FREDDIE MAC FHR 5584 DF                                     | CUSIP: 3137HNCM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2600000 | PA      | $2604212.00    | 0.01%             | 2055-10-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AE8410 FN 11/25 FIXED 3.5                         | CUSIP: 31419KKY0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2425 | PA      | $2417.42       | 0.00%             | 2025-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOODMAN US FINANCE THREE LLC                                                     | GOODMAN US FIN THREE COMPANY GUAR 144A 03/28 3.7            | CUSIP: 38239JAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    10100000 | PA      | $9968247.12    | 0.02%             | 2028-03-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2004-6                                             | COUNTRYWIDE ASSET BACKED CERTI CWL 2004 6 2A4               | CUSIP: 126673BB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      197162 | PA      | $193053.74     | 0.00%             | 2034-11-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| SUNTRUST ALTERNATIVE LN TRUST 2006-1F                                            | SUNTRUST ALTERNATIVE LOAN TRUS STALT 2006 1F 1A3            | CUSIP: 86800RAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      346756 | PA      | $116109.21     | 0.00%             | 2036-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-2                                                  | BEAR STEARNS ALT A TRUST BALTA 2006 2 21A1                  | CUSIP: 07386HE98<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1292772 | PA      | $1033993.18    | 0.00%             | 2036-03-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| AUSTRALIA GOVT                                                                   | AUSTRALIAN GOVERNMENT SR UNSECURED REGS 06/35 2.75          | CUSIP: ACI0C4L00<br>LEI: 213800J6B7JSBDETCB42 | Long             | DBT              | NUSS              | AU        |   179200000 | PA      | $104123658.19  | 0.23%             | 2035-06-21      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS6528 FN 01/46 FIXED 4                           | CUSIP: 3138WGHE7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      445273 | PA      | $428527.00     | 0.00%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS (PEMEX)                                                      | PETROLEOS MEXICANOS COMPANY GUAR 02/33 10                   | CUSIP: 71654QDP4<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |    13700000 | PA      | $15907412.50   | 0.04%             | 2033-02-07      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-R1                                                   | COUNTRYWIDE HOME LOANS CWHL 2004 R1 2A 144A                 | CUSIP: 12669F7L1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      113618 | PA      | $110944.13     | 0.00%             | 2034-11-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2005-10                                            | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2005 10 3A31            | CUSIP: 007036TH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      154480 | PA      | $137742.14     | 0.00%             | 2036-01-25      | Floating      | 3.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT KWD SOLD USD 20260528                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $6135.33       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC4249 FN 03/46 FIXED 4                           | CUSIP: 3140EYWK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      543584 | PA      | $522516.65     | 0.00%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QD8408 FR 03/52 FIXED 2                   | CUSIP: 3133B6KV1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3384248 | PA      | $2738766.15    | 0.01%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MB0553 G2 08/55 FIXED 4                        | CUSIP: 3618N5TK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     9611409 | PA      | $9043287.93    | 0.02%             | 2055-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BA4462 FN 12/45 FIXED 4                           | CUSIP: 3140E85Y0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      513273 | PA      | $492107.64     | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 815745 FN 02/35 FIXED 6                           | CUSIP: 31406PHW2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1073 | PA      | $1116.13       | 0.00%             | 2035-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 844006 FN 11/35 FIXED 6                           | CUSIP: 31407XU74<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       70408 | PA      | $73225.73      | 0.00%             | 2035-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2011-40                                                        | FANNIE MAE FNR 2011 40 SX                                   | CUSIP: 31397SWJ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1513 | PA      | $994.55        | 0.00%             | 2040-11-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| KILROY REALTY LP                                                                 | KILROY REALTY LP COMPANY GUAR 08/29 4.25                    | CUSIP: 49427RAK8<br>LEI: 5493008CT3N3JR7P1552 | Long             | DBT              | CORP              | US        |     5549000 | PA      | $5446578.00    | 0.01%             | 2029-08-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2022-H26                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2022 H26 DF              | CUSIP: 38382YJ20<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    71369527 | PA      | $72220908.59   | 0.16%             | 2072-12-20      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS  STRUC PROD INC 2007-R6                                             | BEAR STEARNS STRUCTURED PRODUC BSSP 2007 R6 2A1             | CUSIP: 07402FAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      849486 | PA      | $678567.48     | 0.00%             | 2046-12-26      | Floating      | 3.96%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                        | REPUBLIC OF PERU SR UNSECURED REGS 08/32 6.15               | CUSIP: P78024AF6<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    36400000 | PA      | $11113896.40   | 0.02%             | 2032-08-12      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| NAUGATUCK CONN                                                                   | NAUGATUCK CT NAU 06/33 FIXED 5.91                           | CUSIP: 639064TC8<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      165000 | PA      | $177062.57     | 0.00%             | 2033-06-01      | Fixed         | 5.91%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8342 FR 07/53 FIXED 5.5                 | CUSIP: 3132DWHT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5139916 | PA      | $5198134.29    | 0.01%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL7206 FN 08/45 FIXED VAR                         | CUSIP: 3138EQAG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       26907 | PA      | $25919.94      | 0.00%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AU1944 FN 07/43 FIXED 3                           | CUSIP: 3138X1ES1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      515316 | PA      | $471925.18     | 0.00%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS AUD 4.75000 12/20/28-5Y LCH                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |           1 | NC      | $141302.32     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                            | WELLS FARGO + COMPANY SR UNSECURED 10/29 VAR                | CUSIP: 95000U3G6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    20600000 | PA      | $21823299.28   | 0.05%             | 2029-10-23      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| REALTY INCOME CORPORATION                                                        | REALTY INCOME CORP SR UNSECURED 08/27 3.95                  | CUSIP: 756109BG8<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |     1100000 | PA      | $1099252.61    | 0.00%             | 2027-08-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL4017 FN 08/43 FIXED VAR                         | CUSIP: 3138ELPB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      144152 | PA      | $140098.94     | 0.00%             | 2043-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                          | GOLDMAN SACHS GROUP INC GOLDMAN SACHS GROUP INC             | CUSIP: 38141GB29<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    22400000 | PA      | $22965376.22   | 0.05%             | 2029-07-23      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AD0926 FN 04/40 FIXED VAR                         | CUSIP: 31418NA42<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       20238 | PA      | $20970.38      | 0.00%             | 2040-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8279 FR 11/52 FIXED 6                   | CUSIP: 3132DWFU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      169694 | PA      | $174350.78     | 0.00%             | 2052-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080023 G2 12/26 FLOATING VAR                   | CUSIP: 36225CAZ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        7126 | PA      | $7174.68       | 0.00%             | 2026-12-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE TRUST 2005-A7                                                     | JP MORGAN MORTGAGE TRUST JPMMT 2005 A7 1A3                  | CUSIP: 466247WK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       14631 | PA      | $14174.88      | 0.00%             | 2035-10-25      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT AUD SOLD USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |           1 | NC      | $1340.82       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WAMU ASSET-BACKED CERTIFICATES 2007-HE1                                          | WAMU ASSET BACKED CERTIFICATES WMHE 2007 HE1 2A3            | CUSIP: 933631AD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    11339007 | PA      | $5171732.33    | 0.01%             | 2037-01-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ8592 FN 04/48 FIXED 4                           | CUSIP: 3140HARN2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       94764 | PA      | $91085.64      | 0.00%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5452                                                          | FREDDIE MAC FHR 5452 JF                                     | CUSIP: 3137HFGZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1052507 | PA      | $1058033.65    | 0.00%             | 2054-09-25      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QA8                                              | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QA8 A2             | CUSIP: 74922QAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      915785 | PA      | $848674.49     | 0.00%             | 2036-09-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-3                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2007 3 TA1A             | CUSIP: 059515AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      103394 | PA      | $87541.27      | 0.00%             | 2037-04-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| NTT FINANCE CORPORATION                                                          | NTT FINANCE CORP SR UNSECURED 144A 07/30 VAR                | CUSIP: 62954WAT2<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |     7100000 | PA      | $7238073.20    | 0.02%             | 2030-07-16      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVEST TR 2005-A7                                         | MERRILL LYNCH MORTGAGE INVESTO MLMI 2005 A7 2A1             | CUSIP: 59020UH32<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3133980 | PA      | $2468177.89    | 0.01%             | 2035-09-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                                                        | AMGEN INC SR UNSECURED 08/28 1.65                           | CUSIP: 031162DB3<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |     2850000 | PA      | $2665145.21    | 0.01%             | 2028-08-15      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 694531 GN 11/38 FIXED 5                           | CUSIP: 36296LSU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2810 | PA      | $2883.06       | 0.00%             | 2038-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC TR 2004-R2                                                 | RESIDENTIAL ASSET SECURITIZATI RAST 2004 R2 A3              | CUSIP: 45660NW68<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       35116 | PA      | $35406.99      | 0.00%             | 2034-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED SECURITIES CORP HOME EQUITY LOAN TRUST 2002-HE2                     | ASSET BACKED SECURITIES CORP H ABSHE 2002 HE2 B             | CUSIP: 045413CW9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2746894 | PA      | $2635938.54    | 0.01%             | 2032-08-15      | Floating      | 7.49%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZK2799 FR 12/25 FIXED 3.5                 | CUSIP: 3131X6DC1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2595 | PA      | $2584.61       | 0.00%             | 2025-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AW2487 FN 06/29 FIXED 3.5                         | CUSIP: 3138XRXR5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        7636 | PA      | $7553.25       | 0.00%             | 2029-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL CS4069 G2 12/46 FIXED 3                        | CUSIP: 3618AWQW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1112886 | PA      | $999984.97     | 0.00%             | 2046-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CDX IG45 5Y ICE                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $583768.48     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CSMC TRUST 2018-RPL1                                                             | CREDIT SUISSE MORTGAGE TRUST CSMC 2018 RPL1 B3 144A         | CUSIP: 12653HAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    52512358 | PA      | $22515382.32   | 0.05%             | 2057-07-25      | Variable      | 3.15%                 | No            |                  2 | On Loan: No      |
| SOFI CONSUMER LOAN PROGRAM 2025-A TRUST                                          | SOFI CONSUMER LOAN PROGRAM TRU SCLP 2025 A D 144A           | CUSIP: 83407UAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2177000 | PA      | $2253188.97    | 0.00%             | 2034-03-27      | Fixed         | 6.26%                 | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AT7623 FN 06/43 FIXED 3                           | CUSIP: 3138WVPH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      134965 | PA      | $124162.55     | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB3061 FN 03/52 FIXED 3                           | CUSIP: 3140QNMK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      899791 | PA      | $795251.19     | 0.00%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2005-AR5                                            | STRUCTURED ASSET MORTGAGE INVE SAMI 2005 AR5 A3             | CUSIP: 86359LPF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      316000 | PA      | $311201.01     | 0.00%             | 2035-07-19      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA8044 G2 05/52 FIXED 3.5                      | CUSIP: 36179W5D6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      774344 | PA      | $712736.54     | 0.00%             | 2052-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 952215 FN 11/37 FIXED 6                           | CUSIP: 31413QK49<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         768 | PA      | $799.96        | 0.00%             | 2037-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 893373 FN 06/36 FIXED 6                           | CUSIP: 31410PQ22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4726 | PA      | $4839.57       | 0.00%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA1551 FN 04/48 FIXED 4                           | CUSIP: 3140Q8WM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       99552 | PA      | $95744.84      | 0.00%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB3254 FN 07/26 FIXED 3.5                         | CUSIP: 31416YTL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         418 | PA      | $416.33        | 0.00%             | 2026-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BM4039 FN 03/28 FIXED VAR                         | CUSIP: 3140J8PZ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         321 | PA      | $319.15        | 0.00%             | 2028-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QG8401 FR 08/53 FIXED 5.5                 | CUSIP: 3133C9KN2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3568991 | PA      | $3613541.63    | 0.01%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS7081 FR 01/30 FIXED 3.5                 | CUSIP: 3132A72N0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       78277 | PA      | $77494.56      | 0.00%             | 2030-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 887676 FN 08/36 FIXED 6                           | CUSIP: 31410FFR1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       20459 | PA      | $21476.56      | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ2758 FN 05/48 FIXED 3.5                         | CUSIP: 3140H4B45<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       59123 | PA      | $54890.77      | 0.00%             | 2048-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2005-E                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2005 E 1A1              | CUSIP: 05946XXH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      205817 | PA      | $193559.50     | 0.00%             | 2035-05-20      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 4790                                                                 | FREDDIE MAC FHR 4790 F                                      | CUSIP: 3137F5BX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    21677810 | PA      | $21250067.98   | 0.05%             | 2043-10-15      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALTER MTGE SEC 2007-FA4                                            | FIRST HORIZON ALTERNATIVE MORT FHAMS 2007 FA4 1A8           | CUSIP: 32052WAH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      387834 | PA      | $131745.39     | 0.00%             | 2037-08-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QB3375 FR 09/50 FIXED 3.5                 | CUSIP: 3133A9XC4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       13934 | PA      | $12873.71      | 0.00%             | 2050-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CSMC 2020-FACT TRUST                                                             | CREDIT SUISSE MORTGAGE TRUST CSMC 2020 FACT A 144A          | CUSIP: 126395AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6800000 | PA      | $6733212.44    | 0.01%             | 2037-10-15      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-6                                                  | BEAR STEARNS ALT A TRUST BALTA 2006 6 32A1                  | CUSIP: 073868BE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1384301 | PA      | $704806.44     | 0.00%             | 2036-11-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CERT 2004-FF1                                               | ASSET BACKED FUNDING CERTIFICA ABFC 2004 FF1 M1             | CUSIP: 04542BHM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1009012 | PA      | $989857.03     | 0.00%             | 2034-03-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 895136 FN 07/36 FIXED 6                           | CUSIP: 31410RPV5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1222 | PA      | $1271.97       | 0.00%             | 2036-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AZ6575 FN 10/45 FIXED 4                           | CUSIP: 3138YYJV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      328349 | PA      | $318711.41     | 0.00%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2022-NLP                  | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2022 NLP A 144A        | CUSIP: 466317AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    10348563 | PA      | $10206595.66   | 0.02%             | 2037-04-15      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q24305 FG 01/44 FIXED 4.5                 | CUSIP: 3132M4NW1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       80044 | PA      | $79873.38      | 0.00%             | 2044-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 321                                                           | FREDDIEMAC STRIP FHS 321 V4                                 | CUSIP: 3132HTZX7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2812113 | PA      | $2891938.38    | 0.01%             | 2043-12-15      | Floating      | 2.34%                 | No            |                  2 | On Loan: No      |
| BARCLAYS MORTGAGE LOAN TRUST 2025-NQM6                                           | BARC 2025 NQM6 PT 144A                                      | CUSIP: 990AAWEL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    59063300 | PA      | $60837829.68   | 0.13%             | 2075-10-01      | Fixed         | 7.64%                 | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC0536 FN 12/45 FIXED 4                           | CUSIP: 3140EUS26<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       75582 | PA      | $72645.17      | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2003-W15                                                    | FANNIEMAE WHOLE LOAN FNW 2003 W15 1A                        | CUSIP: 31393TB54<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       39743 | PA      | $41552.33      | 0.00%             | 2043-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 008945 G2 08/26 FLOATING VAR                   | CUSIP: 36202K5E1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         970 | PA      | $968.11        | 0.00%             | 2026-08-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| MEXICO GOVT                                                                      | UNITED MEXICAN STATES SR UNSECURED 03/33 5.375              | CUSIP: 91087BBK5<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    16000000 | PA      | $16008000.00   | 0.04%             | 2033-03-22      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 190308 FN 09/30 FIXED VAR                         | CUSIP: 31368HKV4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         122 | PA      | $126.19        | 0.00%             | 2030-09-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 2.76000 01/03/24-5Y LCH                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $-845862.83    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOANTR 2006-OC4                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OC4 2A3           | CUSIP: 021455AE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     9895591 | PA      | $8730487.08    | 0.02%             | 2036-07-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 898602 FN 10/36 FIXED 6                           | CUSIP: 31410VKP4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       49441 | PA      | $51152.80      | 0.00%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AUTONATION INC                                                                   | AUTONATION, INC                                             | CUSIP: 05330LX81<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     5300000 | PA      | $5294395.78    | 0.01%             | 2025-10-08      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 3 SINGLE FAMILY MORTGAGE                     | CUSIP: 01F0306B9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  2109584895 | PA      | $1853381589.76 | 4.08%             | 2055-11-13      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AA8172 FN 06/39 FIXED 5                           | CUSIP: 31416SCJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        6067 | PA      | $6222.92       | 0.00%             | 2039-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 928401 FN 05/37 FIXED 6                           | CUSIP: 31412LNS5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        9127 | PA      | $9593.47       | 0.00%             | 2037-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| VIRGIN MEDIA (VMED O2 UK FINANCING I PLC)                                        | VMED O2 UK FINANCING I VMED O2 UK FINANCING I               | CUSIP: 92858RAD2<br>LEI: 213800MRR46ECNGZ7L69 | Long             | DBT              | CORP              | GB        |    16800000 | PA      | $17671718.40   | 0.04%             | 2032-04-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| PARK PLACE SECURITIES INC 2004-WWF1                                              | PARK PLACE SECURITIES INC PPSI 2004 WWF1 M5                 | CUSIP: 70069FDN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     9287764 | PA      | $9293289.72    | 0.02%             | 2034-12-25      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD INR BOUGHT USD 20251017                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $15326.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                     | UBS GROUP AG SR UNSECURED 04/26 4.55                        | CUSIP: 902613BB3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     5300000 | PA      | $5314773.91    | 0.01%             | 2026-04-17      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 4.5 SINGLE FAMILY MORTGAGE                   | CUSIP: 01F0426A6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   420302000 | PA      | $407731700.25  | 0.90%             | 2055-10-14      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.25000 06/18/25-30Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $5216351.69    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INV 2007-HE2                                              | MERRILL LYNCH MORTGAGE INVESTO MLMI 2007 HE2 A2A            | CUSIP: 59024LAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      840859 | PA      | $237055.92     | 0.00%             | 2037-02-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| OCP EURO CLO 2020-4 DAC 20-4A                                                    | OCP EURO CLO OCPE 2020 4A ARR 144A                          | CUSIP: ACI2YYN53<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    25690000 | PA      | $30254207.25   | 0.07%             | 2039-10-20      | Floating      | 3.30%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3934 FN 02/40 FIXED 3                           | CUSIP: 31418DLQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      140139 | PA      | $131130.13     | 0.00%             | 2040-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 008790 G2 01/26 FLOATING VAR                   | CUSIP: 36202KXT7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3236 | PA      | $3231.51       | 0.00%             | 2026-01-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 970866 FN 12/38 FIXED 5.5                         | CUSIP: 31414NCB8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       14509 | PA      | $14985.55      | 0.00%             | 2038-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CERT 2002-SB1                                               | ASSET BACKED FUNDING CERTIFICA ABFC 2002 SB1 AII1           | CUSIP: 04542BAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      359814 | PA      | $358873.87     | 0.00%             | 2030-12-25      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2010-142                                                       | FANNIE MAE FNR 2010 142 PL                                  | CUSIP: 31398SKM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      180416 | PA      | $180003.28     | 0.00%             | 2040-12-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2016-106                                                       | FANNIE MAE FNR 2016 106 FT                                  | CUSIP: 3136AUZF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     6222335 | PA      | $6091182.20    | 0.01%             | 2047-01-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOEING CO/THE SNR S* ICE                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $635671.92     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.77578 03/25/25-30Y* LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $207950.43     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SAUDI ARABIA GOVT                                                                | SAUDI INTERNATIONAL BOND SR UNSECURED 144A 07/33 4.875      | CUSIP: 80413TBD0<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |    12100000 | PA      | $12289249.57   | 0.03%             | 2033-07-18      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                     | UBS GROUP AG SR UNSECURED 144A 08/28 VAR                    | CUSIP: 225401AV0<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    21900000 | PA      | $22759111.16   | 0.05%             | 2028-08-11      | Floating      | 6.44%                 | No            |                  2 | On Loan: No      |
| UNITED WHOLESALE MORTGAGE LLC 2021-INV3                                          | UNITED WHOLESALE MORTGAGE LLC UWM 2021 INV3 A9 144A         | CUSIP: 90355RAM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1845133 | PA      | $1726844.90    | 0.00%             | 2051-11-25      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080327 G2 10/29 FLOATING VAR                   | CUSIP: 36225CLH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       46665 | PA      | $46724.59      | 0.00%             | 2029-10-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8152 FR 06/51 FIXED 3                   | CUSIP: 3132DWBV4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      473754 | PA      | $418922.13     | 0.00%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-2428127.95   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-6                                                         | FANNIE MAE FNR 2013 6 SN                                    | CUSIP: 3136ABP49<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      335424 | PA      | $304330.64     | 0.00%             | 2033-02-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2624 FN 05/46 FIXED 4                           | CUSIP: 31418B4J2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       89827 | PA      | $86693.15      | 0.00%             | 2046-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 253713 FN 03/31 FIXED 8                           | CUSIP: 31371JYJ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1332 | PA      | $1390.22       | 0.00%             | 2031-03-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | OIS GBP SONIO/0.90000 03/11/22-30Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |           1 | NC      | $15436456.34   | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 580928 GN 01/32 FIXED 7                           | CUSIP: 36201ELH1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3028 | PA      | $3113.40       | 0.00%             | 2032-01-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 985160 FN 09/38 FIXED 6                           | CUSIP: 31415PMH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         297 | PA      | $311.19        | 0.00%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD3275 FR 07/53 FIXED 5.5                 | CUSIP: 3132DQT89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3415847 | PA      | $3449994.41    | 0.01%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H11                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H11 FE              | CUSIP: 38375UWT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2027816 | PA      | $2034113.01    | 0.00%             | 2066-04-20      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DA2948 FN 10/53 FIXED 5.5                         | CUSIP: 3140A3H22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      487818 | PA      | $493794.46     | 0.00%             | 2053-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| RIPON MORTGAGES PLC 25-1A                                                        | RIPON MORTGAGES RIPON 2025 1A D 144A                        | CUSIP: ACI2V58Z0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    14701000 | PA      | $19754209.49   | 0.04%             | 2056-08-28      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA COMMERCIAL MORTGAGE TRUST 2015-UBS7                              | BANC OF AMERICA COMMERCIAL MOR BACM 2015 UBS7 A4            | CUSIP: 06054AAX7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1952309 | PA      | $1948413.90    | 0.00%             | 2048-09-15      | Fixed         | 3.71%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS5211 FN 06/45 FIXED 4                           | CUSIP: 3138WEYH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      106174 | PA      | $102258.32     | 0.00%             | 2045-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-2434                                                                 | FREDDIE MAC FHR 2434 ZN                                     | CUSIP: 3133TVUQ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      122105 | PA      | $126308.55     | 0.00%             | 2031-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 816738 FN 01/30 FIXED 8                           | CUSIP: 31406QLT2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       54750 | PA      | $56669.11      | 0.00%             | 2030-01-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CAD BOUGHT USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |           1 | NC      | $3735.24       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE5                                            | MORGAN STANLEY CAPITAL INC MSAC 2007 HE5 A2B                | CUSIP: 61753KAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    21144945 | PA      | $9001079.76    | 0.02%             | 2037-03-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS3951 FR 04/35 FIXED 6                   | CUSIP: 3132A4L89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       25306 | PA      | $25927.86      | 0.00%             | 2035-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA4564 FN 03/52 FIXED 3                           | CUSIP: 31418ECA6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1340932 | PA      | $1181810.20    | 0.00%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AMDOCS LIMITED                                                                   | AMDOCS LTD SR UNSECURED 06/30 2.538                         | CUSIP: 02342TAE9<br>LEI: 549300HQV672RJ7RQV66 | Long             | DBT              | CORP              | GG        |     2100000 | PA      | $1925045.45    | 0.00%             | 2030-06-15      | Fixed         | 2.54%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AR7540 FN 03/43 FIXED 4                           | CUSIP: 3138W5LW6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       17306 | PA      | $16833.39      | 0.00%             | 2043-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AE9914 FN 12/40 FIXED 4                           | CUSIP: 31419MAQ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       26880 | PA      | $26166.11      | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AH1231 FN 12/25 FIXED 3.5                         | CUSIP: 3138A2LM9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2030 | PA      | $2022.11       | 0.00%             | 2025-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 865959 FN 03/36 FLOATING VAR                      | CUSIP: 31409BB48<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       70482 | PA      | $71944.49      | 0.00%             | 2036-03-01      | Floating      | 6.83%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL C91244 FG 04/29 FIXED 4.5                 | CUSIP: 3128P7LZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      196327 | PA      | $197459.38     | 0.00%             | 2029-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2017-27                                                        | FANNIE MAE FNR 2017 27 FA                                   | CUSIP: 3136AVM48<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3719604 | PA      | $3647954.57    | 0.01%             | 2047-04-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 908259 FN 03/37 FIXED 6                           | CUSIP: 31411HB41<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       50057 | PA      | $51574.77      | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CHASE FUNDING MTGE LN ASSET-BKD 2003-1                                           | CHASE FUNDING MORTGAGE LOAN AS CFAB 2003 1 2A2              | CUSIP: 161546EF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         177 | PA      | $177.35        | 0.00%             | 2032-11-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | AES CORPORATION SNR S* ICE                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $474622.90     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE TRUST-2004-11AR                                          | MORGAN STANLEY MORTGAGE LOAN T MSM 2004 11AR 1A2A           | CUSIP: 61748HHB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        1368 | PA      | $1301.94       | 0.00%             | 2035-01-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TRUST 2004-4                                            | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2004 4 2A              | CUSIP: 41161PDW0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      185788 | PA      | $171440.32     | 0.00%             | 2034-06-19      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| BGC GROUP INC                                                                    | BGC GROUP INC SR UNSECURED 144A 04/30 6.15                  | CUSIP: 05555LAC5<br>LEI: 2549001IGRCG4F0RLD36 | Long             | DBT              | CORP              | US        |     1400000 | PA      | $1436357.93    | 0.00%             | 2030-04-02      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 1997-58                                                               | FANNIE MAE FNR 1997 58 JZ                                   | CUSIP: 31359QMW1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4538 | PA      | $4612.50       | 0.00%             | 2027-08-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MTGE INV TRUST 2007-MLN1                                           | MERRILL LYNCH MORTGAGE INVESTO MLMI 2007 MLN1 A2C           | CUSIP: 59024UAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    21125596 | PA      | $19871850.60   | 0.04%             | 2037-03-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 888205 FN 02/37 FIXED VAR                         | CUSIP: 31410FYA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4435 | PA      | $4670.70       | 0.00%             | 2037-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA4842 FN 12/52 FIXED 5.5                         | CUSIP: 31418ELY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     9674191 | PA      | $9816647.89    | 0.02%             | 2052-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2024-RP4                                           | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2024 RP4 PT 144A        | CUSIP: 17332EAT9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   143938718 | PA      | $122816661.11  | 0.27%             | 2064-09-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| WESSEX WATER SERVICES FINANCE PLC                                                | WESSEX WATER SERVS FIN COMPANY GUAR 03/28 5.375             | CUSIP: B06D5L904<br>LEI: 213800B9BFRCA1YMEI57 | Long             | DBT              | CORP              | GB        |     3507000 | PA      | $4760705.87    | 0.01%             | 2028-03-10      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AE8226 FN 12/25 FIXED 3.5                         | CUSIP: 31419KD85<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3703 | PA      | $3690.48       | 0.00%             | 2025-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BK1943 FN 04/33 FIXED 3                           | CUSIP: 3140HFER6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      369711 | PA      | $359905.38     | 0.00%             | 2033-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RJ1877 FR 03/54 FIXED 5.5                 | CUSIP: 3142GSCP1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    11683029 | PA      | $11802709.89   | 0.03%             | 2054-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                                                        | ONEOK INC COMPANY GUAR 11/54 5.7                            | CUSIP: 682680CF8<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    11400000 | PA      | $10769779.61   | 0.02%             | 2054-11-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| NOMURA ASSET ACCEP CORP 2001-R1A                                                 | NOMURA ASSET ACCEPTANCE CORPOR NAA 2001 R1A A 144A          | CUSIP: 65535VAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      316714 | PA      | $315891.19     | 0.00%             | 2030-02-19      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | GENERAL ELECTRIC COMPANY SNR S* ICE                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $181360.09     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AMERIQUEST MTGE SECURITIES INC 2004-FR1                                          | AMERIQUEST MORTGAGE SECURITIES AMSI 2004 FR1 M2             | CUSIP: 03072SQS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      686290 | PA      | $666914.61     | 0.00%             | 2034-05-25      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 535441 FN 03/30 FIXED VAR                         | CUSIP: 31384VZE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |           2 | PA      | $1.54          | 0.00%             | 2030-03-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES CORP TRUST 2017-GPTX                                      | GS MORTGAGE SECURITIES TRUST GSMS 2017 GPTX A 144A          | CUSIP: 36257CAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    15528296 | PA      | $13697757.11   | 0.03%             | 2034-05-10      | Fixed         | 2.86%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2006-J5                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 J5 1A1            | CUSIP: 12668EAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      615382 | PA      | $316463.15     | 0.00%             | 2036-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2017-CHOP                            | CREDIT SUISSE MORTGAGE TRUST CSMC 2017 CHOP A 144A          | CUSIP: 12651QAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      148148 | PA      | $148015.06     | 0.00%             | 2032-07-15      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2024-10                                                        | FANNIE MAE FNR 2024 10 AF                                   | CUSIP: 3136BQ6A2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     6003479 | PA      | $5990082.64    | 0.01%             | 2050-12-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-19CB                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 19CB A4           | CUSIP: 02147QAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      751802 | PA      | $422771.41     | 0.00%             | 2036-08-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-48T1                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 48T1 A5           | CUSIP: 12668AFL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1014964 | PA      | $561088.64     | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| REGAL TRUST IV 1999-1                                                            | REGAL TRUST IV REGAL 1999 1 A 144A                          | CUSIP: 758842AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        5626 | PA      | $5325.12       | 0.00%             | 2031-09-29      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| SANTANDER HOLDINGS USA INC                                                       | SANTANDER HOLDINGS USA SR UNSECURED 10/26 3.244             | CUSIP: 80282KAZ9<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |      800000 | PA      | $792316.82     | 0.00%             | 2026-10-05      | Fixed         | 3.24%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-9                                                    | COUNTRYWIDE HOME LOANS CWHL 2007 9 A13                      | CUSIP: 12544XAX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      353664 | PA      | $165397.92     | 0.00%             | 2037-07-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-19                                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 19 2A1            | CUSIP: 02151ABW9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6422222 | PA      | $2691510.42    | 0.01%             | 2037-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                                 | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 08/50 3.5               | CUSIP: 694308JJ7<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    51900000 | PA      | $35461544.33   | 0.08%             | 2050-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC TRUST 2006-A10                                             | RESIDENTIAL ASSET SECURITIZATI RAST 2006 A10 A5             | CUSIP: 76113LAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1093994 | PA      | $325437.49     | 0.00%             | 2036-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | MORGAN STANLEY SNR S* ICE                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $216257.32     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20251015                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-129648.82    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BK0742 FN 03/33 FIXED 3                           | CUSIP: 3140HDZG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      388528 | PA      | $378824.07     | 0.00%             | 2033-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 1N1463 FH 05/37 FLOATING VAR              | CUSIP: 3128QHTU4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1405 | PA      | $1406.24       | 0.00%             | 2037-05-01      | Floating      | 6.86%                 | No            |                  2 | On Loan: No      |
| BARROW FUNDING PLC 1A                                                            | BARROW FUNDING PLC BARRO 1A C                               | CUSIP: ACI2P7XQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     7434000 | PA      | $10096835.71   | 0.02%             | 2062-11-16      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2006-3                                                   | FREMONT HOME LOAN TRUST FHLT 2006 3 2A4                     | CUSIP: 35729MAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    15456436 | PA      | $4803429.00    | 0.01%             | 2037-02-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2007-7                                                    | GSAA HOME EQUITY TRUST GSAA 2007 7 1A2                      | CUSIP: 36249BAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      213431 | PA      | $209124.37     | 0.00%             | 2037-07-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| CHASE MORGAGE FINANCE CORP 2005-A1                                               | CHASE MORTGAGE FINANCE CORPORA CHASE 2005 A1 2A2            | CUSIP: 16162WPE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       86045 | PA      | $81814.00      | 0.00%             | 2035-12-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AT2014 FN 04/43 FIXED 3                           | CUSIP: 3138WPGY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       53799 | PA      | $49509.90      | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 02/43 3.125                                 | CUSIP: 912810QZ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    79700000 | PA      | $65076918.17   | 0.14%             | 2043-02-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-3871453.29   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GREENPOINT MTGE FUNDING TR 2005-AR1                                              | GREENPOINT MORTGAGE FUNDING TR GPMF 2005 AR1 A2             | CUSIP: 39538RAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      121656 | PA      | $111244.59     | 0.00%             | 2045-06-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| BRANDYWINE OPERATING PARTNERSHIP LP                                              | BRANDYWINE OPER PARTNERS COMPANY GUAR 11/27 3.95            | CUSIP: 105340AQ6<br>LEI: IXBXSCONLDQ1ZI73YU71 | Long             | DBT              | CORP              | US        |    13116000 | PA      | $12883251.33   | 0.03%             | 2027-11-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H02                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H02 FH              | CUSIP: 38376RPV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      999192 | PA      | $1004148.87    | 0.00%             | 2066-01-20      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 794887 FN 10/34 FIXED 5.5                         | CUSIP: 31405PCY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       21341 | PA      | $22148.34      | 0.00%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 256461 FN 10/26 FIXED 5                           | CUSIP: 31371MZ26<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2504 | PA      | $2503.01       | 0.00%             | 2026-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-16                                                   | COUNTRYWIDE HOME LOANS CWHL 2004 16 1A4A                    | CUSIP: 12669FY23<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       13100 | PA      | $12702.86      | 0.00%             | 2034-09-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 852347 FN 01/36 FIXED 6                           | CUSIP: 31408H5G6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       31990 | PA      | $33600.23      | 0.00%             | 2036-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2001-28                                                               | FANNIE MAE FNR 2001 28 PZ                                   | CUSIP: 313920DM9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      145065 | PA      | $148504.80     | 0.00%             | 2031-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 995069 FN 10/38 FIXED VAR                         | CUSIP: 31416BMS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       35019 | PA      | $36923.11      | 0.00%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WMALT MTGE PASS-THRU CERT 2005-9                                                 | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2005 9 2A2             | CUSIP: 93934FEN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      313558 | PA      | $291805.90     | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2006-1                                            | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2006 1 M1              | CUSIP: 68389FKR4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5932937 | PA      | $5619169.14    | 0.01%             | 2036-01-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| SUNRUN DEMETER ISSUER 2021-2A                                                    | SUNRUN DEMETER ISSUER LLC SUNRN 2021 2A A 144A              | CUSIP: 86772HAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    34358080 | PA      | $30949762.12   | 0.07%             | 2057-01-30      | Fixed         | 2.27%                 | No            |                  2 | On Loan: No      |
| KREST COMMERCIAL MORTGAGE SECURITIES TRUST 2021-CHIP                             | KREST COMMERCIAL MORTGAGE SECU KREST 2021 CHIP A 144A       | CUSIP: 50085PAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2400000 | PA      | $1891068.00    | 0.00%             | 2044-11-05      | Fixed         | 2.56%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AZ9882 FN 10/45 FIXED 4                           | CUSIP: 3140E26U0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       15330 | PA      | $14746.89      | 0.00%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2006-SD1                                                     | ACE SECURITIES CORP. ACE 2006 SD1 M1                        | CUSIP: 004421XW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      960096 | PA      | $905702.07     | 0.00%             | 2036-02-25      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC9365 FN 06/46 FIXED 4                           | CUSIP: 3140F5MP5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        8420 | PA      | $8084.20       | 0.00%             | 2046-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL D97065 FG 09/26 FIXED 6                   | CUSIP: 3128E3Z64<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2864 | PA      | $2927.74       | 0.00%             | 2026-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL9130 FN 04/46 FIXED VAR                         | CUSIP: 3138EREC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1275010 | PA      | $1227850.14    | 0.00%             | 2046-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 442138 GN 11/26 FIXED 8                           | CUSIP: 36207UEK0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         272 | PA      | $272.86        | 0.00%             | 2026-11-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB2892 FN 02/52 FIXED 3                           | CUSIP: 3140QNGA4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4908545 | PA      | $4326954.19    | 0.01%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2023-INV2                                             | VERUS SECURITIZATION TRUST VERUS 2023 INV2 A1 144A          | CUSIP: 92540BAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4913286 | PA      | $4956324.80    | 0.01%             | 2068-08-25      | Fixed         | 6.44%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2022-ONL                                   | WELLS FARGO COMMERCIAL MORTGAG WFCM 2022 ONL A 144A         | CUSIP: 95003WAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    41000000 | PA      | $39537312.70   | 0.09%             | 2039-12-15      | Fixed         | 3.86%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AQ3310 FN 11/42 FIXED 4                           | CUSIP: 3138MJVC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       30369 | PA      | $29623.02      | 0.00%             | 2042-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2011-86                                                               | FANNIE MAE FNR 2011 86 NF                                   | CUSIP: 3136A0J65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      253707 | PA      | $253001.94     | 0.00%             | 2041-09-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TREASURY BILL 12/25 0.00000                                 | CUSIP: 912797QY6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      313000 | PA      | $310626.46     | 0.00%             | 2025-12-11      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317UABCA2 PIMCO SWAPTION 3.806 PUT USD 2025100              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -87900000 | NC      | $-23794.53     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL9410 FN 12/26 FIXED VAR                         | CUSIP: 3138ERN48<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5284 | PA      | $5260.20       | 0.00%             | 2026-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                                               | ALLY FINANCIAL INC SR UNSECURED 11/28 2.2                   | CUSIP: 02005NBP4<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |      890000 | PA      | $832048.62     | 0.00%             | 2028-11-02      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QG9541 FR 08/53 FIXED 6                   | CUSIP: 3133CAS68<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      232619 | PA      | $239434.23     | 0.00%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3666                                                                 | FREDDIE MAC FHR 3666 FC                                     | CUSIP: 31398QGG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        6984 | PA      | $6995.14       | 0.00%             | 2040-05-15      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR19                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR19 A1A1          | CUSIP: 92925CBA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      134013 | PA      | $135961.45     | 0.00%             | 2045-12-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 781217 G2 04/30 FIXED 8                        | CUSIP: 36225BK64<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         880 | PA      | $885.37        | 0.00%             | 2030-04-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FINANCE AMERICA MTGE LOAN TRUST 2004-2                                           | FINANCE AMERICA MORTGAGE LOAN FINA 2004 2 M2                | CUSIP: 317350BE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       65643 | PA      | $61197.86      | 0.00%             | 2034-08-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $4354082.18    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE2959 FN 01/47 FIXED 4                           | CUSIP: 3140FNJD7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       16276 | PA      | $15616.31      | 0.00%             | 2047-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                            | WELLS FARGO + COMPANY SR UNSECURED 05/28 VAR                | CUSIP: 95000U2A0<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      860000 | PA      | $852399.46     | 0.00%             | 2028-05-22      | Floating      | 3.58%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AD1671 FN 01/40 FIXED 6                           | CUSIP: 31418N2D1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      302193 | PA      | $313170.93     | 0.00%             | 2040-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT NZD SOLD USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |           1 | NC      | $-29493.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SMALL BUSINESS ADMIN PART CERT 2007-20E                                          | SMALL BUSINESS ADMINISTRATION SBAP 2007 20E 1               | CUSIP: 83162CRA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |        4318 | PA      | $4313.63       | 0.00%             | 2027-05-01      | Fixed         | 5.31%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MB0481 G2 07/55 FIXED 3.5                      | CUSIP: 3618N5RB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   155145538 | PA      | $141557161.31  | 0.31%             | 2055-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2007-WF2                                               | STRUCTURED ASSET SECURITIES CO SASC 2007 WF2 A1             | CUSIP: 86364LAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      189608 | PA      | $189481.70     | 0.00%             | 2037-08-25      | Floating      | 6.27%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                     | UBS GROUP AG SR UNSECURED 144A 01/29 VAR                    | CUSIP: 225401AF5<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    43400000 | PA      | $43041105.00   | 0.09%             | 2029-01-12      | Floating      | 3.87%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                               | ENERGY TRANSFER LP SR UNSECURED 12/28 6.1                   | CUSIP: 29273VAS9<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     1500000 | PA      | $1579658.28    | 0.00%             | 2028-12-01      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TR 2004-AR6                                               | INDYMAC INDX MORTGAGE LOAN TRU INDX 2004 AR6 5A1            | CUSIP: 45660NX83<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      804137 | PA      | $769239.69     | 0.00%             | 2034-10-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB6228 FN 05/53 FIXED 4.5                         | CUSIP: 3140QR4N0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    20323398 | PA      | $19879641.12   | 0.04%             | 2053-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| HANNON ARMSTRONG (HAT HOLDINGS I LLC / HAT HOLDINGS II LLC)                      | HAT HOLDINGS I LLC/HAT COMPANY GUAR 144A 09/30 3.75         | CUSIP: 418751AD5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     9455000 | PA      | $8725563.39    | 0.02%             | 2030-09-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 257041 FN 01/38 FIXED 5.5                         | CUSIP: 31371NP25<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       37515 | PA      | $39025.35      | 0.00%             | 2038-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY2                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY2 1A1            | CUSIP: 92926UAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3581403 | PA      | $3254239.82    | 0.01%             | 2036-12-25      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AE4673 FN 10/25 FIXED 3.5                         | CUSIP: 31419FFP6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         329 | PA      | $327.69        | 0.00%             | 2025-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL CR3275 G2 09/47 FIXED 3                        | CUSIP: 3618AHT80<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2524929 | PA      | $2252031.25    | 0.00%             | 2047-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WASHING MUTUAL MTGE P/T 2006-5                                                   | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 5 3A6             | CUSIP: 93935BAH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1098555 | PA      | $231649.88     | 0.00%             | 2036-07-25      | Variable      | 6.77%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2007-OA6                                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 OA6 2A             | CUSIP: 92927BAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1673978 | PA      | $1448387.50    | 0.00%             | 2047-07-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-2                                                    | COUNTRYWIDE HOME LOANS CWHL 2005 2 2A1                      | CUSIP: 12669GPR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       38070 | PA      | $37926.32      | 0.00%             | 2035-03-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RT MTGE TRUST 2005-6                                            | MASTR ADJUSTABLE RATE MORTGAGE MARM 2005 6 5A2              | CUSIP: 576433C53<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      259314 | PA      | $228888.18     | 0.00%             | 2035-07-25      | Floating      | 3.19%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BW5303 FN 06/53 FIXED 6                           | CUSIP: 3140MW3M6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      445016 | PA      | $455772.16     | 0.00%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS4301 FN 01/45 FIXED 4                           | CUSIP: 3138WDX71<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      198075 | PA      | $190932.43     | 0.00%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CHASE MORGAGE FINANCE CORP 2005-A1                                               | CHASE MORTGAGE FINANCE CORPORA CHASE 2005 A1 2A1            | CUSIP: 16162WPD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1641411 | PA      | $1560695.98    | 0.00%             | 2035-12-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AE9790 FN 11/40 FIXED 5                           | CUSIP: 31419L2Y8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       51215 | PA      | $52415.00      | 0.00%             | 2040-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD3693 FN 08/46 FIXED 4                           | CUSIP: 3140FBC73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       81657 | PA      | $78560.48      | 0.00%             | 2046-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| TBW MTGE BACKED P/T CERT 2007-2                                                  | TBW MORTGAGE BACKED PASS THROU TBW 2007 2 A6A               | CUSIP: 872227AK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      699154 | PA      | $259913.64     | 0.00%             | 2037-07-25      | Variable      | 6.51%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-3797                                                                 | FREDDIE MAC FHR 3797 FB                                     | CUSIP: 3137A5AL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      382648 | PA      | $381101.50     | 0.00%             | 2041-01-15      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2002-AR18                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2002 AR18 A             | CUSIP: 929227ZC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       36024 | PA      | $35791.06      | 0.00%             | 2033-01-25      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QH4481 FR 10/53 FIXED 6                   | CUSIP: 3133CG6S1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      358024 | PA      | $366697.47     | 0.00%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ROUNDSTONE SECURITIES NO 2 DESIGNATED ACTIVITY CO 2A                             | ROUNDSTONE SECURITIES RNST 2A B 144A                        | CUSIP: ACI2NGCZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |    34142000 | PA      | $40135188.63   | 0.09%             | 2058-06-28      | Floating      | 2.98%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC. 2006-W2                                                   | ARGENT SECURITIES INC. ARSI 2006 W2 A2B                     | CUSIP: 040104RV5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5156998 | PA      | $2890927.14    | 0.01%             | 2036-03-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                     | UBS GROUP AG JR SUBORDINA 144A 12/99 VAR                    | CUSIP: 902613AD0<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     2000000 | PA      | $1822029.00    | 0.00%             | 2031-02-10      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| DUTCH MORTGAGE WAREHOUSE FINANCE 24-1A                                           | DUTCH MORTGAGE WAREHOUSE FINAN DMWF 2024 1A VFN 144A        | CUSIP: ACI2Q96P2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | NL        |     5712000 | PA      | $6574435.07    | 0.01%             | 2027-07-31      | Variable      | 0.00%                 | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY0544 FN 05/53 FIXED 5                           | CUSIP: 3140NGTA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      253465 | PA      | $252481.64     | 0.00%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY DEAN WITT CAP I 2003-NC2                                          | MORGAN STANLEY DEAN WITTER CAP MSDWC 2003 NC2 M1            | CUSIP: 61746WA75<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      218016 | PA      | $232891.90     | 0.00%             | 2033-02-25      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL9585 FN 01/32 FIXED VAR                         | CUSIP: 3138ERUK4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       24330 | PA      | $24068.19      | 0.00%             | 2032-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2000-34                                                               | FANNIE MAE FNR 2000 34 F                                    | CUSIP: 31358SSV4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3724 | PA      | $3694.94       | 0.00%             | 2030-10-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 896032 FN 08/36 FIXED 6                           | CUSIP: 31410SPR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4664 | PA      | $4820.00       | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AX4979 FN 10/44 FIXED 4                           | CUSIP: 3138Y6Q98<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1790916 | PA      | $1726335.54    | 0.00%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 847032 FN 11/35 FIXED 6                           | CUSIP: 31408CA97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      175535 | PA      | $181595.51     | 0.00%             | 2035-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLINES INC                                                              | UNITED AIRLINES INC SR SECURED 144A 04/26 4.375             | CUSIP: 90932LAG2<br>LEI: K1OQBWM7XEOO08LDNP29 | Long             | DBT              | CORP              | US        |     1900000 | PA      | $1898715.81    | 0.00%             | 2026-04-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2004-AR11                                           | INDYMAC INDX MORTGAGE LOAN TRU INDX 2004 AR11 2A            | CUSIP: 45660N6S9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       30033 | PA      | $28398.89      | 0.00%             | 2034-12-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT EUR SOLD USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $11232053.00   | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.80662 04/02/25-30Y* LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $425660.45     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BK6873 FN 06/48 FIXED 3.5                         | CUSIP: 3140HLT71<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       13179 | PA      | $12210.11      | 0.00%             | 2048-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QO1                                              | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QO1 2A1            | CUSIP: 761118RJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      828713 | PA      | $424218.15     | 0.00%             | 2046-02-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 930678 FN 03/39 FIXED 5                           | CUSIP: 31412N6P6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       64610 | PA      | $66268.09      | 0.00%             | 2039-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2007-5                                                    | GSAA HOME EQUITY TRUST GSAA 2007 5 2A1A                     | CUSIP: 3622ECAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      853461 | PA      | $790106.17     | 0.00%             | 2047-04-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2007-QA2                                              | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QA2 A3             | CUSIP: 74922PAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1098536 | PA      | $973914.39     | 0.00%             | 2037-02-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LN TR 2003-2                                             | RENAISSANCE HOME EQUITY LOAN T RAMC 2003 2 A                | CUSIP: 759950AW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       31911 | PA      | $29191.52      | 0.00%             | 2033-08-25      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q30092 FG 06/40 FIXED 4.5                 | CUSIP: 3132QLC68<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      164343 | PA      | $165684.85     | 0.00%             | 2040-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REFERENCE REMIC R006                                                 | FREDDIE MAC REFERENCE REMIC FHRR R006 ZA                    | CUSIP: 31396JT21<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1443732 | PA      | $1529644.27    | 0.00%             | 2036-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 897736 FN 08/36 FIXED 6                           | CUSIP: 31410ULR1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      269671 | PA      | $284321.18     | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3183 FN 11/47 FIXED 4                           | CUSIP: 31418CRD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       59922 | PA      | $57627.43      | 0.00%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BA0098 FN 09/45 FIXED 4                           | CUSIP: 3140E4DC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      138444 | PA      | $132815.31     | 0.00%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BV8896 FN 06/52 FIXED 4.5                         | CUSIP: 3140MN3E4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       18666 | PA      | $18169.31      | 0.00%             | 2052-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 891565 FN 05/36 FIXED 6                           | CUSIP: 31410MQS2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         385 | PA      | $398.66        | 0.00%             | 2036-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CREDIT BASED ASSET SRVC & SEC 2007-CB6                                           | CREDIT BASED ASSET SERVICING A CBASS 2007 CB6 A1 144A       | CUSIP: 1248RHAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      201350 | PA      | $134273.96     | 0.00%             | 2037-07-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 922989 FN 12/36 FIXED 6                           | CUSIP: 31412ENE2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4316 | PA      | $4465.43       | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 889576 FN 04/38 FIXED VAR                         | CUSIP: 31410KJV7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      751587 | PA      | $792449.25     | 0.00%             | 2038-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QH0440 FR 09/53 FIXED 5                   | CUSIP: 3133CCPZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3519392 | PA      | $3530477.99    | 0.01%             | 2053-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AO2816 FN 05/27 FIXED 4                           | CUSIP: 3138LTDW5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         665 | PA      | $661.28        | 0.00%             | 2027-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080107 G2 08/27 FLOATING VAR                   | CUSIP: 36225CDM5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       30818 | PA      | $31035.90      | 0.00%             | 2027-08-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AT9842 FN 06/43 FIXED 4                           | CUSIP: 3138WX5C7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      104235 | PA      | $101380.07     | 0.00%             | 2043-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-8                                                  | BEAR STEARNS ALT A TRUST BALTA 2006 8 3A2                   | CUSIP: 07387QAY6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        6590 | PA      | $6113.27       | 0.00%             | 2034-02-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AX2492 FN 10/44 FIXED 4                           | CUSIP: 3138Y3XW6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       85122 | PA      | $82061.44      | 0.00%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE1920 FN 11/46 FIXED 4                           | CUSIP: 3140FMD29<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      354303 | PA      | $340755.02     | 0.00%             | 2046-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080725 G2 08/33 FLOATING VAR                   | CUSIP: 36225CYX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       10496 | PA      | $10653.18      | 0.00%             | 2033-08-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 920324 FN 06/36 FIXED 6                           | CUSIP: 31412BPH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5871 | PA      | $5996.71       | 0.00%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RNHB BV                                                                          | RNHB B.V. GALIBIER DPF222 RR                                | CUSIP: ACI2QBJY4<br>LEI: 724500YGUK3ZCLGPE353 | Long             | DBT              | CORP              | NL        |      991522 | PA      | $1215199.45    | 0.00%             | 2028-04-28      | Variable      | 0.00%                 | No            |                  3 | On Loan: No      |
| CSFB MORTGAGE SECURITIES CORP 2005-9                                             | CREDIT SUISSE FIRST BOSTON MOR CSFB 2005 9 2A1              | CUSIP: 2254585R5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      398714 | PA      | $147340.79     | 0.00%             | 2035-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-4                                                  | BEAR STEARNS ALT A TRUST BALTA 2006 4 11A1                  | CUSIP: 073871AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4140687 | PA      | $3567713.89    | 0.01%             | 2036-08-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-16CB                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 16CB 5A1          | CUSIP: 02152AAY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1659274 | PA      | $754887.06     | 0.00%             | 2037-08-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LN TRUST 2006-S2                                           | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2006 S2 A6             | CUSIP: 46628CAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        6797 | PA      | $7303.16       | 0.00%             | 2036-05-25      | Variable      | 6.55%                 | No            |                  2 | On Loan: No      |
| SANDS CHINA LTD                                                                  | SANDS CHINA LTD SR UNSECURED 01/26 3.8                      | CUSIP: 80007RAK1<br>LEI: 549300EVO6UZDGY05787 | Long             | DBT              | CORP              | KY        |      600000 | PA      | $598803.60     | 0.00%             | 2026-01-08      | Variable      | 3.80%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 008793 G2 01/26 FLOATING VAR                   | CUSIP: 36202KXW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1605 | PA      | $1603.41       | 0.00%             | 2026-01-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 735348 FN 02/35 FLOATING VAR                      | CUSIP: 31402Q5H0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      384740 | PA      | $391793.72     | 0.00%             | 2035-02-01      | Floating      | 6.53%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL    | CHARTER COMM OPT LLC/CAP SR SECURED 10/45 6.484             | CUSIP: 161175BA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1500000 | PA      | $1482682.80    | 0.00%             | 2045-10-23      | Fixed         | 6.48%                 | No            |                  2 | On Loan: No      |
| LOANCORE ISSUER LTD 2021-CRE5                                                    | LOANCORE 2021 CRE5 ISSUER, LTD LNCR 2021 CRE5 A 144A        | CUSIP: 53947XAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      174718 | PA      | $174842.86     | 0.00%             | 2036-07-15      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| FORESEA HOLDING SA                                                               | DRILLCO HLDG LUX SA COMMON STOCK                            | CUSIP: 000000000<br>LEI: 254900BAD50AKYGIMV79 | Long             | EC               | CORP              | LU        |       19563 | NS      | $423865.01     | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AH4629 FN 01/26 FIXED 3.5                         | CUSIP: 3138A6EB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         125 | PA      | $124.42        | 0.00%             | 2026-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 912590 FN 03/37 FIXED 6                           | CUSIP: 31411N2X4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       42403 | PA      | $44234.31      | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH6534 FN 07/47 FIXED 4                           | CUSIP: 3140GVHL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       27665 | PA      | $26604.02      | 0.00%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-A1                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2007 A1 3A2                  | CUSIP: 46630GAH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       34434 | PA      | $32970.98      | 0.00%             | 2035-07-25      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL1453 FN 01/27 FIXED VAR                         | CUSIP: 3138EHTK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       28661 | PA      | $28471.64      | 0.00%             | 2027-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL7568 FN 03/28 FIXED VAR                         | CUSIP: 3138EQMS8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       12099 | PA      | $12015.95      | 0.00%             | 2028-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20251217                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $105358.79     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS6255 FR 05/26 FIXED 3.5                 | CUSIP: 3132A65Q2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        7425 | PA      | $7386.93       | 0.00%             | 2026-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL CK0445 GN 02/52 FIXED 4                           | CUSIP: 3617XUP66<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3247934 | PA      | $3076154.77    | 0.01%             | 2052-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AE7237 FN 12/25 FIXED 3.5                         | CUSIP: 31419JBF4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1572 | PA      | $1567.06       | 0.00%             | 2025-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-2004                                                                 | FREDDIE MAC FHR 2004 E                                      | CUSIP: 3133TBGP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3122 | PA      | $3118.00       | 0.00%             | 2027-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2006-1                                                   | FREMONT HOME LOAN TRUST FHLT 2006 1 2A4                     | CUSIP: 35729PPB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2671904 | PA      | $2449100.46    | 0.01%             | 2036-04-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 985526 FN 06/38 FIXED 5.5                         | CUSIP: 31415PYX0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5476 | PA      | $5674.38       | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 774991 FN 05/34 FIXED 6                           | CUSIP: 31404P7C9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3586 | PA      | $3685.79       | 0.00%             | 2034-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PROLOGIS LP                                                                      | PROLOGIS LP SR UNSECURED 02/33 4.2                          | CUSIP: 74340XCP4<br>LEI: GL16H1DHB0QSHP25F723 | Long             | DBT              | CORP              | US        |    15100000 | PA      | $11100832.10   | 0.02%             | 2033-02-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 567843 FN 09/30 FIXED 8.5                         | CUSIP: 31386MZG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       40691 | PA      | $41136.82      | 0.00%             | 2030-09-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 545993 FN 11/32 FIXED VAR                         | CUSIP: 31385JRN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1611 | PA      | $1667.77       | 0.00%             | 2032-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AI9806 FN 08/26 FIXED 3.5                         | CUSIP: 3138AP3Q9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5446 | PA      | $5417.83       | 0.00%             | 2026-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II TBA 30 YR 3.5 JUMBOS                                | CUSIP: 21H0326B1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    26000000 | PA      | $23704048.68   | 0.05%             | 2055-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AD0361 FN 09/39 FIXED VAR                         | CUSIP: 31418MMK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      155007 | PA      | $163431.44     | 0.00%             | 2039-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM8479 FN 08/51 FIXED VAR                         | CUSIP: 3140XCM54<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      175788 | PA      | $156069.75     | 0.00%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                        | REPUBLIC OF PERU SR UNSECURED REGS 08/34 5.4                | CUSIP: P78024AG4<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     1051000 | PA      | $293201.17     | 0.00%             | 2034-08-12      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS6304 FN 12/45 FIXED 4                           | CUSIP: 3138WGAE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5206 | PA      | $5011.91       | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA7828 G2 01/52 FIXED 3                        | CUSIP: 36179WVV7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1326706 | PA      | $1186263.16    | 0.00%             | 2052-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AZ0556 FN 10/45 FIXED 4                           | CUSIP: 3138YRTN8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      504992 | PA      | $485789.06     | 0.00%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BINOM SECURITIZATION TRUST 2022-INV1                                             | BINOM SECURITIZATION TRUST BINOM 2022 INV1 A1 144A          | CUSIP: 090975AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    10747116 | PA      | $10479870.43   | 0.02%             | 2057-08-25      | Variable      | 4.44%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-54CB                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 54CB 2A4          | CUSIP: 12668APH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      517211 | PA      | $269725.79     | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZK4375 FR 08/27 FIXED 3                   | CUSIP: 3131X72G2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       19688 | PA      | $19489.16      | 0.00%             | 2027-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CHEVY CHASE MORTGAGE FUND CORP 2005-3A                                           | CHEVY CHASE MORTGAGE FUNDING C CCMFC 2005 3A A1 144A        | CUSIP: 16678RDT1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      157650 | PA      | $149064.86     | 0.00%             | 2036-07-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080154 G2 01/28 FLOATING VAR                   | CUSIP: 36225CE44<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       19304 | PA      | $19281.13      | 0.00%             | 2028-01-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA2483 FN 10/48 FIXED 4.5                         | CUSIP: 3140Q9XM0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        9621 | PA      | $9498.75       | 0.00%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                                               | VICI PROPERTIES LP SR UNSECURED 04/34 5.75                  | CUSIP: 925650AF0<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |     2600000 | PA      | $2703159.19    | 0.01%             | 2034-04-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BK4390 FN 04/33 FIXED 3                           | CUSIP: 3140HH2Y0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      261535 | PA      | $253753.96     | 0.00%             | 2033-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| RESLOC UK PLC 2007-1X                                                            | RESLOC UK PLC RLOC 2007 1X M1B REGS                         | CUSIP: B1XCHGII3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     1217131 | PA      | $1577841.61    | 0.00%             | 2043-12-15      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-42882.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FS6053 FN 09/53 FIXED VAR                         | CUSIP: 3140XMWP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1760907 | PA      | $1780032.80    | 0.00%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA3738 G2 06/46 FIXED 4.5                      | CUSIP: 36179SEK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4794 | PA      | $4760.34       | 0.00%             | 2046-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 310139 FN 11/25 FIXED VAR                         | CUSIP: 31374CPY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        6520 | PA      | $6499.83       | 0.00%             | 2025-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COMMUNITY PROGRAM LOAN TRUST-1987-A                                              | COMMUNITY PROGRAM LOAN TRUST CPLT 1987 A A5                 | CUSIP: 204012AE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       23927 | PA      | $23967.57      | 0.00%             | 2029-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3395 FN 06/28 FIXED 3.5                         | CUSIP: 31418CXZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       25796 | PA      | $25621.72      | 0.00%             | 2028-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| STEPSTONE GROUP MIDCO 2 GMBH                                                     | STEPSTNE GRUP MDCO 2 GMBH THE USD TERM LOAN                 | CUSIP: BA000BVC2<br>LEI: 894500DB5T5ENCFFQU61 | Long             | LON              | CORP              | US        |    10274250 | PA      | $9773380.31    | 0.02%             | 2031-12-19      | Floating      | 8.61%                 | No            |                  2 | On Loan: No      |
| PROTEUS RMBS DAC 1A                                                              | PROTEUS RMBS DAC PROTE 1A DR 144A                           | CUSIP: ACI1745Z5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |    11379000 | PA      | $12972096.34   | 0.03%             | 2054-10-29      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AH0930 FN 12/40 FIXED 4                           | CUSIP: 3138A2A82<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      119365 | PA      | $116860.02     | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 870747 FN 07/36 FIXED 6                           | CUSIP: 31409GL46<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       10831 | PA      | $11223.53      | 0.00%             | 2036-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2024-BA                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2024 BA E 144A          | CUSIP: 21050UAF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1463000 | PA      | $1490436.22    | 0.00%             | 2054-11-25      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2005-FR4                                | SECURITIZED ASSET BACKED RECEI SABR 2005 FR4 M2             | CUSIP: 81375WFJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1021296 | PA      | $986577.94     | 0.00%             | 2036-01-25      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20251017                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-4356.50      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                                               | BANCO SANTANDER SA 01/30 5.565                              | CUSIP: 05964HBJ3<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    37900000 | PA      | $39576066.86   | 0.09%             | 2030-01-17      | Fixed         | 5.57%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20251008                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $876.04        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20251010                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $-410555.61    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 890653 FN 01/32 FIXED VAR                         | CUSIP: 31410LQE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5566 | PA      | $5591.08       | 0.00%             | 2032-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE TRUST 2005-ALT1                                                   | JP MORGAN MORTGAGE TRUST JPMMT 2005 ALT1 3A1                | CUSIP: 466247XK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      209149 | PA      | $142649.19     | 0.00%             | 2035-10-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AU3374 FN 08/43 FIXED 3                           | CUSIP: 3138X2XC3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      388338 | PA      | $357295.26     | 0.00%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2481                                                                 | FREDDIE MAC FHR 2481 ZA                                     | CUSIP: 31392TUQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      538208 | PA      | $560663.67     | 0.00%             | 2032-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-45T1                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 45T1 1A10         | CUSIP: 02149JAK2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2364369 | PA      | $897361.04     | 0.00%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G00886 FG 11/27 FIXED 8.5                 | CUSIP: 31283G6X0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         222 | PA      | $223.55        | 0.00%             | 2027-11-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY7681 FN 07/53 FIXED 4.5                         | CUSIP: 3140NQRB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      768261 | PA      | $748839.64     | 0.00%             | 2053-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080428 G2 07/30 FLOATING VAR                   | CUSIP: 36225CPN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       13654 | PA      | $13684.43      | 0.00%             | 2030-07-20      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| BSPRT 2021-FL7 ISSUER LTD                                                        | BSPRT ISSUER, LTD. BSPRT 2021 FL7 A 144A                    | CUSIP: 05602CAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      308690 | PA      | $309489.60     | 0.00%             | 2038-12-15      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| PRIMERICA INC                                                                    | PRIMERICA INC SR UNSECURED 11/31 2.8                        | CUSIP: 74164MAB4<br>LEI: 254900621R686KJR7022 | Long             | DBT              | CORP              | US        |     3000000 | PA      | $2711543.67    | 0.01%             | 2031-11-19      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-H                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2006 H 4A2              | CUSIP: 05950PAL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      613249 | PA      | $553711.62     | 0.00%             | 2046-09-20      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AT8028 FN 07/43 FIXED 3                           | CUSIP: 3138WV4N8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       42196 | PA      | $38792.09      | 0.00%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA1442 FN 03/33 FIXED 3                           | CUSIP: 3140Q8S89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      277239 | PA      | $270070.17     | 0.00%             | 2033-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2003-40A                                               | STRUCTURED ASSET SECURITIES CO SASC 2003 40A 3A2            | CUSIP: 86359BEK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      408356 | PA      | $398915.95     | 0.00%             | 2034-01-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| CAPITAL FOUR US CLO 2022-1A                                                      | CAPITAL FOUR US CLO C4US 2022 1A AR 144A                    | CUSIP: 14016CAN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    38800000 | PA      | $38974600.00   | 0.09%             | 2037-01-20      | Floating      | 6.23%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAP CERT 2007-1                                           | CREDIT SUISSE MORTGAGE TRUST CSMC 2007 1 1A6A               | CUSIP: 126378AL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2558871 | PA      | $565079.12     | 0.00%             | 2037-02-25      | Fixed         | 5.86%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                          | HCA INC COMPANY GUAR 06/33 5.5                              | CUSIP: 404119CQ0<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     5100000 | PA      | $5300472.84    | 0.01%             | 2033-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE                                                                    | ALTICE FRANCE SA 2023 USD TERM LOAN B14                     | CUSIP: F6628DAN4<br>LEI: 5493001ZMCICV4N02J21 | Long             | LON              | CORP              | FR        |    11166365 | PA      | $10831374.03   | 0.02%             | 2028-08-15      | Floating      | 9.49%                 | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 190297 FN 02/28 FIXED VAR                         | CUSIP: 31368HKJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          57 | PA      | $58.07         | 0.00%             | 2028-02-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| CREDIT OPPORTUNITIES PARTNERS JV LLC                                             | CREDIT OPPORTUNITIES PARTNERS 2025A SR UNSECD NT TRANCHE B  | CUSIP: 955SEVII3<br>LEI: 5493003CSKFS2RY0JR63 | Long             | DBT              | CORP              | US        |     8400000 | PA      | $8574589.21    | 0.02%             | 2030-03-20      | Fixed         | 6.74%                 | Yes           |                  3 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZT1610 FR 01/34 FIXED 3.5                 | CUSIP: 3132ADYF9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       78835 | PA      | $77773.73      | 0.00%             | 2034-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 906073 FN 01/37 FIXED 6                           | CUSIP: 31411ET64<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       25304 | PA      | $26087.49      | 0.00%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                          | GOLDMAN SACHS GROUP INC SR UNSECURED 10/29 VAR              | CUSIP: 38141GA46<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    38500000 | PA      | $40977051.89   | 0.09%             | 2029-10-24      | Floating      | 6.48%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8206 FR 04/52 FIXED 3                   | CUSIP: 3132DWDK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    85749249 | PA      | $75558013.24   | 0.17%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA0936 G2 04/43 FIXED 4.5                      | CUSIP: 36179NBD9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2085 | PA      | $2098.69       | 0.00%             | 2043-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVST LN TR 2006-3                                              | STRUCTURED ASSET INVESTMENT LO SAIL 2006 3 A5               | CUSIP: 863587AE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      116361 | PA      | $115004.44     | 0.00%             | 2036-06-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| BAYER US FINANCE LLC                                                             | BAYER US FINANCE LLC BAYER US FINANCE LLC                   | CUSIP: 07274EAL7<br>LEI: 54930093Q75GSEM74I71 | Long             | DBT              | CORP              | US        |     7800000 | PA      | $8417192.16    | 0.02%             | 2033-11-21      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE TRUST-2005-9AR                                           | MORGAN STANLEY MORTGAGE LOAN T MSM 2005 9AR 1A              | CUSIP: 61748HQW4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       12514 | PA      | $9363.78       | 0.00%             | 2035-12-25      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AH1183 FN 01/26 FIXED 3.5                         | CUSIP: 3138A2J59<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         197 | PA      | $196.41        | 0.00%             | 2026-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCIAL ISSUANCE TRUST 2020-2A                                         | ONEMAIN FINANCIAL ISSUANCE TRU OMFIT 2020 2A A 144A         | CUSIP: 682696AA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1049980 | PA      | $1032230.76    | 0.00%             | 2035-09-14      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 781265 GN 12/29 FIXED 6.5                         | CUSIP: 36225BMN5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2995 | PA      | $3081.42       | 0.00%             | 2029-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 002884 G2 02/30 FIXED 8                        | CUSIP: 36202DFZ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1424 | PA      | $1506.31       | 0.00%             | 2030-02-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-42                                                               | FANNIE MAE FNR 2007 42 AF                                   | CUSIP: 31396VN53<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5395 | PA      | $5304.20       | 0.00%             | 2037-05-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20251017                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-69347.45     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CARRINGTON MTGE LOAN TRUST 2007-FRE1                                             | CARRINGTON MORTGAGE LOAN TRUST CARR 2007 FRE1 A3            | CUSIP: 144527AC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    28617791 | PA      | $27706011.06   | 0.06%             | 2037-02-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20251015                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-155076.26    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 08/41 1.75                                  | CUSIP: 912810TA6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   331100000 | PA      | $224753524.15  | 0.50%             | 2041-08-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2003-25                                                               | FANNIE MAE FNR 2003 25 KP                                   | CUSIP: 31393APU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       66580 | PA      | $66492.22      | 0.00%             | 2033-04-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL BA2547 GN 05/47 FIXED 5                           | CUSIP: 3617AEZL3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      112159 | PA      | $112260.89     | 0.00%             | 2047-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOODMAN US FINANCE FIVE LLC                                                      | GOODMAN US FIN FIVE LLC COMPANY GUAR 144A 05/32 4.625       | CUSIP: 38239PAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    20700000 | PA      | $20597771.81   | 0.05%             | 2032-05-04      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8341 FR 07/53 FIXED 5                   | CUSIP: 3132DWHS5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       54781 | PA      | $54582.87      | 0.00%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 870966 FN 11/36 FIXED 6                           | CUSIP: 31409GTX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       31648 | PA      | $32324.16      | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 898493 FN 10/36 FIXED 6                           | CUSIP: 31410VGA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       13520 | PA      | $14017.60      | 0.00%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FINANCE OF AMERICA STRUCTURED SECURITIES TRUST 2025-S2                           | FINANCE OF AMERICA STRUCTURED FASST 2025 S2 A1 144A         | CUSIP: 31739XAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    74410085 | PA      | $72224289.18   | 0.16%             | 2075-07-25      | Variable      | 3.50%                 | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS6673 FN 02/46 FIXED 4                           | CUSIP: 3138WGMX9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      221404 | PA      | $213031.49     | 0.00%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB3170 FN 03/52 FIXED 3                           | CUSIP: 3140QNQY1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    44498447 | PA      | $39164312.30   | 0.09%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL CQ3523 G2 11/46 FIXED 3                        | CUSIP: 3618A54G5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      964452 | PA      | $858315.22     | 0.00%             | 2046-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2003-34                                                               | FANNIE MAE FNR 2003 34 A1                                   | CUSIP: 31393CEY5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3079 | PA      | $3118.08       | 0.00%             | 2043-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA2133 FN 07/33 FIXED 3                           | CUSIP: 3140Q9LP6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      327068 | PA      | $318609.10     | 0.00%             | 2033-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL5742 FN 07/29 FIXED VAR                         | CUSIP: 3138ENLY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       83164 | PA      | $82514.73      | 0.00%             | 2029-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2003-4                                                         | FANNIE MAE FNR 2003 4 F                                     | CUSIP: 31392HRD7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       92062 | PA      | $92334.25      | 0.00%             | 2033-02-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT GBP SOLD USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $2487.43       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OBX 2023-NQM4 TRUST                                                              | ONSLOW BAY FINANCIAL LLC OBX 2023 NQM4 A1 144A              | CUSIP: 67448GAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1389508 | PA      | $1395751.55    | 0.00%             | 2063-03-25      | Variable      | 6.11%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 884826 FN 07/36 FIXED 6                           | CUSIP: 31410CA36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         196 | PA      | $200.19        | 0.00%             | 2036-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | LQD US TRS EQUITY SOFR-50 BPS                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |           1 | NC      | $-241593.09    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                     | BARCLAYS PLC JR SUBORDINA REGS VAR                          | CUSIP: ACI1FNQ32<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |     1100000 | PA      | $1481978.35    | 0.00%             | 2025-12-15      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| RIO OIL FINANCE TRUST SERIES 2014-3                                              | RIO OIL FINANCE TRUST SR SECURED REGS 01/27 9.75            | CUSIP: U76673AB5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1311192 | PA      | $1359590.96    | 0.00%             | 2027-01-06      | Variable      | 9.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 13.9255 05/08/25-01/04/27 CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |           1 | NC      | $-151694.91    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VMWARE LLC                                                                       | VMWARE LLC SR UNSECURED 05/27 4.65                          | CUSIP: 928563AE5<br>LEI: 549300BUDHS3LRWBE814 | Long             | DBT              | CORP              | US        |    12010000 | PA      | $12021312.58   | 0.03%             | 2027-05-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AX8452 FN 11/44 FIXED 4                           | CUSIP: 3138YAMA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      745084 | PA      | $717984.96     | 0.00%             | 2044-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                                    | FORD MOTOR CREDIT CO LLC SR UNSECURED 11/25 2.33            | CUSIP: BL4KJTII3<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     1700000 | PA      | $1997216.73    | 0.00%             | 2025-11-25      | Fixed         | 2.33%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 1B0349 FH 07/32 FLOATING VAR              | CUSIP: 31336R5J5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1261 | PA      | $1286.82       | 0.00%             | 2032-07-01      | Floating      | 6.64%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AH3428 FN 01/26 FIXED 3.5                         | CUSIP: 3138A4Y25<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2427 | PA      | $2417.17       | 0.00%             | 2026-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS6405 FN 12/45 FIXED 4                           | CUSIP: 3138WGDK7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2012001 | PA      | $1936123.57    | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 555281 FN 03/33 FIXED VAR                         | CUSIP: 31385W2N8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1233 | PA      | $1276.19       | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UBS AG/LONDON BRANCH                                                             | CREDIT SUISSE AG LONDON SR UNSECURED REGS 01/26 0.25        | CUSIP: ACI1XVH34<br>LEI: BFM8T61CT2L1QCEMIK50 | Long             | DBT              | CORP              | CH        |     2100000 | PA      | $2454503.35    | 0.01%             | 2026-01-05      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS6743 FR 09/26 FIXED 3.5                 | CUSIP: 3132A7P47<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2860 | PA      | $2849.79       | 0.00%             | 2026-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA7706 G2 11/51 FIXED 3                        | CUSIP: 36179WR34<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    15645999 | PA      | $13990479.82   | 0.03%             | 2051-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE INTERNATIONAL NV                                                    | ENEL FINANCE INTL NV ENEL FINANCE INTL NV                   | CUSIP: 29278GBD9<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |     2500000 | PA      | $2561850.28    | 0.01%             | 2029-06-26      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3610 FN 03/34 FIXED 3.5                         | CUSIP: 31418DAL6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2115 | PA      | $2085.68       | 0.00%             | 2034-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G05676 FG 11/39 FIXED 4                   | CUSIP: 3128M7T97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      310224 | PA      | $304747.34     | 0.00%             | 2039-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS7106 FR 02/30 FIXED 3.5                 | CUSIP: 3132A73P4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1447 | PA      | $1434.40       | 0.00%             | 2030-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY0385 FN 06/53 FIXED 5.5                         | CUSIP: 3140NGNB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      801292 | PA      | $810139.56     | 0.00%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 254262 FN 04/32 FIXED 6                           | CUSIP: 31371KMK4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          90 | PA      | $92.73         | 0.00%             | 2032-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| THORNBURG MORTGAGE SECURITIES TR 2003-5                                          | THORNBURG MORTGAGE SECURITIES TMST 2003 5 1A                | CUSIP: 885220EB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      113388 | PA      | $105692.39     | 0.00%             | 2043-10-25      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT                                                 | DEUTSCHE BANK AG REGS 11/30 VAR                             | CUSIP: ACI1SQBN3<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    32800000 | PA      | $36414538.03   | 0.08%             | 2030-11-19      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2005-1                                                   | FREMONT HOME LOAN TRUST FHLT 2005 1 M5                      | CUSIP: 35729PJF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2297773 | PA      | $2274590.06    | 0.01%             | 2035-06-25      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| NEWGATE FUNDING PLC-2007-1X                                                      | NEWGATE FUNDING PLC NGATE 2007 1X A3 REGS                   | CUSIP: 994BNLII5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      248693 | PA      | $330955.63     | 0.00%             | 2050-12-01      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| DOLP TRUST 2021-NYC                                                              | DOLP TRUST DOLP 2021 NYC A 144A                             | CUSIP: 23345LAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    56700000 | PA      | $50720707.17   | 0.11%             | 2041-05-10      | Fixed         | 2.96%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE3                                            | MORGAN STANLEY CAPITAL INC MSAC 2007 HE3 A2D                | CUSIP: 617538AD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7114663 | PA      | $3572234.67    | 0.01%             | 2036-12-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 618570 GN 10/34 FIXED 7                           | CUSIP: 36290VFK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       21951 | PA      | $22281.32      | 0.00%             | 2034-10-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AU1966 FN 07/43 FIXED 3                           | CUSIP: 3138X1FG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       49456 | PA      | $45508.20      | 0.00%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 846229 FN 11/35 FLOATING VAR                      | CUSIP: 31408BEA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       71929 | PA      | $73067.19      | 0.00%             | 2035-11-01      | Floating      | 6.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 31750R8E0 PIMCO FXVAN PUT EUR USD 1.14500000                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |   228034000 | NC      | $17669.74      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 893878 FN 10/36 FIXED 6                           | CUSIP: 31410QCP4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       60331 | PA      | $63067.31      | 0.00%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-14CB                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 14CB A7           | CUSIP: 021468AG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      506480 | PA      | $271121.16     | 0.00%             | 2036-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| IPALCO ENTERPRISES INC                                                           | IPALCO ENTERPRISES INC SR SECURED 05/30 4.25                | CUSIP: 462613AP5<br>LEI: 5493000YFVK2DZX0JV43 | Long             | DBT              | CORP              | US        |     6370000 | PA      | $6242341.00    | 0.01%             | 2030-05-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 11.54841 06/13/24-01/04/27 CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |           1 | NC      | $-16822552.70  | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF NEW YORK MELLON CORP (BNY MELLON)                                        | BANK OF NY MELLON CORP BANK OF NY MELLON CORP               | CUSIP: 06406RBV8<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |     7400000 | PA      | $7605605.60    | 0.02%             | 2030-03-14      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 008989 G2 10/26 FLOATING VAR                   | CUSIP: 36202K7A7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4301 | PA      | $4295.64       | 0.00%             | 2026-10-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| DELL INTERNATIONAL LLC / EMC CORP                                                | DELL INT LLC / EMC CORP SR UNSECURED 06/26 6.02             | CUSIP: 24703TAD8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     6997000 | PA      | $7054389.88    | 0.02%             | 2026-06-15      | Fixed         | 6.02%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST-2005-A6                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2005 A6 2A1                  | CUSIP: 466247TQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      236505 | PA      | $225726.42     | 0.00%             | 2035-08-25      | Floating      | 6.04%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVS 2006-HE6                                             | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 HE6 A2A            | CUSIP: 59023XAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1401720 | PA      | $440623.39     | 0.00%             | 2037-11-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| PERFORMER FUNDING 1 PLC 1A                                                       | PERFORMER FUNDING PERFF 1A B 144A                           | CUSIP: ACI2M1B10<br>LEI: N/A                  | Long             | ABS-O            | CORP              | GB        |    30900000 | PA      | $41567034.90   | 0.09%             | 2035-06-21      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-4                                             | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 4 A3                | CUSIP: 12668WAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          42 | PA      | $101217.24     | 0.00%             | 2032-10-25      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| COMM MORTGAGE TRUST 2017-COR2                                                    | COMM MORTGAGE TRUST COMM 2017 COR2 A3                       | CUSIP: 12595EAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    19203000 | PA      | $18824238.11   | 0.04%             | 2050-09-10      | Fixed         | 3.51%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 255771 FN 07/35 FIXED 6                           | CUSIP: 31371MCG0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       21605 | PA      | $22732.36      | 0.00%             | 2035-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| KOREA DEVELOPMENT BANK                                                           | KOREA DEVELOPMENT BANK SR UNSECURED 10/26 VAR               | CUSIP: 500630DY1<br>LEI: 549300ML2LNRZUCS7149 | Long             | DBT              | CORP              | KR        |     7450000 | PA      | $7498293.58    | 0.02%             | 2026-10-23      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8401 FR 02/54 FIXED 5.5                 | CUSIP: 3132DWKN2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2682097 | PA      | $2710607.05    | 0.01%             | 2054-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 850761 FN 12/35 FIXED 6                           | CUSIP: 31408GFA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1068 | PA      | $1126.23       | 0.00%             | 2035-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SYNCHRONY FINANCIAL                                                              | SYNCHRONY FINANCIAL SR UNSECURED 03/29 5.15                 | CUSIP: 87165BAP8<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |     5450000 | PA      | $5521722.44    | 0.01%             | 2029-03-19      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2008-8                                                                | FANNIE MAE FNR 2008 8 FB                                    | CUSIP: 31396YHR6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       63237 | PA      | $63640.50      | 0.00%             | 2038-02-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 931802 FN 08/39 FIXED 5                           | CUSIP: 31412QGK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       17330 | PA      | $17762.46      | 0.00%             | 2039-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| EQUITABLE AMERICA GLOBAL FUNDING                                                 | EQUITABLE AMERICA GLOBAL SECURED 144A 09/27 3.95            | CUSIP: 29446Q2C6<br>LEI: 98450066CCBIACF06694 | Long             | DBT              | CORP              | US        |     4100000 | PA      | $4093704.20    | 0.01%             | 2027-09-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 832435 FN 09/35 FIXED 6                           | CUSIP: 31407JY89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4827 | PA      | $5029.94       | 0.00%             | 2035-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2005-HE7                                                     | ACE SECURITIES CORP. ACE 2005 HE7 M1                        | CUSIP: 004421UC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      709360 | PA      | $772235.31     | 0.00%             | 2035-11-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| COREWEAVE COMPUTE ACQUISITION CO II LLC                                          | COREWEAVE CMPTE ACQU CO II LLC 2024 DELAYED DRAW TERM LOAN  | CUSIP: BA0004JK4<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     2500000 | PA      | $2572291.15    | 0.01%             | 2029-05-30      | Floating      | 6.78%                 | No            |                  3 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A5                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2006 A5 3A5                  | CUSIP: 46629CAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      205660 | PA      | $161601.03     | 0.00%             | 2036-08-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MTG ASSOC 2005-55                                            | GOVERNMENT NATIONAL MORTGAGE A GNR 2005 55 Z                | CUSIP: 38374LZW4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      319864 | PA      | $318403.23     | 0.00%             | 2035-07-20      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| CRH AMERICA FINANCE INC                                                          | CRH AMERICA FINANCE INC COMPANY GUAR 144A 05/27 3.4         | CUSIP: 12636YAA0<br>LEI: 549300WEVUODRJ4CWK56 | Long             | DBT              | CORP              | US        |     1600000 | PA      | $1581286.59    | 0.00%             | 2027-05-09      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM7552 FN 07/34 FIXED VAR                         | CUSIP: 3140XBMA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2927614 | PA      | $2904272.65    | 0.01%             | 2034-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2007-7                                               | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2007 7 2A1A            | CUSIP: 411640AB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      498889 | PA      | $467950.68     | 0.00%             | 2037-10-25      | Floating      | 6.27%                 | No            |                  2 | On Loan: No      |
| SIXTH STREET LENDING PARTNERS                                                    | SIXTH STREET LENDING PAR SR UNSECURED 03/29 6.5             | CUSIP: 829932AB8<br>LEI: 549300S9P1HMDERGCR64 | Long             | DBT              | CORP              | US        |     1500000 | PA      | $1559757.38    | 0.00%             | 2029-03-11      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 756241 FN 01/34 FIXED 6                           | CUSIP: 31403SEN2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       18360 | PA      | $18819.74      | 0.00%             | 2034-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| DALLAS FORT WORTH INTERNATIONAL AIRPORT                                          | DALLAS FORT WORTH TX INTERNATI DALAPT 11/30 FIXED 2.096     | CUSIP: 2350366S4<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     1750000 | PA      | $1602291.43    | 0.00%             | 2030-11-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 536291 GN 09/30 FIXED 8.5                         | CUSIP: 36212KXU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       10377 | PA      | $10410.81      | 0.00%             | 2030-09-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| ALLIANT ENERGY FINANCE LLC                                                       | ALLIANT ENERGY FINANCE COMPANY GUAR 144A 03/26 1.4          | CUSIP: 01882YAC0<br>LEI: 54930033ER6EOI5DL570 | Long             | DBT              | CORP              | US        |     8400000 | PA      | $8279063.35    | 0.02%             | 2026-03-15      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL BP1508 GN 09/49 FIXED 4                           | CUSIP: 3617L7U98<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4473807 | PA      | $4248743.47    | 0.01%             | 2049-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AZ8535 FN 09/45 FIXED 4                           | CUSIP: 3140E1PV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       58429 | PA      | $56298.22      | 0.00%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AX3715 FN 06/27 FIXED 3.5                         | CUSIP: 3138Y5DV5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         326 | PA      | $324.35        | 0.00%             | 2027-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS7695 FR 01/27 FIXED 3.5                 | CUSIP: 3132A8RQ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       11865 | PA      | $11792.32      | 0.00%             | 2027-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2003-32                                                               | FANNIE MAE FNR 2003 32 BZ                                   | CUSIP: 31393BKJ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      117149 | PA      | $120566.99     | 0.00%             | 2032-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-A1                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2007 A1 4A1                  | CUSIP: 46630GAM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       22136 | PA      | $22209.16      | 0.00%             | 2035-07-25      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317UAFDA2 PIMCO SWAPTION 3.375 CALL USD 202510              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | KY        |   -85600000 | NC      | $-20758.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DA1079 FN 11/53 FIXED 5.5                         | CUSIP: 3140A1FV4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       78639 | PA      | $79656.68      | 0.00%             | 2053-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QD8817 FR 03/52 FIXED 3                   | CUSIP: 3133B6YN4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      549804 | PA      | $484466.60     | 0.00%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT ILS SOLD USD 20251113                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $15382.64      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 962129 FN 03/38 FIXED 5.5                         | CUSIP: 31414CLJ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      253058 | PA      | $262316.54     | 0.00%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SB0590 FR 08/26 FIXED 3.5                 | CUSIP: 3132CWUP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5665 | PA      | $5636.29       | 0.00%             | 2026-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2253                                                                 | FREDDIE MAC FHR 2253 Z                                      | CUSIP: 3133TPP45<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       81814 | PA      | $84165.87      | 0.00%             | 2030-09-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AH0414 FN 02/26 FIXED 3.5                         | CUSIP: 3138A1N80<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         287 | PA      | $285.84        | 0.00%             | 2026-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 257025 FN 12/27 FIXED 6.5                         | CUSIP: 31371NPJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         292 | PA      | $301.56        | 0.00%             | 2027-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-1980303.61   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT BASED ASSET SRVC & SEC 2006-CB9                                           | CREDIT BASED ASSET SERVICING A CBASS 2006 CB9 A3            | CUSIP: 12465MAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7252368 | PA      | $3302760.42    | 0.01%             | 2036-11-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080060 G2 04/27 FLOATING VAR                   | CUSIP: 36225CB62<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       12180 | PA      | $12202.07      | 0.00%             | 2027-04-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-3                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2007 3 TA3A             | CUSIP: 059515AD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      894626 | PA      | $756166.35     | 0.00%             | 2037-04-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2011-RR6                                                          | BCAP LLC TRUST BCAP 2011 RR6 7A1 144A                       | CUSIP: 05535YAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      627669 | PA      | $558423.08     | 0.00%             | 2037-06-26      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QH1309 FR 09/53 FIXED 5.5                 | CUSIP: 3133CDN26<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      181333 | PA      | $183428.16     | 0.00%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 835058 FN 06/35 FLOATING VAR                      | CUSIP: 31407MWT8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       23737 | PA      | $24190.55      | 0.00%             | 2035-06-01      | Floating      | 6.81%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MB0420 G2 06/55 FIXED 3.5                      | CUSIP: 3618N5PE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    14133146 | PA      | $12895316.83   | 0.03%             | 2055-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LN TRUST 2007-A2                                           | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2007 A2 2A1            | CUSIP: 466278AR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1842263 | PA      | $1624600.01    | 0.00%             | 2037-05-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TR 2007-2                                           | RENAISSANCE HOME EQUITY LOAN T RAMC 2007 2 AF1              | CUSIP: 75970QAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8029538 | PA      | $2041165.65    | 0.00%             | 2037-06-25      | Variable      | 5.89%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT MXN SOLD USD 20251217                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $614877.93     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE SERIES 1999-19                                                        | FANNIE MAE FNR 1999 19 PH                                   | CUSIP: 31359VH97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2518 | PA      | $2558.05       | 0.00%             | 2029-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                      | BANK OF AMERICA CORP SR UNSECURED 04/28 VAR                 | CUSIP: 06051GKP3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     8460000 | PA      | $8491877.03    | 0.02%             | 2028-04-27      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| MF1 2021-FL7 LTD                                                                 | MF1 MULTIFAMILY HOUSING MORTGA MF1 2021 FL7 A 144A          | CUSIP: 55284AAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    17757981 | PA      | $17770468.63   | 0.04%             | 2036-10-16      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD KRW BOUGHT USD 20251022                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $225496.51     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CSMC 2021-INV2 TRUST                                                             | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 INV2 A3 144A         | CUSIP: 12659TAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    26430776 | PA      | $22953928.83   | 0.05%             | 2056-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AZ0832 FN 07/45 FIXED 4                           | CUSIP: 3138YR4S4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       84433 | PA      | $81380.24      | 0.00%             | 2045-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIES 2005-EMX1                                           | RESIDENTIAL ASSET SECURITIES C RASC 2005 EMX1 M2            | CUSIP: 76110WQ66<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1952509 | PA      | $1959246.19    | 0.00%             | 2035-03-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS8545 FR 11/29 FIXED 3.5                 | CUSIP: 3132A9P68<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      164742 | PA      | $163076.73     | 0.00%             | 2029-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 942569 FN 08/37 FIXED 6                           | CUSIP: 31413DT23<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         379 | PA      | $396.99        | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CHF BOUGHT USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |           1 | NC      | $-75127.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QG9525 FR 08/53 FIXED 5.5                 | CUSIP: 3133CASN1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       46075 | PA      | $46607.56      | 0.00%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL9258 FN 10/30 FIXED VAR                         | CUSIP: 3138ERJC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      108892 | PA      | $107955.73     | 0.00%             | 2030-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-C                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2006 C 4A2              | CUSIP: 058930AJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      772073 | PA      | $691695.12     | 0.00%             | 2036-04-20      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 965682 FN 02/38 FIXED 5.5                         | CUSIP: 31414GJ34<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1476 | PA      | $1532.33       | 0.00%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX7555 FN 03/53 FIXED 5.5                         | CUSIP: 3140NCMD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1834147 | PA      | $1857844.71    | 0.00%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 880330 FN 04/36 FIXED 6                           | CUSIP: 31409WA76<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         768 | PA      | $793.08        | 0.00%             | 2036-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 942867 FN 08/37 FIXED 6                           | CUSIP: 31413D6C6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      202866 | PA      | $213242.60     | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.72136 03/01/24-7Y* LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-1361769.35   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CVC CORDATUS LOAN FUND VII DAC 7A                                                | CORDATUS CLO PLC CORDA 7A ARR 144A                          | CUSIP: ACI1W2TC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     2851977 | PA      | $3344849.90    | 0.01%             | 2031-09-15      | Floating      | 2.64%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL HOLDINGS INC                                              | NEXTERA ENERGY CAPITAL COMPANY GUAR 06/30 3.83              | CUSIP: 65339KDR8<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |     1700000 | PA      | $1241422.96    | 0.00%             | 2030-06-12      | Fixed         | 3.83%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAD TR 2005-WL1                                             | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2005 WL1 M4            | CUSIP: 542514LL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4465451 | PA      | $4396367.40    | 0.01%             | 2035-06-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD SGD BOUGHT USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $166.85        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA4919 FN 02/53 FIXED 5.5                         | CUSIP: 31418EPD6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    21183423 | PA      | $21466926.68   | 0.05%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 804762 FN 01/35 FLOATING VAR                      | CUSIP: 31406BB74<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      626302 | PA      | $642131.83     | 0.00%             | 2035-01-01      | Floating      | 6.33%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST                        | AERCAP IRELAND CAP/GLOBA COMPANY GUAR 10/26 2.45            | CUSIP: 00774MAV7<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |     1900000 | PA      | $1867254.77    | 0.00%             | 2026-10-29      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 902551 FN 11/36 FIXED 6                           | CUSIP: 31411AWL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       45757 | PA      | $48096.00      | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD IDR BOUGHT USD 20251008                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $2701.65       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20251021                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $178825.49     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 894807 FN 08/36 FIXED 6                           | CUSIP: 31410RDL0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        6859 | PA      | $7072.13       | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ILS BOUGHT USD 20251015                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $-177398.60    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FIRST HORIZON MTGE PASS-THRU TR 2004-FL1                                         | FIRST HORIZON MORTGAGE PASS TH FHASI 2004 FL1 1A1           | CUSIP: 32051GDV4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        4212 | PA      | $3898.35       | 0.00%             | 2035-02-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS6154 FR 11/25 FIXED 3.5                 | CUSIP: 3132A6ZT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         297 | PA      | $295.81        | 0.00%             | 2025-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AIR CANADA 2020-2 CLASS A PASS THROUGH TRUST                                     | AIR CANADA 2020 2A PTT PASS THRU CE 144A 10/30 5.25         | CUSIP: 00909DAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |     7599718 | PA      | $7780644.68    | 0.02%             | 2030-10-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 505121 FN 07/29 FIXED 6.5                         | CUSIP: 31383KD20<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          47 | PA      | $48.53         | 0.00%             | 2029-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G02366 FG 10/36 FIXED 6.5                 | CUSIP: 3128LXTX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       20876 | PA      | $22056.78      | 0.00%             | 2036-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UNITED WHOLESALE MORTGAGE LLC 2021-INV5                                          | UNITED WHOLESALE MORTGAGE LLC UWM 2021 INV5 A12 144A        | CUSIP: 90355DAV5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    55206478 | PA      | $47714765.34   | 0.11%             | 2052-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II TBA 30 YR 6 JUMBOS                                  | CUSIP: 21H0606A4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   263645000 | PA      | $268171737.19  | 0.59%             | 2054-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 946382 FN 09/37 FIXED 6                           | CUSIP: 31413H2P2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       95304 | PA      | $100484.09     | 0.00%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA6286 G2 11/49 FIXED 4.5                      | CUSIP: 36179U6X5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3844 | PA      | $3750.29       | 0.00%             | 2049-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 831808 FN 09/36 FIXED 6                           | CUSIP: 31407JDM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      106839 | PA      | $112638.84     | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA0777 FN 06/31 FIXED 5                           | CUSIP: 31417Y2K2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       10594 | PA      | $10771.50      | 0.00%             | 2031-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 822494 FN 06/35 FIXED 6                           | CUSIP: 31406WXX7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1252 | PA      | $1304.28       | 0.00%             | 2035-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVS 2006-HE5                                             | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 HE5 A2C            | CUSIP: 59022QAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    29197626 | PA      | $14372560.56   | 0.03%             | 2037-08-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                     | UBS GROUP AG SR UNSECURED REGS 11/29 VAR                    | CUSIP: ACI21PCV3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |      800000 | PA      | $1000249.34    | 0.00%             | 2029-11-15      | Floating      | 2.12%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 894624 FN 11/36 FIXED 6                           | CUSIP: 31410Q4H1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       11852 | PA      | $12457.82      | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY4795 FN 07/53 FIXED 4.5                         | CUSIP: 3140NMKH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1415482 | PA      | $1375246.96    | 0.00%             | 2053-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-45T1                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 45T1 2A2          | CUSIP: 02149JAR7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      258958 | PA      | $139582.68     | 0.00%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2007-AR11                                          | INDYMAC INDX MORTGAGE LOAN TRU INDX 2007 AR11 2A1           | CUSIP: 45669FAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4201417 | PA      | $2407729.83    | 0.01%             | 2037-06-25      | Floating      | 3.19%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2025-PRL4                                    | GS MORTGAGE BACKED SECURITIES GSMBS 2025 RPL4 PT 144A       | CUSIP: 36272VAP1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    34821382 | PA      | $32050278.94   | 0.07%             | 2065-08-25      | Variable      | 4.44%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 684199 FN 01/33 FIXED 6                           | CUSIP: 31400DDC3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          37 | PA      | $37.33         | 0.00%             | 2033-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5294 FN 03/54 FIXED 5                           | CUSIP: 31418E3C2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      628835 | PA      | $624296.09     | 0.00%             | 2054-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                                    | FORD MOTOR CREDIT CO LLC SR UNSECURED 03/30 7.35            | CUSIP: 345397C68<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |      950000 | PA      | $1017180.68    | 0.00%             | 2030-03-06      | Fixed         | 7.35%                 | No            |                  2 | On Loan: No      |
| CHASE MORGAGE FINANCE CORP 2005-A1                                               | CHASE MORTGAGE FINANCE CORPORA CHASE 2005 A1 2A3            | CUSIP: 16162WPF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2959125 | PA      | $2813613.32    | 0.01%             | 2035-12-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL FUNDING MTG SEC I 2006-S10                                           | RESIDENTIAL FUNDING MTG SEC I RFMSI 2006 S10 1A1            | CUSIP: 74958DAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3971194 | PA      | $3233143.61    | 0.01%             | 2036-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 849272 FN 01/36 FLOATING VAR                      | CUSIP: 31408EQZ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         613 | PA      | $620.27        | 0.00%             | 2036-01-01      | Floating      | 6.34%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AW3146 FN 06/44 FIXED 4                           | CUSIP: 3138XSP84<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4897097 | PA      | $4722533.69    | 0.01%             | 2044-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BV0592 FN 04/52 FIXED 3                           | CUSIP: 3140MDUS5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       82992 | PA      | $73352.70      | 0.00%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTGE LN 2005-22                                         | STRUCTURED ADJUSTABLE RATE MOR SARM 2005 22 1A4             | CUSIP: 863579J90<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      851746 | PA      | $579674.60     | 0.00%             | 2035-12-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVS 2005-A2                                              | MERRILL LYNCH MORTGAGE INVESTO MLMI 2005 A2 A2              | CUSIP: 59020USJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1221215 | PA      | $1166478.38    | 0.00%             | 2035-02-25      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 253398 FN 08/30 FIXED 8                           | CUSIP: 31371JNP5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         601 | PA      | $624.78        | 0.00%             | 2030-08-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 931439 FN 06/39 FIXED 5.5                         | CUSIP: 31412PZC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      167754 | PA      | $173374.02     | 0.00%             | 2039-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS9972 FN 07/47 FIXED 4                           | CUSIP: 3138WLCJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       14149 | PA      | $13611.06      | 0.00%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AX1348 FN 10/44 FIXED 4                           | CUSIP: 3138Y2QA4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       16915 | PA      | $16220.48      | 0.00%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD0850 FN 06/46 FIXED 4                           | CUSIP: 3140F75L9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1794905 | PA      | $1727400.79    | 0.00%             | 2046-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 1Q0313 FH 09/37 FLOATING VAR              | CUSIP: 3128S4K22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         462 | PA      | $470.11        | 0.00%             | 2037-09-01      | Floating      | 6.56%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QG5960 FR 07/53 FIXED 5.5                 | CUSIP: 3133C6TR0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3133709 | PA      | $3172826.33    | 0.01%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2007-72                                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2007 72 YF               | CUSIP: 38375LV80<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       98001 | PA      | $96619.78      | 0.00%             | 2037-11-20      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD NZD BOUGHT USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |           1 | NC      | $9067.11       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 885275 FN 06/36 FIXED 6                           | CUSIP: 31410CQ47<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       18799 | PA      | $19478.60      | 0.00%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MSC MTGE P/T 2002-AR1                                          | WASHINGTON MUTUAL MSC MORTGAGE WAMMS 2002 AR1 2A2           | CUSIP: 939335N84<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         409 | PA      | $407.74        | 0.00%             | 2031-02-25      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2002-28                                                               | FANNIE MAE FNR 2002 28 PK                                   | CUSIP: 31392CA46<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      277213 | PA      | $288767.27     | 0.00%             | 2032-05-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2019-L2                                           | MORGAN STANLEY CAPITAL I TRUST MSC 2019 L2 A4               | CUSIP: 61768HAW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3635000 | PA      | $3561392.70    | 0.01%             | 2052-03-15      | Fixed         | 4.07%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2006-AB1                                               | MASTR ASSET BACKED SECURITIES MABS 2006 AB1 A4              | CUSIP: 57643LNX0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      156634 | PA      | $133246.64     | 0.00%             | 2036-02-25      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB8609 FN 03/43 FIXED 3                           | CUSIP: 31417FR75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       11204 | PA      | $10269.19      | 0.00%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT SEK SOLD USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |           1 | NC      | $127623.49     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZT2092 FR 06/34 FIXED 3.5                 | CUSIP: 3132AEKD7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1558443 | PA      | $1529236.54    | 0.00%             | 2034-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BRITISH AIRWAYS 2021-1 CLASS A PASS THROUGH TRUST                                | BRITISH AIR 21 1 A PPT PASS THRU CE 144A 09/36 2.9          | CUSIP: 11042CAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      652018 | PA      | $593286.44     | 0.00%             | 2036-09-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL C91208 FG 07/28 FIXED 6                   | CUSIP: 3128P7KV4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3824 | PA      | $3910.24       | 0.00%             | 2028-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NOVASTAR MORTGAGE FUNDING TRUST SERIES 2006-2                                    | NOVASTAR HOME EQUITY LOAN NHEL 2006 2 A2C                   | CUSIP: 66988VAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1512080 | PA      | $1122072.20    | 0.00%             | 2036-06-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| WORLDWIDE PLAZA TRUST 2017-WWP                                                   | WORLDWIDE PLAZA TRUST WPT 2017 WWP A 144A                   | CUSIP: 98162JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6280000 | PA      | $4245842.69    | 0.01%             | 2036-11-10      | Fixed         | 3.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT KWD SOLD USD 20270610                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-1457.91      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RENESAS ELECTRONICS CORPORATION                                                  | RENESAS ELECTRONICS CORP SR UNSECURED 144A 11/26 2.17       | CUSIP: 75972BAB7<br>LEI: 5299000EPC47VJQOFB81 | Long             | DBT              | CORP              | JP        |     3801000 | PA      | $3705315.15    | 0.01%             | 2026-11-25      | Fixed         | 2.17%                 | No            |                  2 | On Loan: No      |
| CSMC TRUST 2018-RPL3                                                             | CREDIT SUISSE MORTGAGE TRUST CSMC 2018 RPL3 PT 144A         | CUSIP: 12653JAM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    89219860 | PA      | $73522643.09   | 0.16%             | 2058-01-25      | Variable      | 3.55%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE SA                                                               | CREDIT AGRICOLE SA CREDIT AGRICOLE SA                       | CUSIP: 22534PAJ2<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |    21850000 | PA      | $21949293.17   | 0.05%             | 2027-03-11      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| CSMC TRUST 2018-RPL3                                                             | CREDIT SUISSE MORTGAGE TRUST CSMC 2018 RPL3 SA 144A         | CUSIP: 12653JAL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      101634 | PA      | $99363.23      | 0.00%             | 2058-01-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| COPT DEFENSE PROPERTIES LP                                                       | CORPORATE OFFICE PROP LP COMPANY GUAR 04/31 2.75            | CUSIP: 22003BAM8<br>LEI: H0TWO5VRNEP6CQAWPX27 | Long             | DBT              | CORP              | US        |     2700000 | PA      | $2445787.60    | 0.01%             | 2031-04-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                             | JPMORGAN CHASE + CO SR UNSECURED 09/27 VAR                  | CUSIP: 46647PCQ7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     5000000 | PA      | $5020354.00    | 0.01%             | 2027-09-22      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 747536 FN 11/33 FIXED 5                           | CUSIP: 31403FPV0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4753 | PA      | $4823.17       | 0.00%             | 2033-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ZAR BOUGHT USD 20251120                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $-5434.16      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BPCE SA                                                                          | BPCE SA 144A 10/34 VAR                                      | CUSIP: 05571AAS4<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |     5400000 | PA      | $6026394.38    | 0.01%             | 2034-10-19      | Floating      | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL BO1629 GN 07/49 FIXED 4                           | CUSIP: 3617KGY20<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2368828 | PA      | $2249317.30    | 0.00%             | 2049-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                        | BONOS DE TESORERIA SR UNSECURED 144A REGS 08/33 7           | CUSIP: ACI2GGZ75<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |   509528000 | PA      | $163661500.11  | 0.36%             | 2033-08-12      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-8                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2007 8 4A1              | CUSIP: 05953LAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2268784 | PA      | $1880912.65    | 0.00%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR17                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR17 2A            | CUSIP: 92925DAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3762221 | PA      | $3422535.94    | 0.01%             | 2046-12-25      | Floating      | 3.94%                 | No            |                  2 | On Loan: No      |
| BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2024-LB1                              | BANC OF AMERICA MERRILL LYNCH 05/56 1                       | CUSIP: 05494AAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4127000 | PA      | $2934181.44    | 0.01%             | 2056-05-25      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| RNHB BV                                                                          | RNHB B.V. GALIBIER?CRE                                      | CUSIP: ACI2QBKX4<br>LEI: 724500YGUK3ZCLGPE353 | Long             | DBT              | CORP              | NL        |     1095220 | PA      | $1245536.20    | 0.00%             | 2027-03-01      | Fixed         | 6.76%                 | No            |                  3 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 781252 GN 12/30 FIXED 8                           | CUSIP: 36225BL97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         187 | PA      | $195.53        | 0.00%             | 2030-12-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AV0259 FN 11/28 FIXED 3.5                         | CUSIP: 3138XBJD7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      151983 | PA      | $150133.51     | 0.00%             | 2028-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX7342 FN 07/53 FIXED 4.5                         | CUSIP: 3140NCEQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      819859 | PA      | $797202.21     | 0.00%             | 2053-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AT5519 FN 06/43 FIXED 3                           | CUSIP: 3138WTDZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      355369 | PA      | $326776.18     | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GOVT                                                              | UNITED KINGDOM GILT BONDS REGS 10/61 0.5                    | CUSIP: BMBL1DII5<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    16400000 | PA      | $5394983.52    | 0.01%             | 2061-10-22      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD JPY BOUGHT USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $44147.85      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 462818 GN 06/28 FIXED 6.5                         | CUSIP: 36208WDX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         151 | PA      | $154.99        | 0.00%             | 2028-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AU7552 FN 10/28 FIXED 3.5                         | CUSIP: 3138X7MA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3556 | PA      | $3510.72       | 0.00%             | 2028-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                       | JAPAN (40 YEAR ISSUE) BONDS 03/64 2.2                       | CUSIP: ACI2P7MX2<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  9406000000 | PA      | $48768601.01   | 0.11%             | 2064-03-20      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2006-5                                                                | FANNIE MAE FNR 2006 5 3A2                                   | CUSIP: 31394VL73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      754677 | PA      | $772065.69     | 0.00%             | 2035-05-25      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 527150 GN 02/30 FIXED 8                           | CUSIP: 36211YTF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         491 | PA      | $493.79        | 0.00%             | 2030-02-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR3                                                 | GSR MORTGAGE LOAN TRUST GSR 2005 AR3 8A1                    | CUSIP: 36242D4Z3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       16173 | PA      | $16053.32      | 0.00%             | 2035-05-25      | Floating      | 6.59%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA0130 FN 07/29 FIXED 5                           | CUSIP: 31417YEC7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       48652 | PA      | $49170.75      | 0.00%             | 2029-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 900112 FN 08/36 FIXED 6                           | CUSIP: 31410XAM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       32343 | PA      | $33462.13      | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2005-3                                             | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2005 3 7A1              | CUSIP: 007036JA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      183231 | PA      | $177671.66     | 0.00%             | 2035-07-25      | Floating      | 6.66%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RB5027 FR 01/40 FIXED 3                   | CUSIP: 3133KYSQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3195249 | PA      | $2992315.80    | 0.01%             | 2040-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2023-3A                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2023 3A C 144A          | CUSIP: 210928AD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     9568793 | PA      | $9949901.57    | 0.02%             | 2053-11-25      | Fixed         | 7.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $863783.30     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BW6044 FN 07/52 FIXED 3                           | CUSIP: 3140MXWE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1048345 | PA      | $927446.32     | 0.00%             | 2052-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3321 FN 03/28 FIXED 3.5                         | CUSIP: 31418CVP6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      201658 | PA      | $200436.29     | 0.00%             | 2028-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RB5009 FR 08/39 FIXED 3                   | CUSIP: 3133KYR68<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      242070 | PA      | $227311.38     | 0.00%             | 2039-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 821365 FN 05/35 FLOATING VAR                      | CUSIP: 31406VQS8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4558 | PA      | $4635.24       | 0.00%             | 2035-05-01      | Floating      | 6.46%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2007-1                                             | BEAR STEARNS ADJUSTABLE RATE M BSARM 2007 1 2A1             | CUSIP: 073880AD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      980355 | PA      | $846596.50     | 0.00%             | 2047-02-25      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 559803 FN 09/40 FLOATING VAR                      | CUSIP: 31386C3L4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      156550 | PA      | $156989.13     | 0.00%             | 2040-09-01      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 2825                                                          | FREDDIE MAC FHR 2825 PZ                                     | CUSIP: 31395CQX2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      751540 | PA      | $776346.24     | 0.00%             | 2034-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 530186 GN 11/30 FIXED 9                           | CUSIP: 36212C6X4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          96 | PA      | $97.15         | 0.00%             | 2030-11-15      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| PROJECT QUASAR HOLDCO SLU                                                        | PROJECT QUASAR PLEDGCO SLU 2022 EUR TERM LOAN A1            | CUSIP: 944ZSGII9<br>LEI: N/A                  | Long             | LON              | CORP              | ES        |    46720358 | PA      | $53432904.07   | 0.12%             | 2026-04-17      | Floating      | 5.13%                 | No            |                  3 | On Loan: No      |
| NXP BV/NXP FUNDING LLC                                                           | NXP BV/NXP FUNDING LLC COMPANY GUAR 03/26 5.35              | CUSIP: 62947QBB3<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |    13800000 | PA      | $13824565.52   | 0.03%             | 2026-03-01      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QA2045 FR 08/49 FIXED 3.5                 | CUSIP: 31334YHW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      901185 | PA      | $832920.31     | 0.00%             | 2049-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2005-QO2                                          | RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QO2 A1             | CUSIP: 761118HU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      121026 | PA      | $103388.05     | 0.00%             | 2045-09-25      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| SPECIALTY UNDERWRITING & RESID 2006-BC2                                          | SPECIALTY UNDERWRITING + RESID SURF 2006 BC2 A2D            | CUSIP: 84751PLP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4888407 | PA      | $1584830.68    | 0.00%             | 2037-02-25      | Variable      | 6.35%                 | No            |                  2 | On Loan: No      |
| SEGOVIA EUROPEAN CLO 6-2019 DAC 19-6A                                            | SEGOVIA EUROPEAN CLO 6   2019 SEGOV 2019 6A AR 144A         | CUSIP: ACI1YTXT3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    19337258 | PA      | $22723620.62   | 0.05%             | 2032-07-20      | Floating      | 2.90%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-35                                                        | FANNIE MAE FNR 2012 35 QF                                   | CUSIP: 3136A5MN3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       64407 | PA      | $63972.00      | 0.00%             | 2042-04-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2484 FN 12/45 FIXED 4                           | CUSIP: 31418BXN1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      202390 | PA      | $194861.93     | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA7987 G2 04/52 FIXED 2.5                      | CUSIP: 36179W2U1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    50674420 | PA      | $43678493.68   | 0.10%             | 2052-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | OIS MXN TIIE1/7.75000 04/07/25-5Y* CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |           1 | NC      | $705559.66     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC-2304                                                                 | FREDDIE MAC FHR 2304 PZ                                     | CUSIP: 3133TSMD2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      191458 | PA      | $199105.91     | 0.00%             | 2031-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 486467 GN 08/28 FIXED 7                           | CUSIP: 36210AMQ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          89 | PA      | $91.40         | 0.00%             | 2028-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL BH9386 G2 06/48 FIXED 4                        | CUSIP: 3617H7NB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1502524 | PA      | $1423458.96    | 0.00%             | 2048-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS9972 FR 03/42 FIXED 3                   | CUSIP: 3132ABCH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       98690 | PA      | $91253.40      | 0.00%             | 2042-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20251022                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $159244.75     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AC2861 FN 08/39 FIXED 4.5                         | CUSIP: 31417MFB4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        7301 | PA      | $7345.20       | 0.00%             | 2039-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MOSAIC SOLAR LOAN TRUST 2022-1A                                                  | MOSAIC SOLAR LOANS LLC MSAIC 2022 1A A 144A                 | CUSIP: 61946QAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    15682909 | PA      | $13530799.49   | 0.03%             | 2053-01-20      | Fixed         | 2.64%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 783724 GN 05/39 FIXED 5                           | CUSIP: 3622A2D58<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      813815 | PA      | $832582.74     | 0.00%             | 2039-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT EUR SOLD USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-14486.33     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 767726 FN 11/33 FIXED 6                           | CUSIP: 31404F4K6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       10694 | PA      | $10927.63      | 0.00%             | 2033-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| 7-ELEVEN INC                                                                     | 7 ELEVEN INC SR UNSECURED 144A 02/31 1.8                    | CUSIP: 817826AE0<br>LEI: 549300K23JPL0SS3LB18 | Long             | DBT              | CORP              | US        |     6100000 | PA      | $5303876.92    | 0.01%             | 2031-02-10      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| UBS AG/LONDON BRANCH                                                             | UBS AG LONDON SR UNSECURED 09/28 5.65                       | CUSIP: 902674ZW3<br>LEI: BFM8T61CT2L1QCEMIK50 | Long             | DBT              | CORP              | CH        |      600000 | PA      | $627465.52     | 0.00%             | 2028-09-11      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-NC3                                            | MORGAN STANLEY CAPITAL INC MSAC 2007 NC3 A2B                | CUSIP: 61755AAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3163328 | PA      | $2449499.68    | 0.01%             | 2037-05-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2006-3                                             | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2006 3 4A2              | CUSIP: 00703QAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    10258737 | PA      | $3469232.90    | 0.01%             | 2036-08-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QG6165 FR 07/53 FIXED 5.5                 | CUSIP: 3133C6Z69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5614699 | PA      | $5714711.87    | 0.01%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MIZUHO FINANCIAL GROUP INC                                                       | MIZUHO FINANCIAL GROUP SR UNSECURED 09/31 VAR               | CUSIP: 60687YBL2<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |    12300000 | PA      | $10962181.89   | 0.02%             | 2031-09-08      | Floating      | 1.98%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20251015                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $79693.36      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PENSKE TRUCK LEASING CO LP / PTL FINANCE CORP                                    | PENSKE TRUCK LEASING/PTL PENSKE TRUCK LEASING/PTL           | CUSIP: 709599BZ6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     3600000 | PA      | $3704345.03    | 0.01%             | 2029-03-30      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 691218 FN 02/37 FIXED 6                           | CUSIP: 31400L4B7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       95769 | PA      | $99440.04      | 0.00%             | 2037-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB6672 FN 07/53 FIXED 5                           | CUSIP: 3140QSMW8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    47408631 | PA      | $47397786.31   | 0.10%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20251017                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $4939.25       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2019-4                                                 | TOWD POINT MORTGAGE TRUST TPMT 2019 4 A1 144A               | CUSIP: 89178BAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6077439 | PA      | $5847920.46    | 0.01%             | 2059-10-25      | Variable      | 2.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT EUR SOLD USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $17958.88      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 847340 FH 11/34 FLOATING VAR              | CUSIP: 3128JREM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       10032 | PA      | $10245.81      | 0.00%             | 2034-11-01      | Floating      | 6.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT ILS SOLD USD 20251015                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $75339.45      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 762043 FN 12/33 FIXED 5.5                         | CUSIP: 31403YS87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         562 | PA      | $581.98        | 0.00%             | 2033-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| RIPON MORTGAGES PLC 25-1A                                                        | RIPON MORTGAGES RIPON 2025 1A B 144A                        | CUSIP: ACI2V5997<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    32762000 | PA      | $44177103.87   | 0.10%             | 2056-08-28      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| EMPIRE STATE DEVELOPMENT CORPORATION                                             | NEW YORK ST URBAN DEV CORP REV NYSDEV 03/33 FIXED 2.227     | CUSIP: 650036BB1<br>LEI: 54930039Y2EMGXN6LM88 | Long             | DBT              | MUN               | US        |    23000000 | PA      | $19827771.00   | 0.04%             | 2033-03-15      | Fixed         | 2.23%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE FLEET FINANCING 2024-2 LLC                                            | ENTERPRISE FLEET FINANCING LLC EFF 2024 2 A2 144A           | CUSIP: 29375RAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     8255907 | PA      | $8297105.11    | 0.02%             | 2026-12-20      | Fixed         | 5.74%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                                 | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 12/27 3.3               | CUSIP: 694308HW0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    10000000 | PA      | $9789238.90    | 0.02%             | 2027-12-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 902773 FN 11/36 FIXED 6                           | CUSIP: 31411A6J9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1529 | PA      | $1561.89       | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20251020                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $18503.62      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CMLTI 2025-RP3                                                                   | CMLTI 2025 RP3 SA 144A 10/75 0                              | CUSIP: 1734569Z9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      278776 | PA      | $279199.71     | 0.00%             | 2075-10-01      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-46CB                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 46CB A10          | CUSIP: 12667G7D9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6847925 | PA      | $4679382.33    | 0.01%             | 2035-10-25      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ5987 FN 12/32 FIXED 3                           | CUSIP: 3140H7UM7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      370521 | PA      | $360492.03     | 0.00%             | 2032-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3890 FN 01/40 FIXED 3                           | CUSIP: 31418DKC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     8995775 | PA      | $8424673.29    | 0.02%             | 2040-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 08/43 3.625                                 | CUSIP: 912810RC4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    43200000 | PA      | $37705500.00   | 0.08%             | 2043-08-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 754218 FN 12/33 FIXED 6                           | CUSIP: 31403N4B0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2068 | PA      | $2117.58       | 0.00%             | 2033-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL BP1218 GN 09/49 FIXED 4                           | CUSIP: 3617L7K73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      370519 | PA      | $351879.54     | 0.00%             | 2049-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZA7080 FR 06/39 FIXED 3                   | CUSIP: 31329Q2M2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      144527 | PA      | $135776.47     | 0.00%             | 2039-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY4139 FN 06/53 FIXED 5.5                         | CUSIP: 3140NLS59<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2384179 | PA      | $2417548.45    | 0.01%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 929962 FN 09/38 FIXED 6                           | CUSIP: 31412NFB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         616 | PA      | $649.62        | 0.00%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 486846 GN 01/29 FIXED 7                           | CUSIP: 36210AZK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          95 | PA      | $96.95         | 0.00%             | 2029-01-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS8532 FN 12/46 FIXED 4                           | CUSIP: 3138WJPS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3295 | PA      | $3164.37       | 0.00%             | 2046-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 991525 FN 11/38 FIXED 6                           | CUSIP: 31415WPJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      184846 | PA      | $191897.77     | 0.00%             | 2038-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 238575 FN 03/33 FLOATING VAR                      | CUSIP: 31370Q6L8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5879 | PA      | $5825.40       | 0.00%             | 2033-03-01      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT KWD SOLD USD 20260630                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $2720.85       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 886176 FN 07/36 FIXED 6                           | CUSIP: 31410DQ52<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       26033 | PA      | $27126.37      | 0.00%             | 2036-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NBA (HARDWOOD FUNDING LLC)                                                       | HARDWOOD FUNDING LLC CORP0HRD7                              | CUSIP: 955NUHII7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     8900000 | PA      | $9015715.22    | 0.02%             | 2028-06-07      | Fixed         | 4.84%                 | Yes           |                  3 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-11                                            | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 11 A2A             | CUSIP: 17307GW79<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1838001 | PA      | $1918557.55    | 0.00%             | 2035-10-25      | Floating      | 6.48%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II TBA 30 YR 6 JUMBOS                                  | CUSIP: 21H0606B2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   105895000 | PA      | $107704924.51  | 0.24%             | 2054-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 894865 FN 09/36 FIXED 6                           | CUSIP: 31410RFE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       72250 | PA      | $73806.00      | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 638741 GN 04/37 FIXED 6                           | CUSIP: 36291US63<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      113959 | PA      | $120215.30     | 0.00%             | 2037-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SMALL BUSINESS ADMIN PART CERT 2007-20D                                          | SMALL BUSINESS ADMINISTRATION SBAP 2007 20D 1               | CUSIP: 83162CQY2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |        5112 | PA      | $5124.76       | 0.00%             | 2027-04-01      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CDX IG40 5Y ICE                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $21571.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BT2306 FN 03/52 FIXED 3                           | CUSIP: 3140LQR44<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      777299 | PA      | $684534.68     | 0.00%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                             | JPMORGAN CHASE + CO SR UNSECURED 06/28 VAR                  | CUSIP: 46647PBR6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    56450000 | PA      | $54729397.79   | 0.12%             | 2028-06-01      | Floating      | 2.18%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 783263 GN 12/40 FIXED 5                           | CUSIP: 36241LTU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2240 | PA      | $2295.99       | 0.00%             | 2040-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5426                                                          | FREDDIE MAC FHR 5426 AF                                     | CUSIP: 3137HCXU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4945168 | PA      | $4961356.29    | 0.01%             | 2050-03-15      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 915664 FN 04/37 FIXED 6                           | CUSIP: 31411VJH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       64890 | PA      | $67134.77      | 0.00%             | 2037-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WELLTOWER OP LLC                                                                 | WELLTOWER OP LLC COMPANY GUAR 04/26 4.25                    | CUSIP: 95040QAC8<br>LEI: T6IZ0MBEG5ACZDTR7D06 | Long             | DBT              | CORP              | US        |      800000 | PA      | $800088.06     | 0.00%             | 2026-04-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AA1641 FN 01/39 FIXED 6                           | CUSIP: 31416JZF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       36791 | PA      | $37962.11      | 0.00%             | 2039-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHR 2046                                                                         | FREDDIE MAC FHR 2046 PH                                     | CUSIP: 3133TDD37<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      158631 | PA      | $161477.68     | 0.00%             | 2028-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| HA SUSTAINABLE INFRASTRUCTURE CAPITAL INC                                        | HA SUSTAINABLE INF CAP COMPANY GUAR 01/31 6.15              | CUSIP: 40408AAA9<br>LEI: 254900ZZRL7MWL1X8E92 | Long             | DBT              | CORP              | US        |    11900000 | PA      | $12229418.42   | 0.03%             | 2031-01-15      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RATE MTGES TRU 2004-15                                          | MASTR ADJUSTABLE RATE MORTGAGE MARM 2004 15 4A1             | CUSIP: 576433VN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      747085 | PA      | $740858.66     | 0.00%             | 2034-12-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 008971 G2 09/26 FLOATING VAR                   | CUSIP: 36202K6G5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2684 | PA      | $2682.48       | 0.00%             | 2026-09-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| CENTENE CORPORATION                                                              | CENTENE CORP SR UNSECURED 12/27 4.25                        | CUSIP: 15135BAR2<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |    11256000 | PA      | $11062592.09   | 0.02%             | 2027-12-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 809324 FN 02/35 FLOATING VAR                      | CUSIP: 31406GD55<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        7151 | PA      | $7214.58       | 0.00%             | 2035-02-01      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AZ2670 FN 10/45 FIXED 4                           | CUSIP: 3138YT6G4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        6276 | PA      | $6037.44       | 0.00%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC. 2003-A                                              | MLCC MORTGAGE INVESTORS INC MLCC 2003 A 2A1                 | CUSIP: 589929G28<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         990 | PA      | $875.85        | 0.00%             | 2028-03-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2001-HYB1                                                 | COUNTRYWIDE HOME LOANS CWHL 2001 HYB1 3A2                   | CUSIP: 12669B2Z4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        7365 | PA      | $7323.03       | 0.00%             | 2031-07-19      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                                    | FORD MOTOR CREDIT CO LLC SR UNSECURED 11/29 5.875           | CUSIP: 345397G49<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     9000000 | PA      | $9159529.68    | 0.02%             | 2029-11-07      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 745246 FN 02/34 FIXED VAR                         | CUSIP: 31403C5F4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       13150 | PA      | $13676.90      | 0.00%             | 2034-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| POLAND GOVT                                                                      | REPUBLIC OF POLAND REPUBLIC OF POLAND                       | CUSIP: 731011AY8<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |     5300000 | PA      | $5430290.80    | 0.01%             | 2034-09-18      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 882566 FN 07/36 FIXED 6                           | CUSIP: 31409YQT7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        8858 | PA      | $9212.02       | 0.00%             | 2036-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BOSTON PROPERTIES LP                                                             | BOSTON PROPERTIES LP SR UNSECURED 10/33 2.45                | CUSIP: 10112RBF0<br>LEI: BVHHEFJI6SHNOKQT2572 | Long             | DBT              | CORP              | US        |     4076000 | PA      | $3336698.58    | 0.01%             | 2033-10-01      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080342 G2 11/29 FLOATING VAR                   | CUSIP: 36225CLY0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       24321 | PA      | $24364.06      | 0.00%             | 2029-11-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 1G1545 FH 01/37 FLOATING VAR              | CUSIP: 3128QJWE2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        9476 | PA      | $9679.09       | 0.00%             | 2037-01-01      | Floating      | 6.52%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 615542 FN 11/31 FIXED 6.5                         | CUSIP: 31388UZF0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         165 | PA      | $169.89        | 0.00%             | 2031-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BA2878 FN 10/45 FIXED 4                           | CUSIP: 3140E7FU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3489 | PA      | $3381.40       | 0.00%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 901006 FN 09/36 FLOATING VAR                      | CUSIP: 31410YAF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         116 | PA      | $118.67        | 0.00%             | 2036-09-01      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| SOUND POINT CLO XVIII LTD 2017-4A                                                | SOUND POINT CLO LTD SNDPT 2017 4A A1 144A                   | CUSIP: 83609TAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      127416 | PA      | $127570.84     | 0.00%             | 2031-01-21      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2023-HTL                              | BAMLL 2023 HTL 10/27 1                                      | CUSIP: 05942JAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    78335022 | PA      | $78393564.52   | 0.17%             | 2027-10-15      | Variable      | 7.71%                 | No            |                  3 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 526008 GN 08/30 FIXED 9                           | CUSIP: 36211XKV7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        9586 | PA      | $9689.33       | 0.00%             | 2030-08-15      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB6989 FN 06/53 FIXED 5.5                         | CUSIP: 3140QSXT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2402534 | PA      | $2428998.95    | 0.01%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 1G0959 FH 05/36 FLOATING VAR              | CUSIP: 3128QJB47<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       12578 | PA      | $12983.91      | 0.00%             | 2036-05-01      | Floating      | 6.87%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2349                                                                 | FREDDIE MAC FHR 2349 NZ                                     | CUSIP: 313398XY0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      236128 | PA      | $246115.58     | 0.00%             | 2031-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR JPY MUTK/1.25000 06/18/25-7Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |           1 | NC      | $534051.98     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-I                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2006 I 4A1              | CUSIP: 05951VAH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      770069 | PA      | $646966.27     | 0.00%             | 2046-10-20      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | PEMEX LCDS SP DUB                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $223191.33     | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| SPECIALTY UNDERWRITING & RESID 2006-BC2                                          | SPECIALTY UNDERWRITING + RESID SURF 2006 BC2 A2B            | CUSIP: 84751PLM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    22900159 | PA      | $7429404.76    | 0.02%             | 2037-02-25      | Variable      | 6.07%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT MXN SOLD USD 20251217                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $236414.26     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QS13                                             | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QS13 1A10          | CUSIP: 75115DAK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      604655 | PA      | $485481.92     | 0.00%             | 2036-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN MORTGAGE TRUST 2023-DSC2                                             | JP MORGAN MORTGAGE TRUST JPMMT 2023 DSC2 A1 144A            | CUSIP: 46657BAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      765962 | PA      | $770148.50     | 0.00%             | 2063-11-25      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / GLP FINANCING II INC                                            | GLP CAPITAL LP / FIN II COMPANY GUAR 01/31 4                | CUSIP: 361841AQ2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     2800000 | PA      | $2682324.12    | 0.01%             | 2031-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AIRCASTLE LIMITED                                                                | AIRCASTLE LTD COMPANY GUAR 144A 01/28 2.85                  | CUSIP: 00928QAU5<br>LEI: 549300PNK8AKY3OIKP58 | Long             | DBT              | CORP              | BM        |    54500000 | PA      | $52570039.46   | 0.12%             | 2028-01-26      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AV4576 FN 03/29 FIXED 3.5                         | CUSIP: 3138XGCN1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2944 | PA      | $2910.45       | 0.00%             | 2029-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH9008 FN 08/47 FIXED 4                           | CUSIP: 3140GYAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      593516 | PA      | $571062.96     | 0.00%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.55016 03/01/24-7Y* LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $66056.76      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QC6456 FR 09/51 FIXED 3                   | CUSIP: 3133ARE50<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1267627 | PA      | $1115820.55    | 0.00%             | 2051-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BARROW FUNDING PLC 1A                                                            | BARROW FUNDING PLC BARRO 1A D                               | CUSIP: ACI2P7XN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     4964000 | PA      | $6755532.34    | 0.01%             | 2062-11-16      | Floating      | 7.18%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-6F                                                  | GSR MORTGAGE LOAN TRUST GSR 2005 6F 2A1                     | CUSIP: 362341DS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       32975 | PA      | $28451.36      | 0.00%             | 2035-07-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 885404 FN 06/36 FIXED 6                           | CUSIP: 31410CU59<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3792 | PA      | $3985.41       | 0.00%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OA8                                         | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA8 2A4           | CUSIP: 02147CAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      413855 | PA      | $301835.55     | 0.00%             | 2046-07-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| HOMEBANC MORTGAGE TRUST 2004-2                                                   | HOMEBANC MORTGAGE TRUST HMBT 2004 2 A1                      | CUSIP: 43739EAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      463245 | PA      | $444232.69     | 0.00%             | 2034-12-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BA2076 FN 08/45 FIXED 4                           | CUSIP: 3140E6JW3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      180071 | PA      | $175050.28     | 0.00%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SECURITIES, INC. 2006-AB4                                         | DEUTSCHE ALT A SECURITIES INC DBALT 2006 AB4 A6A1           | CUSIP: 251513BC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      344594 | PA      | $301198.89     | 0.00%             | 2036-10-25      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 11/54 4.5                                   | CUSIP: 912810UE6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    64200000 | PA      | $61832625.00   | 0.14%             | 2054-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2006-SD2                                                     | ACE SECURITIES CORP. ACE 2006 SD2 M1                        | CUSIP: 00442MAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2584611 | PA      | $1975424.35    | 0.00%             | 2045-12-25      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB2129 FN 01/26 FIXED 3.5                         | CUSIP: 31416XLK4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       55794 | PA      | $55586.93      | 0.00%             | 2026-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 890296 FN 02/41 FIXED VAR                         | CUSIP: 31410LC91<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       96557 | PA      | $100050.38     | 0.00%             | 2041-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AT7306 FN 06/43 FIXED 3                           | CUSIP: 3138WVDL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      221633 | PA      | $203775.88     | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                     | BARCLAYS PLC SR UNSECURED 09/27 VAR                         | CUSIP: 06738ECJ2<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    42300000 | PA      | $43162461.47   | 0.10%             | 2027-09-13      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT THB SOLD USD 20251020                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $622.27        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ9795 FN 10/39 FIXED 3                           | CUSIP: 3140HB3D8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      279119 | PA      | $261706.04     | 0.00%             | 2039-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT NZD SOLD USD 20251104                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |           1 | NC      | $-9052.53      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NIGERIA GOVT                                                                     | NIGERIA OMO BILL OMO110626                                  | CUSIP: 955PDHII1<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        | 21993800000 | PA      | $13049082.24   | 0.03%             | 2026-06-11      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RB5001 FR 07/39 FIXED 3.5                 | CUSIP: 3133KYRW1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      164719 | PA      | $158383.35     | 0.00%             | 2039-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 31750R5N3 PIMCO FXVAN PUT EUR USD 1.11000000                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    42662160 | NC      | $14575.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NBA (HARDWOOD FUNDING LLC)                                                       | HARDWOOD FUNDING LLC CORP0HRE5                              | CUSIP: 955NUFII1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     5800000 | PA      | $5924395.27    | 0.01%             | 2030-06-07      | Fixed         | 4.98%                 | Yes           |                  3 | On Loan: No      |
| N/A                                                                              | MEXICO LA SP MYC                                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $17602.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 937759 FN 06/37 FIXED 6                           | CUSIP: 31412XJC9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       35607 | PA      | $37428.62      | 0.00%             | 2037-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COOPERATIEVE RABOBANK UA (AKA: RABOBANK NEDERLAND)                               | COOPERATIEVE RABOBANK UA SR UNSECURED 144A 02/27 VAR        | CUSIP: 74977RDK7<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |    20600000 | PA      | $20337678.36   | 0.04%             | 2027-02-24      | Floating      | 1.11%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TSY INFL IX N/B 02/49 1                                     | CUSIP: 912810SG4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    11168451 | PA      | $8249409.03    | 0.02%             | 2049-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL CN6795 G2 09/46 FIXED 3                        | CUSIP: 3617F6RQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      881253 | PA      | $786009.14     | 0.00%             | 2046-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-473565.22    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SPECIALTY UNDERWRITING & RESID 2005-BC2                                          | SPECIALTY UNDERWRITING + RESID SURF 2005 BC2 M3             | CUSIP: 84751PFW4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      319062 | PA      | $317656.28     | 0.00%             | 2035-12-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ZAR BOUGHT USD 20251120                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $-142041.63    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AH0498 FN 12/25 FIXED 3.5                         | CUSIP: 3138A1RU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       10219 | PA      | $10181.04      | 0.00%             | 2025-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2010-112                                                       | FANNIE MAE FNR 2010 112 PD                                  | CUSIP: 31398NE42<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     6278198 | PA      | $5996853.14    | 0.01%             | 2040-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AH6247 FN 04/26 FIXED 3.5                         | CUSIP: 3138A75H7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        9865 | PA      | $9821.93       | 0.00%             | 2026-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS8415 FN 11/46 FIXED 3                           | CUSIP: 3138WJK56<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        6298 | PA      | $5695.54       | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-2053                                                                 | FREDDIE MAC FHR 2053 Z                                      | CUSIP: 3133TDE69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       57237 | PA      | $57799.85      | 0.00%             | 2028-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20251202                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-5243.32      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QE7273 FR 08/52 FIXED 3                   | CUSIP: 3133BHCJ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1088328 | PA      | $965418.01     | 0.00%             | 2052-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SEC 2005-G                                                  | BANC OF AMERICA MORTGAGE SECUR BOAMS 2005 G 2A1             | CUSIP: 05949CED4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      112226 | PA      | $107175.58     | 0.00%             | 2035-08-25      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL CR3205 G2 05/47 FIXED 3                        | CUSIP: 3618AHR25<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4952867 | PA      | $4417616.19    | 0.01%             | 2047-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR12                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR12 1A6           | CUSIP: 92922F3L0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       23054 | PA      | $21177.11      | 0.00%             | 2035-10-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2024-A                                        | CONSUMER LOAN FINANCE ISSUER T CLFT 2024 A B 144A           | CUSIP: 21050QAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     6888000 | PA      | $7015585.05    | 0.02%             | 2054-11-25      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CZK SOLD USD 20251217                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CZ        |           1 | NC      | $-1292.14      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FS0110 FN 02/36 FIXED VAR                         | CUSIP: 3140XFDQ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      222860 | PA      | $218025.11     | 0.00%             | 2036-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| KILROY REALTY LP                                                                 | KILROY REALTY LP COMPANY GUAR 12/28 4.75                    | CUSIP: 49427RAN2<br>LEI: 5493008CT3N3JR7P1552 | Long             | DBT              | CORP              | US        |     3300000 | PA      | $3321616.06    | 0.01%             | 2028-12-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20251215                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $-10657.37     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL1839 FN 05/27 FIXED VAR                         | CUSIP: 3138EJBH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        7951 | PA      | $7878.77       | 0.00%             | 2027-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 990543 FN 09/38 FIXED 6                           | CUSIP: 31415VLY9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       29132 | PA      | $30492.32      | 0.00%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL AD2299 GN 03/43 FIXED 3.5                         | CUSIP: 36180DRU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       10043 | PA      | $9394.22       | 0.00%             | 2043-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS2253 FN 04/44 FIXED 4                           | CUSIP: 3138WBQF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      138433 | PA      | $134283.74     | 0.00%             | 2044-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2023-1A                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2023 1A A1 144A         | CUSIP: 21055PAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     8798790 | PA      | $8836546.32    | 0.02%             | 2053-11-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ2704 FN 04/33 FIXED 3                           | CUSIP: 3140H4AE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      896659 | PA      | $874336.85     | 0.00%             | 2033-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| DROP MORTGAGE TRUST 2021-FILE                                                    | DROP MORTGAGE TRUST 2021 FILE DROP 2021 FILE A 144A         | CUSIP: 26210YAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    13700000 | PA      | $13321525.17   | 0.03%             | 2043-10-15      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL2688 FN 10/40 FIXED VAR                         | CUSIP: 3138EJ7A0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      626730 | PA      | $660801.69     | 0.00%             | 2040-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NIGERIA GOVT                                                                     | NIGERIA OMO BILL OMO120626                                  | CUSIP: 955PDJII7<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        | 21973741000 | PA      | $13030615.15   | 0.03%             | 2026-06-12      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5010 FN 05/53 FIXED 5.5                         | CUSIP: 31418ER85<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    45108743 | PA      | $45692720.34   | 0.10%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2006-A                                                   | FREMONT HOME LOAN TRUST FHLT 2006 A 2A4                     | CUSIP: 35729RAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     9564040 | PA      | $6217522.98    | 0.01%             | 2036-05-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2007-S1                                              | CHASE MORTGAGE FINANCE CORPORA CHASE 2007 S1 A7             | CUSIP: 16163FAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      547013 | PA      | $210134.49     | 0.00%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H16                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 H16 FM              | CUSIP: 38376REA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2517233 | PA      | $2517835.54    | 0.01%             | 2065-07-20      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT GBP SOLD USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $53471.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC8677 FN 05/46 FIXED 4                           | CUSIP: 3140F4UB0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2932 | PA      | $2820.21       | 0.00%             | 2046-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BLACK DIAMOND CLO 2019-1 DAC 19-1A                                               | BLACK DIAMOND CLO LTD BLACK 2019 1A A1R 144A                | CUSIP: ACI20P3Q5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     3802854 | PA      | $4469162.21    | 0.01%             | 2032-05-15      | Floating      | 3.02%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2022-151                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2022 151 FA              | CUSIP: 38383YP71<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     6310379 | PA      | $6173418.06    | 0.01%             | 2052-09-20      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 730669 FN 08/33 FIXED 5                           | CUSIP: 31402JW60<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        8913 | PA      | $9017.03       | 0.00%             | 2033-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BRITISH AIRWAYS 2020-1 CLASS A PASS THROUGH TRUST                                | BRITISH AIR 20 1 A PTT PASS THRU CE 144A 05/34 4.25         | CUSIP: 11044MAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     4466802 | PA      | $4364406.27    | 0.01%             | 2034-05-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3597                                                                 | FREDDIE MAC FHR 3597 FC                                     | CUSIP: 31398L5U8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        6527 | PA      | $6560.01       | 0.00%             | 2039-11-15      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 008833 G2 03/26 FLOATING VAR                   | CUSIP: 36202KY66<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1435 | PA      | $1433.57       | 0.00%             | 2026-03-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080346 G2 11/29 FLOATING VAR                   | CUSIP: 36225CL46<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       18919 | PA      | $18975.83      | 0.00%             | 2029-11-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| AES CORPORATION                                                                  | AES CORP/THE SR UNSECURED 01/31 2.45                        | CUSIP: 00130HCG8<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |    10600000 | PA      | $9497169.64    | 0.02%             | 2031-01-15      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-6                                                | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 6 1A3A             | CUSIP: 17312VAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      863594 | PA      | $765416.15     | 0.00%             | 2046-10-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QK0114 FR 11/39 FIXED 3                   | CUSIP: 3133D3DT9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       73249 | PA      | $68728.47      | 0.00%             | 2039-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB3670 FN 04/52 FIXED 3                           | CUSIP: 3140QPCG0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      701724 | PA      | $617752.03     | 0.00%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3958 FN 03/40 FIXED 3                           | CUSIP: 31418DMG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       30891 | PA      | $28903.89      | 0.00%             | 2040-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2024-A                                        | CONSUMER LOAN FINANCE ISSUER T CLFT 2024 A C 144A           | CUSIP: 21050QAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     3438000 | PA      | $3496558.77    | 0.01%             | 2054-11-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE                     | CUSIP: 01F0606B6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  2560180500 | PA      | $2615148829.82 | 5.76%             | 2054-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2005-8                                             | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2005 8 3A21             | CUSIP: 007036QH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      124717 | PA      | $87030.02      | 0.00%             | 2035-11-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP OF AMERICA FINANCE LLC                                          | VOLKSWAGEN GROUP AMERICA COMPANY GUAR 144A 06/27 4.35       | CUSIP: 928668BS0<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |    11580000 | PA      | $11586512.48   | 0.03%             | 2027-06-08      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS5386 FN 07/45 FIXED 4                           | CUSIP: 3138WE6Y0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       27656 | PA      | $26630.60      | 0.00%             | 2045-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                      | BNP PARIBAS BNP PARIBAS                                     | CUSIP: 09659W2W3<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    26700000 | PA      | $27622168.07   | 0.06%             | 2030-05-20      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD2386 FN 12/46 FIXED 4                           | CUSIP: 3140F9UL7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       36111 | PA      | $34737.31      | 0.00%             | 2046-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BK0793 FN 04/33 FIXED 3                           | CUSIP: 3140HD3B8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      320233 | PA      | $310115.93     | 0.00%             | 2033-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM9011 FN 09/32 FIXED VAR                         | CUSIP: 3140XDAM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      140723 | PA      | $139098.87     | 0.00%             | 2032-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20251222                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $-1234559.61   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 780605 FH 06/33 FLOATING VAR              | CUSIP: 31342AU64<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       21938 | PA      | $22532.94      | 0.00%             | 2033-06-01      | Floating      | 6.20%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 781276 GN 04/31 FIXED 6.5                         | CUSIP: 36225BMZ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       15995 | PA      | $16505.71      | 0.00%             | 2031-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL BR6175 GN 12/49 FIXED 4                           | CUSIP: 3617M42G9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      234333 | PA      | $222152.83     | 0.00%             | 2049-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GSPA MONETIZATION TRUST                                                          | GSPA MONETIZATION TRUST PASS THRU CE 144A 10/29 6.422       | CUSIP: 36298GAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     8483375 | PA      | $8563146.17    | 0.02%             | 2029-10-09      | Fixed         | 6.42%                 | No            |                  2 | On Loan: No      |
| CSMC SERIES 2011-6R                                                              | CREDIT SUISSE MORTGAGE TRUST CSMC 2011 6R 4A2 144A          | CUSIP: 12645QCY2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1954893 | PA      | $1824033.48    | 0.00%             | 2037-04-28      | Floating      | 3.84%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 832890 FN 09/35 FIXED 6                           | CUSIP: 31407KKB4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         976 | PA      | $1006.35       | 0.00%             | 2035-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317UA9UA7 PIMCO SWAPTION 2.61 CALL EUR 2025100              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -64500000 | NC      | $-5573.45      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NATIONWIDE BUILDING SOCIETY                                                      | NATIONWIDE BLDG SOCIETY NATIONWIDE BLDG SOCIETY             | CUSIP: 638602BS0<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |    15500000 | PA      | $15744284.03   | 0.03%             | 2026-11-10      | Fixed         | 5.26%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AJ9360 FN 01/27 FIXED 3.5                         | CUSIP: 3138E2MJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       10308 | PA      | $10247.09      | 0.00%             | 2027-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SUNTRUST ADJR MRTG LN TR 2007-4                                                  | SUNTRUST ADJUSTABLE RATE MORTG STARM 2007 4 2A1             | CUSIP: 78473WAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      325686 | PA      | $244883.49     | 0.00%             | 2037-10-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED P/T CERT T-11                                             | FHLMC STRUCTURED PASS THROUGH FSPC T 11 A8                  | CUSIP: 3133TDPX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       43254 | PA      | $42383.17      | 0.00%             | 2028-01-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AD0385 FN 12/38 FIXED VAR                         | CUSIP: 31418MNB4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       25106 | PA      | $26034.85      | 0.00%             | 2038-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                      | BANK OF AMERICA CORP SR UNSECURED 07/28 VAR                 | CUSIP: 06051GKW8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     9143000 | PA      | $9276073.99    | 0.02%             | 2028-07-22      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZK3049 FR 03/26 FIXED 3.5                 | CUSIP: 3131X6L65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        9893 | PA      | $9849.72       | 0.00%             | 2026-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA5266 G2 06/48 FIXED 5                        | CUSIP: 36179TZ73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       97857 | PA      | $98880.92      | 0.00%             | 2048-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2411                                                                 | FREDDIE MAC FHR 2411 F                                      | CUSIP: 31339DJJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       76001 | PA      | $76023.80      | 0.00%             | 2032-02-15      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                     | ROMANIA SR UNSECURED REGS 04/33 2                           | CUSIP: ACI1X0BJ3<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     5190000 | PA      | $4786731.70    | 0.01%             | 2033-04-14      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                | HSBC HOLDINGS PLC HSBC HOLDINGS PLC                         | CUSIP: 404280EF2<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |     5600000 | PA      | $5718886.38    | 0.01%             | 2028-05-17      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20251006                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-1322.64      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 02/49 3                                     | CUSIP: 912810SF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   149150000 | PA      | $111708105.89  | 0.25%             | 2049-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2023-1A                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2023 1A A2 144A         | CUSIP: 21055PAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    44490000 | PA      | $46203879.37   | 0.10%             | 2053-11-25      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3838                                                          | FREDDIE MAC FHR 3838 GZ                                     | CUSIP: 3137A9YV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3976478 | PA      | $3866572.18    | 0.01%             | 2041-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 251752 FN 06/28 FIXED 6.5                         | CUSIP: 31371GTH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          17 | PA      | $17.05         | 0.00%             | 2028-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-H18                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2018 H18 FD              | CUSIP: 38380LMX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      338348 | PA      | $337835.39     | 0.00%             | 2068-11-20      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| NOMURA ASSET ACCEPTANCE CORP 2007-1                                              | NOMURA ASSET ACCEPTANCE CORPOR NAA 2007 1 1A6               | CUSIP: 65538PAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      404768 | PA      | $383292.86     | 0.00%             | 2047-03-25      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY7682 FN 07/53 FIXED 4.5                         | CUSIP: 3140NQRC4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1041294 | PA      | $1016354.18    | 0.00%             | 2053-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q50249 FG 08/47 FIXED 4                   | CUSIP: 3132XSH37<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2283563 | PA      | $2199143.24    | 0.00%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SB0019 FR 06/34 FIXED 3.5                 | CUSIP: 3132CWAU8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      833194 | PA      | $821384.38     | 0.00%             | 2034-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AV3250 FN 12/43 FIXED 4                           | CUSIP: 3138XETG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1462374 | PA      | $1417633.96    | 0.00%             | 2043-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CD 2017-CD5 MORTGAGE TRUST                                                       | CD COMMERCIAL MORTGAGE TRUST CD 2017 CD5 A4                 | CUSIP: 12515HAZ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5207000 | PA      | $5116711.66    | 0.01%             | 2050-08-15      | Fixed         | 3.43%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AY0018 FN 01/30 FIXED 3.5                         | CUSIP: 3138YDAU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      160535 | PA      | $158930.44     | 0.00%             | 2030-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TREASURY BILL 11/25 0.00000                                 | CUSIP: 912797RP4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1594000 | PA      | $1585530.55    | 0.00%             | 2025-11-18      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.50000 12/18/24-30Y CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $6326758.28    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20251015                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-130836.20    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BX TRUST 2022-FOX2                                                               | BX TRUST BX 2022 FOX2 A2 144A                               | CUSIP: 05610AAW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    19389548 | PA      | $19365571.09   | 0.04%             | 2039-04-15      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| THAMES WATER UTILITIES FINANCE PLC                                               | THAMES WATER UTIL FIN SR SECURED REGS 06/48 4.625           | CUSIP: ACI025FP0<br>LEI: 213800ESMPQ4RQ7G8351 | Long             | DBT              | CORP              | GB        |     1900000 | PA      | $1788873.88    | 0.00%             | 2048-06-04      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-81                                                               | FANNIE MAE FNR 2007 81 AF                                   | CUSIP: 31396XAL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      171067 | PA      | $170398.63     | 0.00%             | 2037-08-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX3744 FN 01/53 FIXED 5.5                         | CUSIP: 3140N8ES3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      908142 | PA      | $920108.81     | 0.00%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2004-WF                                                              | GSAMP TRUST GSAMP 2004 WF M2                                | CUSIP: 36242DKL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      119545 | PA      | $121524.93     | 0.00%             | 2034-10-25      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2004-97                                                               | FANNIE MAE FNR 2004 97 ZH                                   | CUSIP: 31394BS62<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      317141 | PA      | $317279.63     | 0.00%             | 2035-01-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FELLS POINT FUNDING TRUST                                                        | FELLS POINT FUNDING TR SR UNSECURED 144A 01/27 3.046        | CUSIP: 314382AA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     8500000 | PA      | $8365376.66    | 0.02%             | 2027-01-31      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| HUDSON PACIFIC PROPERTIES LP                                                     | HUDSON PACIFIC PROPERTIE COMPANY GUAR 01/30 3.25            | CUSIP: 44409MAC0<br>LEI: 5493007NTUGLGZ8T3526 | Long             | DBT              | CORP              | US        |    24000000 | PA      | $20633274.48   | 0.05%             | 2030-01-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 928027 FN 01/37 FIXED 6                           | CUSIP: 31412LA42<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       91093 | PA      | $96042.81      | 0.00%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| EPH FINANCING INTERNATIONAL AS                                                   | EPH FIN INTERNATIONAL AS EPH FIN INTERNATIONAL AS           | CUSIP: ACI2L2292<br>LEI: 3157003E5A4ZV0JCSM65 | Long             | DBT              | CORP              | CZ        |    16400000 | PA      | $20955486.09   | 0.05%             | 2028-11-13      | Fixed         | 6.65%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2371 FN 08/45 FIXED 4                           | CUSIP: 31418BT55<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5709 | PA      | $5497.55       | 0.00%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8396 FR 01/54 FIXED 6                   | CUSIP: 3132DWKH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    36648860 | PA      | $37557520.11   | 0.08%             | 2054-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR EUR ESTRON/2.05000 11/18/24-5Y* LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $192395.56     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL4180 FN 09/28 FIXED VAR                         | CUSIP: 3138ELUE1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       92813 | PA      | $92201.15      | 0.00%             | 2028-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-HY4                                                  | COUNTRYWIDE HOME LOANS CWHL 2007 HY4 1A1                    | CUSIP: 17025RAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      560272 | PA      | $503131.76     | 0.00%             | 2047-09-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR10                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR10 1A3           | CUSIP: 92922FW46<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4367970 | PA      | $4161875.93    | 0.01%             | 2035-09-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-3                                                    | COUNTRYWIDE HOME LOANS CWHL 2005 3 2A1                      | CUSIP: 12669GTV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        9978 | PA      | $9729.14       | 0.00%             | 2035-04-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 252254 FN 02/29 FIXED 6                           | CUSIP: 31371HE38<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         977 | PA      | $1002.35       | 0.00%             | 2029-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES TRUST 2019-GC42                                           | GS MORTGAGE SECURITIES TRUST GSMS 2019 GC42 A4              | CUSIP: 36257UAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    10000000 | PA      | $9396609.00    | 0.02%             | 2052-09-10      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BRIXMOR OPERATING PARTNERSHIP LP                                                 | BRIXMOR OPERATING PART SR UNSECURED 04/28 2.25              | CUSIP: 11120VAK9<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |     2500000 | PA      | $2382516.25    | 0.01%             | 2028-04-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 981038 FN 04/38 FIXED 5.5                         | CUSIP: 31415ALT6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         646 | PA      | $667.20        | 0.00%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE-1997-42                                                               | FANNIE MAE FNR 1997 42 ZC                                   | CUSIP: 31359PX84<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          56 | PA      | $55.83         | 0.00%             | 2027-07-18      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 313968 FN 12/27 FLOATING VAR                      | CUSIP: 31374GW52<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       20222 | PA      | $20343.70      | 0.00%             | 2027-12-01      | Floating      | 6.85%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 533555 GN 12/30 FIXED 8                           | CUSIP: 36212GWQ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2317 | PA      | $2365.40       | 0.00%             | 2030-12-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2023-1                                                | VERUS SECURITIZATION TRUST VERUS 2023 1 A1 144A             | CUSIP: 92539BAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6916174 | PA      | $6915579.82    | 0.02%             | 2067-12-25      | Variable      | 5.85%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2083                                                                 | FREDDIE MAC FHR 2083 ZC                                     | CUSIP: 3133TEWH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       70775 | PA      | $71718.02      | 0.00%             | 2028-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-5193735.19   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AE7236 FN 12/25 FIXED 3.5                         | CUSIP: 31419JBE7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          40 | PA      | $39.39         | 0.00%             | 2025-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-HE6                              | BEAR STEARNS ASSET BACKED SECU BSABS 2007 HE6 2A            | CUSIP: 07387YAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3491190 | PA      | $3173238.61    | 0.01%             | 2037-08-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT KWD SOLD USD 20260713                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $5415.55       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT GBP SOLD USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $-9523.74      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 886628 FN 08/36 FIXED 6                           | CUSIP: 31410EA57<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2999 | PA      | $3107.61       | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2058                                                                 | FREDDIE MAC FHR 2058 TE                                     | CUSIP: 3133TDTV8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       56089 | PA      | $56807.07      | 0.00%             | 2028-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL9046 FN 08/46 FIXED VAR                         | CUSIP: 3138ERBQ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3893389 | PA      | $3745335.34    | 0.01%             | 2046-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZK3544 FR 09/26 FIXED 3.5                 | CUSIP: 3131X65D8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       19395 | PA      | $19275.21      | 0.00%             | 2026-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 837925 FN 08/35 FLOATING VAR                      | CUSIP: 31407Q4J2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      111842 | PA      | $113499.02     | 0.00%             | 2035-08-01      | Floating      | 6.40%                 | No            |                  2 | On Loan: No      |
| LEHMAN MORTGAGE TRUST 2005-3                                                     | LEHMAN MORTGAGE TRUST LMT 2005 3 1A3                        | CUSIP: 52520MDP5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      512131 | PA      | $240854.65     | 0.00%             | 2036-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-39                                                               | FANNIE MAE FNR 2007 39 PI                                   | CUSIP: 31396VTF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       16916 | PA      | $1656.87       | 0.00%             | 2037-05-25      | Floating      | 2.29%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 639055 FN 05/32 FIXED 6.5                         | CUSIP: 31389X5Q2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5530 | PA      | $5772.02       | 0.00%             | 2032-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS6064 FN 10/45 FIXED 3                           | CUSIP: 3138WFW28<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      104837 | PA      | $95023.53      | 0.00%             | 2045-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP OF AMERICA FINANCE LLC                                          | VOLKSWAGEN GROUP AMERICA COMPANY GUAR 144A 09/26 5.7        | CUSIP: 928668BV3<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |     6800000 | PA      | $6890003.71    | 0.02%             | 2026-09-12      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 944126 FN 07/37 FIXED 6                           | CUSIP: 31413FLF7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      174189 | PA      | $183104.04     | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NOVASTAR HOME EQUITY LOAN 2006-6                                                 | NOVASTAR HOME EQUITY LOAN NHEL 2006 6 A2D                   | CUSIP: 66988RAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    15304289 | PA      | $5049160.31    | 0.01%             | 2037-01-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CHILEAN GOVT LA SP GST                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $500160.90     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE-2005-75                                                               | FANNIE MAE FNR 2005 75 AF                                   | CUSIP: 31394FAF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      329822 | PA      | $327291.27     | 0.00%             | 2035-09-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FS1877 FN 05/52 FIXED VAR                         | CUSIP: 3140XHCP0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3275814 | PA      | $2884770.77    | 0.01%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2764                                                                 | FREDDIE MAC FHR 2764 LZ                                     | CUSIP: 31394TUG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      139980 | PA      | $140220.77     | 0.00%             | 2034-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 780770 GN 04/28 FIXED 6                           | CUSIP: 36225A2B5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         368 | PA      | $375.99        | 0.00%             | 2028-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AQ9776 FN 12/42 FIXED 3                           | CUSIP: 3138MR2J9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      402195 | PA      | $370294.62     | 0.00%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4620                                                          | FREDDIE MAC FHR 4620 AF                                     | CUSIP: 3137BSAE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2981435 | PA      | $2963909.82    | 0.01%             | 2042-11-15      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $35055.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2024-RPL7                                    | GS MORTGAGE BACKED SECURITIES GSMBS 2024 RPL7 SA 144A       | CUSIP: 36273CAH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       28204 | PA      | $27715.44      | 0.00%             | 2064-07-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 896834 FN 07/36 FIXED 6                           | CUSIP: 31410TLP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       60706 | PA      | $62807.34      | 0.00%             | 2036-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC TRUST 2007-A9                                              | RESIDENTIAL ASSET SECURITIZATI RAST 2007 A9 A5              | CUSIP: 761143AE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1939191 | PA      | $720102.45     | 0.00%             | 2037-09-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2023-2A                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2023 2A B 144A          | CUSIP: 210927AC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     9603919 | PA      | $9957284.71    | 0.02%             | 2053-11-25      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 831927 FN 12/36 FIXED 6                           | CUSIP: 31407JHC9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      286867 | PA      | $302445.77     | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080319 G2 09/29 FLOATING VAR                   | CUSIP: 36225CK96<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         181 | PA      | $182.14        | 0.00%             | 2029-09-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM4486 FN 09/35 FIXED VAR                         | CUSIP: 3140X76Y0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       46979 | PA      | $45774.57      | 0.00%             | 2035-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD JPY BOUGHT USD 20251104                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $-1918312.52   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                                                          | HYUNDAI CAPITAL AMERICA HYUNDAI CAPITAL AMERICA             | CUSIP: 44891ACU9<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |     6500000 | PA      | $6659523.91    | 0.01%             | 2029-01-08      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 1G1727 FH 07/35 FLOATING VAR              | CUSIP: 3128QJ4L7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      226343 | PA      | $232168.11     | 0.00%             | 2035-07-01      | Floating      | 6.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT KRW SOLD USD 20251022                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $-98717.13     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINANCIAL GROUP INC                                              | SUMITOMO MITSUI FINL GRP SR UNSECURED 09/28 1.902           | CUSIP: 86562MCG3<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |    22107000 | PA      | $20763550.76   | 0.05%             | 2028-09-17      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080376 G2 02/30 FLOATING VAR                   | CUSIP: 36225CM29<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         491 | PA      | $493.54        | 0.00%             | 2030-02-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AV0703 FN 12/43 FIXED 4                           | CUSIP: 3138XBX90<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1459971 | PA      | $1418919.90    | 0.00%             | 2043-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DA5999 FN 03/54 FIXED 5.5                         | CUSIP: 3140A6UZ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2353312 | PA      | $2376487.16    | 0.01%             | 2054-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2011-RR5                                                          | BCAP LLC TRUST BCAP 2011 RR5 15A1 144A                      | CUSIP: 05534AAR2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    28739655 | PA      | $9902541.26    | 0.02%             | 2036-06-26      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2003-8                               | BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 8 1A1             | CUSIP: 07384MZQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        5084 | PA      | $5016.32       | 0.00%             | 2034-01-25      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| FORTRESS CREDIT BSL X LTD 2021-1A                                                | FORTRESS CREDIT BSL LIMITED FCBSL 2021 1A AR 144A           | CUSIP: 34962HAJ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    11000000 | PA      | $11000000.00   | 0.02%             | 2033-04-20      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080137 G2 11/27 FLOATING VAR                   | CUSIP: 36225CEK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         212 | PA      | $213.26        | 0.00%             | 2027-11-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR ACCEPTANCE CORPORATION                                              | NISSAN MOTOR ACCEPTANCE SR UNSECURED 144A 09/26 1.85        | CUSIP: 65480CAC9<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |    30200000 | PA      | $29134432.26   | 0.06%             | 2026-09-16      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL0091 FN 07/27 FIXED VAR                         | CUSIP: 3138EGC51<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1065 | PA      | $1065.07       | 0.00%             | 2027-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2005-AR11                                           | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR11 A4            | CUSIP: 45660LQJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      219785 | PA      | $164056.17     | 0.00%             | 2035-08-25      | Floating      | 3.69%                 | No            |                  2 | On Loan: No      |
| NATIONAL RURAL UTILITIES COOPERATIVE FINANCE CORPORATION                         | NATIONAL RURAL UTIL COOP COLLATERAL T 03/31 1.35            | CUSIP: 637432NW1<br>LEI: 4NYF266XZC35SCTGX023 | Long             | DBT              | CORP              | US        |      290000 | PA      | $247765.87     | 0.00%             | 2031-03-15      | Fixed         | 1.35%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP OF AMERICA FINANCE LLC                                          | VOLKSWAGEN GROUP AMERICA COMPANY GUAR 144A 11/26 6          | CUSIP: 928668CA8<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |    25950000 | PA      | $26416899.67   | 0.06%             | 2026-11-16      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FS0135 FN 07/28 FIXED VAR                         | CUSIP: 3140XFEH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       19874 | PA      | $19747.15      | 0.00%             | 2028-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD SGD BOUGHT USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $13258.98      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 972296 FN 02/38 FIXED 5.5                         | CUSIP: 31414PUV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2263 | PA      | $2348.47       | 0.00%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SIXTH STREET LENDING PARTNERS                                                    | SIXTH STREET LENDING PAR SR UNSECURED 144A 07/30 6.125      | CUSIP: 829932AE2<br>LEI: 549300S9P1HMDERGCR64 | Long             | DBT              | CORP              | US        |     4100000 | PA      | $4240746.60    | 0.01%             | 2030-07-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CNH BOUGHT USD 20251016                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $33403.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL CI1510 G2 11/46 FIXED 3                        | CUSIP: 3617X5VB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1072413 | PA      | $954401.22     | 0.00%             | 2046-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AE8247 FN 11/25 FIXED 3.5                         | CUSIP: 31419KEV3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         149 | PA      | $148.77        | 0.00%             | 2025-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AVIATION CAPITAL GROUP LLC                                                       | AVIATION CAPITAL GROUP SR UNSECURED 144A 04/30 5.125        | CUSIP: 05369AAS0<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |     3400000 | PA      | $3455319.97    | 0.01%             | 2030-04-10      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC 2004-E                                               | MLCC MORTGAGE INVESTORS INC MLCC 2004 E A1                  | CUSIP: 59020UJP1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       41124 | PA      | $36242.79      | 0.00%             | 2029-11-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-21M                                            | BX TRUST BX 2021 21M A 144A                                 | CUSIP: 05609CAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    11067656 | PA      | $11059925.88   | 0.02%             | 2036-10-15      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8195 FR 02/52 FIXED 3                   | CUSIP: 3132DWC84<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2118710 | PA      | $1867301.70    | 0.00%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2017-16                                                        | FANNIE MAE FNR 2017 16 CF                                   | CUSIP: 3136AVA74<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     6364316 | PA      | $6216904.89    | 0.01%             | 2047-03-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 895304 FN 09/36 FIXED 6                           | CUSIP: 31410RU56<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       32873 | PA      | $34289.95      | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| 1211 AVENUE OF THE AMERICAS TRUST 2015-1211                                      | 1211 AVENUE OF THE AMERICAS TR AOTA 2015 1211 A1A1 144A     | CUSIP: 90117PAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    22000000 | PA      | $21243921.60   | 0.05%             | 2035-08-10      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| VENDEE MORTGAGE TRUST 2000-1                                                     | VENDEE MORTGAGE TRUST VENDE 2000 1 1A                       | CUSIP: 911760NH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      159194 | PA      | $163451.47     | 0.00%             | 2030-01-15      | Variable      | 6.28%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ARM TR 2004-3                                                       | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 3 4A              | CUSIP: 07384MR20<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       22453 | PA      | $21762.82      | 0.00%             | 2034-07-25      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 780651 GN 10/27 FIXED 7                           | CUSIP: 36225AWL0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          58 | PA      | $58.61         | 0.00%             | 2027-10-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA2921 FN 10/48 FIXED 3                           | CUSIP: 3140QAG79<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      532776 | PA      | $474761.09     | 0.00%             | 2048-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2018-RP2                                           | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2018 RP2 B1 144A        | CUSIP: 17326UAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1170000 | PA      | $1016731.87    | 0.00%             | 2058-02-25      | Variable      | 3.08%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H33                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 H33 FA              | CUSIP: 38376RNF9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5878448 | PA      | $5883631.87    | 0.01%             | 2065-12-20      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZK6213 FR 11/28 FIXED 3.5                 | CUSIP: 3131X93W2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       21050 | PA      | $20834.80      | 0.00%             | 2028-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                               | ENERGY TRANSFER LP SR UNSECURED 05/28 4.95                  | CUSIP: 292480AL4<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     1091000 | PA      | $1109271.63    | 0.00%             | 2028-05-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H12                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 H12 FB              | CUSIP: 38376RBH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      364465 | PA      | $364592.74     | 0.00%             | 2065-05-20      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY IXIS REAL ESTATE CAPITAL TRUST 2006-1                             | MORGAN STANLEY IXIS REAL ESTAT MSIX 2006 1 A4               | CUSIP: 61749QAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    23538376 | PA      | $9264582.38    | 0.02%             | 2036-07-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| SPIRIT AIRLINES PASS THROUGH TRUST 2015-1A                                       | SPIRIT AIR 2015 1 PTT A PASS THRU CE 10/29 4.1              | CUSIP: 84858DAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     3754660 | PA      | $3567059.75    | 0.01%             | 2029-10-01      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA8199 G2 08/52 FIXED 3.5                      | CUSIP: 36179XDC7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      308425 | PA      | $282464.85     | 0.00%             | 2052-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT KRW SOLD USD 20251022                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $875.37        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-H09                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 H09 FB              | CUSIP: 38375UYW4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2383342 | PA      | $2412189.85    | 0.01%             | 2067-04-20      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-3                                                  | BEAR STEARNS ALT A TRUST BALTA 2006 3 35A1                  | CUSIP: 07386HQ87<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3713831 | PA      | $1766826.14    | 0.00%             | 2036-05-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 803338 FN 09/44 FLOATING VAR                      | CUSIP: 31405YPX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      852223 | PA      | $862670.17     | 0.00%             | 2044-09-01      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5354 FN 05/54 FIXED 6                           | CUSIP: 31418E5Q9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    19489537 | PA      | $19934378.01   | 0.04%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZK3541 FR 09/26 FIXED 3                   | CUSIP: 3131X65A4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1106 | PA      | $1097.54       | 0.00%             | 2026-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                           | CS AT1 CLAIMS US225401AK46 CREDIT SUISSE GROUP AG           | CUSIP: 952NPK908<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | US        |     2000000 | PA      | $260000.00     | 0.00%             | 2060-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 002153 G2 01/26 FIXED 7                        | CUSIP: 36202CMA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          62 | PA      | $64.03         | 0.00%             | 2026-01-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                                                                     | ENBRIDGE INC COMPANY GUAR 11/29 3.125                       | CUSIP: 29250NAZ8<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |     2000000 | PA      | $1906281.96    | 0.00%             | 2029-11-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH5209 FN 08/47 FIXED 4                           | CUSIP: 3140GTYF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       10124 | PA      | $9725.18       | 0.00%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WASHING MUTUAL MTGE P/T 2006-7                                                   | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 7 A3              | CUSIP: 93935HAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2731589 | PA      | $720640.83     | 0.00%             | 2036-09-25      | Variable      | 6.58%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 555541 FN 04/33 FLOATING VAR                      | CUSIP: 31385XEN3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3339 | PA      | $3420.43       | 0.00%             | 2033-04-01      | Floating      | 6.41%                 | No            |                  2 | On Loan: No      |
| JPMMT 2025-LTV2                                                                  | JP MORGAN MORTGAGE TRUST JPMMT 2025 LTV2 PT 144A            | CUSIP: 46594BAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    53827538 | PA      | $55946523.19   | 0.12%             | 2055-12-25      | Variable      | 7.39%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20251224                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $-520600.68    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080147 G2 12/27 FLOATING VAR                   | CUSIP: 36225CEV4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        8182 | PA      | $8198.48       | 0.00%             | 2027-12-20      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 535415 FN 05/30 FLOATING VAR                      | CUSIP: 31384VYL0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         771 | PA      | $773.83        | 0.00%             | 2030-05-01      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM8087 FN 03/35 FIXED VAR                         | CUSIP: 3140XB6Z8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      311158 | PA      | $306498.74     | 0.00%             | 2035-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH ALTERNATIVE NOTE ASSET 2007-F1                                     | MERRILL LYNCH ALTERNATIVE NOTE MANA 2007 F1 1A2             | CUSIP: 59023YAZ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1040481 | PA      | $86255.35      | 0.00%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| INTEGRITY RE III LTD                                                             | INTEGRITY RE III UNSECURED 144A 06/27 VAR                   | CUSIP: 45870GAF3<br>LEI: 254900VWHVNG2WMBWC74 | Long             | DBT              | CORP              | BM        |     1300000 | PA      | $1458730.00    | 0.00%             | 2027-06-06      | Floating      | 29.46%                | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 487582 GN 03/29 FIXED 6.5                         | CUSIP: 36210BUF0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         136 | PA      | $141.45        | 0.00%             | 2029-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G30393 FG 05/28 FIXED 6                   | CUSIP: 3128CUNJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        8183 | PA      | $8367.11       | 0.00%             | 2028-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 654952 FN 07/42 FLOATING VAR                      | CUSIP: 31390STH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      372667 | PA      | $371883.70     | 0.00%             | 2042-07-01      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 835509 FN 08/35 FLOATING VAR                      | CUSIP: 31407NGS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       66608 | PA      | $67454.33      | 0.00%             | 2035-08-01      | Floating      | 6.20%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2025-116                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2025 116 QF              | CUSIP: 38381PC92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     9953726 | PA      | $9995600.92    | 0.02%             | 2055-07-20      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2017-RPL2                                            | LEGACY MORTGAGE ASSET TRUST LMAT 2017 RPL2 B3 144A          | CUSIP: 52473LAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    65450619 | PA      | $27896749.04   | 0.06%             | 2056-12-25      | Variable      | 3.05%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AA1325 FN 11/32 FIXED 6                           | CUSIP: 31416JPK1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       49463 | PA      | $50536.02      | 0.00%             | 2032-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AR2420 FN 01/43 FIXED 4                           | CUSIP: 3138NYVN2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      138111 | PA      | $133800.26     | 0.00%             | 2043-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2461                                                                 | FREDDIE MAC FHR 2461 Z                                      | CUSIP: 31392MK43<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       34692 | PA      | $36296.40      | 0.00%             | 2032-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RA9307 FR 06/53 FIXED 5.5                 | CUSIP: 3133KRKU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       42102 | PA      | $42728.67      | 0.00%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AE8048 FN 11/25 FIXED 3.5                         | CUSIP: 31419J5J3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         532 | PA      | $529.89        | 0.00%             | 2025-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-1                                            | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 1 2A3             | CUSIP: 68400DAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    17587833 | PA      | $10335518.49   | 0.02%             | 2037-01-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 886364 FN 06/36 FIXED 6                           | CUSIP: 31410DWZ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2029 | PA      | $2072.27       | 0.00%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 912069 FN 02/32 FIXED 6                           | CUSIP: 31411NJN8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       19191 | PA      | $19600.64      | 0.00%             | 2032-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTGE LN 2007-9                                          | STRUCTURED ADJUSTABLE RATE MOR SARM 2007 9 1A1              | CUSIP: 86364JAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      330933 | PA      | $302557.91     | 0.00%             | 2037-10-25      | Floating      | 5.94%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AQ8107 FN 05/43 FIXED 3                           | CUSIP: 3138MQAH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        7693 | PA      | $7084.68       | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2015-ASTR                             | BANC OF AMERICA MERRILL LYNCH BAMLL 2015 ASTR A 144A        | CUSIP: 05490RAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5000000 | PA      | $4847229.50    | 0.01%             | 2037-07-14      | Fixed         | 3.82%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AH7624 FN 06/26 FIXED 3.5                         | CUSIP: 3138A9PJ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       11716 | PA      | $11650.07      | 0.00%             | 2026-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AY4195 FN 05/45 FIXED 4                           | CUSIP: 3138YHUV0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      126898 | PA      | $122282.74     | 0.00%             | 2045-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080378 G2 02/30 FLOATING VAR                   | CUSIP: 36225CM45<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         630 | PA      | $633.42        | 0.00%             | 2030-02-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY9433 FN 09/53 FIXED 5                           | CUSIP: 3140NSPT5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2204482 | PA      | $2211425.69    | 0.00%             | 2053-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                             | JPMORGAN CHASE + CO SR UNSECURED 09/27 VAR                  | CUSIP: 46647PCP9<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    25900000 | PA      | $25249490.42   | 0.06%             | 2027-09-22      | Floating      | 1.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20251217                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $-241378.26    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 907385 FN 01/37 FIXED 6                           | CUSIP: 31411GCW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       12214 | PA      | $12474.91      | 0.00%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA8198 G2 08/52 FIXED 3                        | CUSIP: 36179XDB9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      249029 | PA      | $223015.03     | 0.00%             | 2052-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G00723 FG 05/27 FIXED 8.5                 | CUSIP: 31283GYU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         218 | PA      | $218.87        | 0.00%             | 2027-05-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G05936 FG 07/40 FIXED 4                   | CUSIP: 3128M74V5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2642 | PA      | $2598.17       | 0.00%             | 2040-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-11T1                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 11T1 A12          | CUSIP: 02150GAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      114757 | PA      | $34913.54      | 0.00%             | 2037-05-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL BI1708 G2 07/48 FIXED 4                        | CUSIP: 3617HA3R6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1195417 | PA      | $1130815.32    | 0.00%             | 2048-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-6                                                  | BEAR STEARNS ALT A TRUST BALTA 2006 6 31A1                  | CUSIP: 073868AV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      510914 | PA      | $290553.19     | 0.00%             | 2036-11-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL0520 FN 07/41 FIXED VAR                         | CUSIP: 3138EGSJ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      434042 | PA      | $449744.38     | 0.00%             | 2041-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.75000 12/18/24-5Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-8808438.09   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                      | BANK OF AMERICA CORP SR UNSECURED 01/28 VAR                 | CUSIP: 06051GGF0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     6035000 | PA      | $6007915.22    | 0.01%             | 2028-01-20      | Floating      | 3.82%                 | No            |                  2 | On Loan: No      |
| LEHMAN MORTGAGE TRUST 2007-5                                                     | LEHMAN MORTGAGE TRUST LMT 2007 5 1A1                        | CUSIP: 52521RAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      179893 | PA      | $161283.11     | 0.00%             | 2037-06-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| GLOBE LIFE INC                                                                   | GLOBE LIFE INC SR UNSECURED 08/30 2.15                      | CUSIP: 37959EAA0<br>LEI: 5493001JFHKQOPP6XA71 | Long             | DBT              | CORP              | US        |     5575000 | PA      | $5013632.12    | 0.01%             | 2030-08-15      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA5193 G2 05/48 FIXED 4.5                      | CUSIP: 36179TXW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     8518129 | PA      | $8420551.42    | 0.02%             | 2048-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL BO4687 GN 09/49 FIXED 4                           | CUSIP: 3617KLF46<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1095507 | PA      | $1040399.55    | 0.00%             | 2049-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AZ4422 FN 07/45 FIXED 4                           | CUSIP: 3138YV4G1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       13778 | PA      | $13245.29      | 0.00%             | 2045-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 527321 GN 08/30 FIXED 8                           | CUSIP: 36211YYS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4268 | PA      | $4281.34       | 0.00%             | 2030-08-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 892758 FN 10/36 FIXED 6                           | CUSIP: 31410NZX9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       22181 | PA      | $23216.92      | 0.00%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WINSTON RE LTD                                                                   | WINSTON RE LTD UNSECURED 144A 02/31 VAR                     | CUSIP: 975660AA9<br>LEI: 2549001Q4VX5Y31QFJ88 | Long             | DBT              | CORP              | BM        |      670000 | PA      | $721456.00     | 0.00%             | 2031-02-26      | Floating      | 14.14%                | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080169 G2 02/28 FLOATING VAR                   | CUSIP: 36225CFK7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       25106 | PA      | $25079.65      | 0.00%             | 2028-02-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20251015                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $286309.09     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LUMINENT MORTGAGE TRUST 2006-7                                                   | LUMINENT MORTGAGE TRUST LUM 2006 7 1A1                      | CUSIP: 55028BAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      803148 | PA      | $776006.09     | 0.00%             | 2036-12-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 002730 G2 03/29 FIXED 7                        | CUSIP: 36202DA76<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         923 | PA      | $946.60        | 0.00%             | 2029-03-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-2                                                    | COUNTRYWIDE HOME LOANS CWHL 2005 2 1A1                      | CUSIP: 12669GPN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       29414 | PA      | $27777.02      | 0.00%             | 2035-03-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE                     | CUSIP: 01F0506B7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  2238554654 | PA      | $2218829405.81 | 4.89%             | 2055-11-13      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GCAT TRUST 2022-INV2                                                             | GCAT GCAT 2022 INV2 A5 144A                                 | CUSIP: 36168FAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    75212794 | PA      | $64943269.24   | 0.14%             | 2052-04-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 815799 FN 05/35 FIXED 6                           | CUSIP: 31406PKL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2092 | PA      | $2153.17       | 0.00%             | 2035-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 888086 FN 02/36 FIXED VAR                         | CUSIP: 31410FUK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       60996 | PA      | $64113.04      | 0.00%             | 2036-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | US 10YR ULTRA FUT DEC25 XCBT 20251219                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        3357 | NC      | $3893637.72    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL C91270 FG 10/29 FIXED 4.5                 | CUSIP: 3128P7MT7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       11419 | PA      | $11502.09      | 0.00%             | 2029-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT PLN SOLD USD 20251022                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-24342.90     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK NA                                                           | MORGAN STANLEY BANK NA SR UNSECURED 05/28 VAR               | CUSIP: 61690U8C7<br>LEI: G1MLHIS0N32I3QPILB75 | Long             | DBT              | CORP              | US        |    25000000 | PA      | $25098739.50   | 0.06%             | 2028-05-26      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LIMITED                                                  | AVOLON HOLDINGS FNDG LTD COMPANY GUAR 144A 03/29 5.75       | CUSIP: 05401AAU5<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |     6100000 | PA      | $6318559.58    | 0.01%             | 2029-03-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 255873 FN 06/35 FIXED 7                           | CUSIP: 31371MFN2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       85956 | PA      | $87616.63      | 0.00%             | 2035-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| NATIONAL HEALTH INVS INC                                                         | NATIONAL HEALTH INVESTOR COMPANY GUAR 02/31 3               | CUSIP: 63633DAF1<br>LEI: 549300ZPKZIG6DKDEC02 | Long             | DBT              | CORP              | US        |     6990000 | PA      | $6328658.56    | 0.01%             | 2031-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 11.4633 06/14/24-01/04/27 CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |           1 | NC      | $-2177581.28   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL BC3797 GN 10/47 FIXED 3.5                         | CUSIP: 3617B7GE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       33188 | PA      | $30507.57      | 0.00%             | 2047-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BV2918 FN 02/52 FIXED 3                           | CUSIP: 3140MGG47<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      157476 | PA      | $139653.56     | 0.00%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 003083 G2 05/31 FIXED 8                        | CUSIP: 36202DM81<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         999 | PA      | $1005.56       | 0.00%             | 2031-05-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE1                                            | MORGAN STANLEY CAPITAL INC MSAC 2007 HE1 A2C                | CUSIP: 617526AE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    12689585 | PA      | $7483577.24    | 0.02%             | 2036-11-25      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 944625 FN 07/37 FIXED 6                           | CUSIP: 31413F4J8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2289 | PA      | $2384.49       | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| EURO-GALAXY III CLO BV 13-3A                                                     | EURO GALAXY CLO DAC EGLXY 2013 3A ARRR 144A                 | CUSIP: ACI1W6FF5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    26456152 | PA      | $31068062.83   | 0.07%             | 2034-04-24      | Floating      | 2.56%                 | No            |                  2 | On Loan: No      |
| WACHOVIA MORTGAGE LN TRUST LLC 2005-A                                            | WACHOVIA MORTGAGE LOAN TRUST, WMLT 2005 A 2A1               | CUSIP: 92977YAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      358174 | PA      | $331142.26     | 0.00%             | 2035-08-20      | Floating      | 3.92%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA4513 FN 01/52 FIXED 3                           | CUSIP: 31418EAP5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      721885 | PA      | $635644.07     | 0.00%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL AA6418 GN 05/43 FIXED 3.5                         | CUSIP: 36178EDX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       11459 | PA      | $10718.08      | 0.00%             | 2043-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 003110 G2 07/31 FIXED 8                        | CUSIP: 36202DN31<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         937 | PA      | $967.50        | 0.00%             | 2031-07-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2002-60                                                               | FANNIE MAE FNR 2002 60 F1                                   | CUSIP: 31392EVN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       17859 | PA      | $17820.63      | 0.00%             | 2032-06-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2005-2                                               | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 2 2A1A            | CUSIP: 41161PLR2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4096963 | PA      | $3960984.00    | 0.01%             | 2035-05-19      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| DOC DR LLC                                                                       | PHYSICIANS REALTY LP COMPANY GUAR 01/28 3.95                | CUSIP: 71951QAB8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     3900000 | PA      | $3870035.56    | 0.01%             | 2028-01-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 633619 GN 09/34 FIXED 6                           | CUSIP: 36291N4C2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       13869 | PA      | $14237.86      | 0.00%             | 2034-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-15                                                               | FANNIE MAE FNR 2007 15 AI                                   | CUSIP: 31396PWK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       17946 | PA      | $1777.79       | 0.00%             | 2037-03-25      | Floating      | 1.91%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 545229 GN 12/30 FIXED 7                           | CUSIP: 36212VVW6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         357 | PA      | $359.15        | 0.00%             | 2030-12-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC6099 FN 06/46 FIXED 4                           | CUSIP: 3140F1X56<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      539114 | PA      | $517111.95     | 0.00%             | 2046-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CDX ITRAXX XOV38 5Y 35-100% SP GST                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |           1 | NC      | $7592801.06    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDEN STATE TOBACCO SECURITIZATION                                              | GOLDEN ST TOBACCO SECURITIZATI GLDGEN 06/41 FIXED 3.714     | CUSIP: 38122ND58<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      710000 | PA      | $557674.12     | 0.00%             | 2041-06-01      | Fixed         | 3.71%                 | No            |                  2 | On Loan: No      |
| ROUNDSTONE SECURITIES NO 2 DESIGNATED ACTIVITY CO 2A                             | ROUNDSTONE SECURITIES RNST 2A X2                            | CUSIP: ACI2NGD30<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |        1972 | PA      | $0.00          | 0.00%             | 2058-06-28      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| LEHMAN MORTGAGE TRUST 2007-5                                                     | LEHMAN MORTGAGE TRUST LMT 2007 5 4A2                        | CUSIP: 52521RBH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2464992 | PA      | $1587344.73    | 0.00%             | 2036-08-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AR5                                              | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AR5 2A2A           | CUSIP: 17311LAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      583474 | PA      | $522405.42     | 0.00%             | 2037-04-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| CSAB MORTGAGE BACKED TR 2006-2                                                   | CSAB MORTGAGE BACKED TRUST CSAB 2006 2 A6A                  | CUSIP: 12627HAK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1570545 | PA      | $435178.10     | 0.00%             | 2036-09-25      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 323702 FN 05/29 FIXED VAR                         | CUSIP: 31374TRX9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         168 | PA      | $171.52        | 0.00%             | 2029-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20251009                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $3896.49       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20251119                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-12001.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 922572 FN 12/36 FIXED 6                           | CUSIP: 31412D6H6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       90057 | PA      | $92625.68      | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 008770 G2 12/25 FLOATING VAR                   | CUSIP: 36202KW76<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         400 | PA      | $399.16        | 0.00%             | 2025-12-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2018-RP2                                           | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2018 RP2 AIO1 144A      | CUSIP: 17326UAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2910690 | PA      | $174.64        | 0.00%             | 2058-02-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | LQD US TRS EQUITY SOFR-60 CBK                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |           1 | NC      | $-1139526.93   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF8301 FR 03/53 FIXED 5.5                 | CUSIP: 3133BWGJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      486763 | PA      | $493484.24     | 0.00%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 005269 G2 12/41 FIXED 6                        | CUSIP: 36202F2A3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       36612 | PA      | $38495.22      | 0.00%             | 2041-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q55997 FG 05/48 FIXED 4                   | CUSIP: 3132XYUX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      141764 | PA      | $136068.15     | 0.00%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| RIPON MORTGAGES PLC 25-1A                                                        | RIPON MORTGAGES RIPON 2025 1A C 144A                        | CUSIP: ACI2V59B2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    28562000 | PA      | $38355306.91   | 0.08%             | 2056-08-28      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RATE MORTGAGES TRUST 2006-OA1                                   | MASTR ADJUSTABLE RATE MORTGAGE MARM 2006 OA1 1A1            | CUSIP: 576433G42<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1821881 | PA      | $1688654.20    | 0.00%             | 2046-04-25      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS6075 FN 10/45 FIXED 4                           | CUSIP: 3138WFXD3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      194864 | PA      | $187635.62     | 0.00%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2017-39                                                        | FANNIE MAE FNR 2017 39 FT                                   | CUSIP: 3136AWHE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4461034 | PA      | $4349159.29    | 0.01%             | 2047-05-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| GMAC MTGE CORPORATION LN TRUST 2007-HE3                                          | GMAC MORTGAGE CORPORATION LOAN GMACM 2007 HE3 2A1           | CUSIP: 36186MAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        4993 | PA      | $4944.14       | 0.00%             | 2037-09-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | REVERSE REPO BANK OF NEW YORK                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -428520 | PA      | $-429055.65    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS4771 FR 06/48 FIXED 3.5                 | CUSIP: 3132A5JQ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      122844 | PA      | $114049.62     | 0.00%             | 2048-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2005-AR31                                          | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR31 1A1           | CUSIP: 45660LV97<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1777635 | PA      | $1599547.07    | 0.00%             | 2036-01-25      | Floating      | 3.56%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL A71059 FG 01/38 FIXED 7                   | CUSIP: 3128L4E83<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1036 | PA      | $1082.98       | 0.00%             | 2038-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2002-3                                                                | FANNIE MAE FNR 2002 3 FE                                    | CUSIP: 31392BUS3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       40778 | PA      | $40778.10      | 0.00%             | 2030-06-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| SOFI CONSUMER LOAN PROGRAM 2025-A TRUST                                          | SOFI CONSUMER LOAN PROGRAM TRU SCLP 2025 A A 144A           | CUSIP: 83407UAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    27128948 | PA      | $27292020.10   | 0.06%             | 2034-03-27      | Fixed         | 4.91%                 | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AH9345 FN 04/26 FIXED 3.5                         | CUSIP: 3138ABL31<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        7848 | PA      | $7811.44       | 0.00%             | 2026-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY1547 FN 07/53 FIXED 5                           | CUSIP: 3140NHWH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       31504 | PA      | $31371.60      | 0.00%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| DIGITAL REALTY TRUST LP                                                          | DIGITAL REALTY TRUST LP COMPANY GUAR 07/29 3.6              | CUSIP: 25389JAU0<br>LEI: CD4SPTZ3YBTHY0C1AH38 | Long             | DBT              | CORP              | US        |    13617000 | PA      | $13285528.31   | 0.03%             | 2029-07-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 887577 FN 07/36 FIXED 6                           | CUSIP: 31410FCN3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       13512 | PA      | $13999.81      | 0.00%             | 2036-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 646088 GN 12/36 FIXED 5                           | CUSIP: 36292DXR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         693 | PA      | $703.82        | 0.00%             | 2036-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 11/44 3                                     | CUSIP: 912810RJ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    56000000 | PA      | $43830937.36   | 0.10%             | 2044-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4217                                                          | FREDDIE MAC FHR 4217 F                                      | CUSIP: 3137B2JP6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      287798 | PA      | $281692.36     | 0.00%             | 2043-06-15      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A6                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2006 A6 2A4L                 | CUSIP: 46628BAX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       12344 | PA      | $9824.08       | 0.00%             | 2036-10-25      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT ILS SOLD USD 20251113                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $3276.51       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB0199 FN 04/51 FIXED 3                           | CUSIP: 3140QKGH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         800 | PA      | $707.30        | 0.00%             | 2051-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HARVEST CLO XXII DAC 22A                                                         | HARVEST CLO HARVT 22A AR 144A                               | CUSIP: ACI211PS9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    10101373 | PA      | $11856558.52   | 0.03%             | 2032-01-15      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 008842 G2 03/26 FLOATING VAR                   | CUSIP: 36202KZF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4340 | PA      | $4336.25       | 0.00%             | 2026-03-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 962538 FN 04/38 FIXED 5.5                         | CUSIP: 31414CZB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      100774 | PA      | $104461.14     | 0.00%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| LEIDOS INC                                                                       | LEIDOS INC COMPANY GUAR 02/31 2.3                           | CUSIP: 52532XAH8<br>LEI: 5493006I78VIN6J1BQ95 | Long             | DBT              | CORP              | US        |    13600000 | PA      | $12138698.50   | 0.03%             | 2031-02-15      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8367 FR 10/53 FIXED 5.5                 | CUSIP: 3132DWJL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    29810873 | PA      | $30164303.90   | 0.07%             | 2053-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 462422 GN 12/27 FIXED 7.5                         | CUSIP: 36208VVP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          22 | PA      | $21.96         | 0.00%             | 2027-12-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 831936 FN 11/36 FIXED 6                           | CUSIP: 31407JHM7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       23797 | PA      | $24602.55      | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MORTGAGE PROD 2006-RS2                                         | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2006 RS2 A3A            | CUSIP: 76112B2D1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3412217 | PA      | $3381478.67    | 0.01%             | 2036-03-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC5450 FN 04/46 FIXED 4                           | CUSIP: 3140F1BU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      286168 | PA      | $275761.36     | 0.00%             | 2046-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS5018 FN 05/45 FIXED 4                           | CUSIP: 3138WESG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      196450 | PA      | $189244.29     | 0.00%             | 2045-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 008913 G2 07/26 FLOATING VAR                   | CUSIP: 36202K3W3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1676 | PA      | $1680.65       | 0.00%             | 2026-07-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 914939 FN 04/37 FIXED 6                           | CUSIP: 31411UPY1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        8093 | PA      | $8441.77       | 0.00%             | 2037-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | US 10YR FUT OPTN  NOV25C 113.5 EXP 10/24/2025               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -1340 | NC      | $-287078.92    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 763689 FN 01/34 FIXED 5                           | CUSIP: 31404BNE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        7730 | PA      | $7909.89       | 0.00%             | 2034-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BA4740 FN 12/45 FIXED 4                           | CUSIP: 3140E9HS8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1015 | PA      | $976.76        | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD INR BOUGHT USD 20251006                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $11051.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED AIRLINES 2016-1 CLASS A PASS THROUGH TRUST                                | UNITED AIR 2016 1 A PTT PASS THRU CE 01/30 3.45             | CUSIP: 90931MAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1436598 | PA      | $1380581.00    | 0.00%             | 2030-01-07      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2004-AR10                                           | INDYMAC INDX MORTGAGE LOAN TRU INDX 2004 AR10 2A2A          | CUSIP: 45660N2Y0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         787 | PA      | $740.93        | 0.00%             | 2034-05-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| HYATT HOTELS CORPORATION                                                         | HYATT HOTELS CORP SR UNSECURED 06/29 5.25                   | CUSIP: 448579AR3<br>LEI: T27JQIMTYSH41TCD5186 | Long             | DBT              | CORP              | US        |     7600000 | PA      | $7797599.32    | 0.02%             | 2029-06-30      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC4043 FN 04/46 FIXED 4                           | CUSIP: 3140EYP54<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       23335 | PA      | $22505.64      | 0.00%             | 2046-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                     | UBS GROUP AG SR UNSECURED REGS 09/29 0.65                   | CUSIP: ACI1FB9Q6<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     1200000 | PA      | $1295961.59    | 0.00%             | 2029-09-10      | Fixed         | 0.65%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H19                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 H19 FK              | CUSIP: 38376RGB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1011876 | PA      | $1011664.51    | 0.00%             | 2065-08-20      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AT8043 FN 07/43 FIXED 3                           | CUSIP: 3138WV5D9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      111288 | PA      | $105617.15     | 0.00%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS5838 FN 09/45 FIXED 4                           | CUSIP: 3138WFPY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2699591 | PA      | $2599178.60    | 0.01%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR4                                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR4 2A1A           | CUSIP: 93934FPT3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      115894 | PA      | $95459.21      | 0.00%             | 2046-05-25      | Floating      | 3.73%                 | No            |                  2 | On Loan: No      |
| GUARDIAN LIFE GLOBAL FUNDING                                                     | GUARDIAN LIFE GLOB FUND SECURED 144A 11/27 1.25             | CUSIP: 40139LBA0<br>LEI: 635400NHILJ5JEKILC36 | Long             | DBT              | CORP              | US        |    10700000 | PA      | $10106936.77   | 0.02%             | 2027-11-19      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM2164 FN 06/38 FIXED VAR                         | CUSIP: 3140X5MN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       25957 | PA      | $25109.53      | 0.00%             | 2038-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MARRIOTT INTERNATIONAL INC                                                       | MARRIOTT INTERNATIONAL SR UNSECURED 09/26 5.45              | CUSIP: 571903BM4<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |    16500000 | PA      | $16710499.91   | 0.04%             | 2026-09-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3029 FN 06/32 FIXED 3                           | CUSIP: 31418CLK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      286690 | PA      | $279710.85     | 0.00%             | 2032-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 918622 FN 06/37 FIXED 6                           | CUSIP: 31411YSK0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       37449 | PA      | $39364.32      | 0.00%             | 2037-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3772 FN 09/39 FIXED 3.5                         | CUSIP: 31418DFN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      226606 | PA      | $217665.52     | 0.00%             | 2039-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT JPY SOLD USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $82638.55      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC0598 FN 01/46 FIXED 4                           | CUSIP: 3140EUUY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      102179 | PA      | $98293.48      | 0.00%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H04                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H04 FK              | CUSIP: 38376RQN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     7237404 | PA      | $7274103.59    | 0.02%             | 2066-02-20      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20251215                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $68716.34      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2002-77                                                        | FANNIE MAE FNR 2002 77 F                                    | CUSIP: 31392F6D4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      227469 | PA      | $228006.29     | 0.00%             | 2032-12-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8246 FR 09/52 FIXED 5                   | CUSIP: 3132DWET6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      374840 | PA      | $373775.75     | 0.00%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                     | UBS GROUP AG SR UNSECURED REGS 06/28 VAR                    | CUSIP: ACI1MT9Q9<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     1100000 | PA      | $1426136.95    | 0.00%             | 2028-06-09      | Floating      | 2.25%                 | No            |                  2 | On Loan: No      |
| PIMCO FUNDS                                                                      | PIMCO SENIOR LOAN ACTIVE EXCHA PIMCO SENIOR LOAN ACTIVE ETF | CUSIP: 72201R627<br>LEI: 549300YFT046RNVJXR73 | Long             | EC               | RF                | US        |      586600 | NS      | $29957662.00   | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 833084 FN 09/35 FLOATING VAR                      | CUSIP: 31407KRD3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      283207 | PA      | $286549.31     | 0.00%             | 2035-09-01      | Floating      | 6.05%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AQ8104 FN 05/43 FIXED 3                           | CUSIP: 3138MQAE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       50180 | PA      | $46399.89      | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SEC 2005-F                                                  | BANC OF AMERICA MORTGAGE SECUR BOAMS 2005 F 3A1             | CUSIP: 05949CCD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      593768 | PA      | $500999.01     | 0.00%             | 2035-07-25      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2018-C47                                   | WELLS FARGO COMMERCIAL MORTGAG WFCM 2018 C47 A4             | CUSIP: 95002DBG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4000000 | PA      | $4018255.60    | 0.01%             | 2061-09-15      | Fixed         | 4.44%                 | No            |                  2 | On Loan: No      |
| CREDIT BASED ASSET SRVC & SEC 2007-CB5                                           | CREDIT BASED ASSET SERVICING A CBASS 2007 CB5 A3            | CUSIP: 12464YAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      612140 | PA      | $365162.48     | 0.00%             | 2037-04-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2007-WMC1                                              | MASTR ASSET BACKED SECURITIES MABS 2007 WMC1 A2             | CUSIP: 55275TAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       81060 | PA      | $22832.27      | 0.00%             | 2037-01-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 914700 FN 04/37 FIXED 6                           | CUSIP: 31411UGH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       22180 | PA      | $23114.28      | 0.00%             | 2037-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 735580 FN 06/35 FIXED VAR                         | CUSIP: 31402RFV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       41717 | PA      | $42345.90      | 0.00%             | 2035-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 1997-89                                                               | FANNIE MAE FNR 1997 89 ZA                                   | CUSIP: 31359RPS5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       51082 | PA      | $51842.22      | 0.00%             | 2027-12-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 1.00000 05/18/22-5Y LCH                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $-3538870.11   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3532                                                                 | FREDDIE MAC FHR 3532 SN                                     | CUSIP: 31398CSA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      105870 | PA      | $10652.50      | 0.00%             | 2039-05-15      | Floating      | 1.81%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AY4680 FN 03/46 FIXED 4                           | CUSIP: 3138YJFW1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      175248 | PA      | $168602.59     | 0.00%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 995002 FN 07/37 FIXED VAR                         | CUSIP: 31416BKP2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4029 | PA      | $4080.77       | 0.00%             | 2037-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3058 FN 07/47 FIXED 4                           | CUSIP: 31418CMG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       50354 | PA      | $48003.03      | 0.00%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| VISIO TRUST 2023-2                                                               | VISIO TRUST VISIO 2023 2 A1 144A                            | CUSIP: 92839CAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4092501 | PA      | $4129827.90    | 0.01%             | 2058-10-25      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| UBS COMMERCIAL MORTGAGE TRUST 2018-C13                                           | UBS COMMERCIAL MORTGAGE TRUST UBSCM 2018 C13 A4             | CUSIP: 90353KAY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    17486088 | PA      | $17324207.04   | 0.04%             | 2051-10-15      | Fixed         | 4.33%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ6597 FN 01/48 FIXED 3                           | CUSIP: 3140H8KK0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       19929 | PA      | $17800.22      | 0.00%             | 2048-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2014-29                                                        | FANNIE MAE FNR 2014 29 BS                                   | CUSIP: 3136AJX27<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3642492 | PA      | $245876.56     | 0.00%             | 2044-05-25      | Floating      | 1.74%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 775075 FN 05/34 FIXED 6                           | CUSIP: 31404QCL1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5528 | PA      | $5797.53       | 0.00%             | 2034-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                             | JPMORGAN CHASE + CO SR UNSECURED 10/28 VAR                  | CUSIP: 46647PEN2<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    11100000 | PA      | $11145569.16   | 0.02%             | 2028-10-22      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 705357 GN 12/38 FIXED 6                           | CUSIP: 36296YTN2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       19060 | PA      | $20027.00      | 0.00%             | 2038-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-14                                                               | FANNIE MAE FNR 2007 14 F                                    | CUSIP: 31396PZS3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2608 | PA      | $2574.17       | 0.00%             | 2037-03-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS5781 FN 09/45 FIXED 4                           | CUSIP: 3138WFM78<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4171 | PA      | $4014.59       | 0.00%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MTGE SEC CORP 2002-10                                            | CREDIT SUISSE FIRST BOSTON MOR CSFB 2002 10 2A1             | CUSIP: 22540VQ47<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       27634 | PA      | $29249.38      | 0.00%             | 2032-05-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DB5275 FN 06/54 FIXED 5.5                         | CUSIP: 3140AE2H1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     9391991 | PA      | $9497878.03    | 0.02%             | 2054-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BA4508 FN 11/45 FIXED 4                           | CUSIP: 3140E9AJ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1474887 | PA      | $1419876.87    | 0.00%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA5138 G2 04/48 FIXED 4.5                      | CUSIP: 36179TV77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3003859 | PA      | $2971527.50    | 0.01%             | 2048-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD4738 FN 08/46 FIXED 4                           | CUSIP: 3140FCHQ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      964243 | PA      | $924241.49     | 0.00%             | 2046-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2016-4                                                  | JP MORGAN MORTGAGE TRUST JPMMT 2016 4 A3 144A               | CUSIP: 46647JAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      690931 | PA      | $634072.76     | 0.00%             | 2046-10-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BN8902 FN 05/49 FIXED 3.5                         | CUSIP: 3140JR3L3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1045596 | PA      | $968242.22     | 0.00%             | 2049-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALT MTG SEC 2005-AA6                                               | FIRST HORIZON ALTERNATIVE MORT FHAMS 2005 AA6 3A1           | CUSIP: 32051GQA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      556626 | PA      | $460071.73     | 0.00%             | 2035-08-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB3674 FN 10/26 FIXED 3.5                         | CUSIP: 31417ACL1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        9592 | PA      | $9532.53       | 0.00%             | 2026-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2019-C49                                   | WELLS FARGO COMMERCIAL MORTGAG WFCM 2019 C49 A5             | CUSIP: 95001WBB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    33711516 | PA      | $33352805.24   | 0.07%             | 2052-03-15      | Fixed         | 4.02%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ZAR BOUGHT USD 20251120                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $-150344.00    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 750546 FN 02/34 FIXED 5.5                         | CUSIP: 31403JZK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5324 | PA      | $5379.85       | 0.00%             | 2034-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES 2017-1 CLASS AA PASS THROUGH TRUST                             | AMER AIRLINE 17 1 AA PTT PASS THRU CE 02/29 3.65            | CUSIP: 023761AA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     4329724 | PA      | $4213109.57    | 0.01%             | 2029-02-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 962875 FN 05/38 FIXED 5.5                         | CUSIP: 31414DFQ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        8519 | PA      | $8826.89       | 0.00%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-OC10                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OC10 2A2A         | CUSIP: 23245FAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2581334 | PA      | $3492322.76    | 0.01%             | 2036-11-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 737999 FN 09/33 FIXED 5.5                         | CUSIP: 31402T3G8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2697 | PA      | $2721.23       | 0.00%             | 2033-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS8423 FR 03/26 FIXED 3.5                 | CUSIP: 3132A9LC9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3367 | PA      | $3354.85       | 0.00%             | 2026-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | AT&T INC SNR S* ICE                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $45130.02      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL C00895 FG 12/29 FIXED 7                   | CUSIP: 31292G7G5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         236 | PA      | $246.90        | 0.00%             | 2029-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| MASSACHUSETTS EDUC FINANCING AUTH 2008-1                                         | MASSACHUSETTS EDUCATIONAL FINA MEFA 2008 1 A1               | CUSIP: 57563NAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      276632 | PA      | $277370.56     | 0.00%             | 2038-04-25      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| ALIGNED DATA CENTERS INTERNATIONAL LP                                            | ALIGNED DATA CENTERS INTER LP 2024 TERM LOAN                | CUSIP: BA000JN59<br>LEI: 2549007PAQ06QVDCLR50 | Long             | LON              | CORP              | US        |    92000000 | PA      | $92722428.16   | 0.20%             | 2029-12-18      | Floating      | 7.54%                 | No            |                  3 | On Loan: No      |
| FREDDIE MAC 2684                                                                 | FREDDIE MAC FHR 2684 ZN                                     | CUSIP: 31394L5S7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       47732 | PA      | $46567.00      | 0.00%             | 2033-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-S2                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2006 S2 1A3                  | CUSIP: 46628YAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      351682 | PA      | $145868.73     | 0.00%             | 2036-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| OMFIT-2021-1A                                                                    | ONEMAIN FINANCIAL ISSUANCE TRU OMFIT 2021 1A A2 144A        | CUSIP: 68269MAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2249000 | PA      | $2254431.78    | 0.00%             | 2036-06-16      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-9                                                    | COUNTRYWIDE HOME LOANS CWHL 2006 9 A12                      | CUSIP: 126694X52<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1194941 | PA      | $533772.70     | 0.00%             | 2036-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 933385 FN 02/38 FIXED 5                           | CUSIP: 31412SNA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1447 | PA      | $1473.87       | 0.00%             | 2038-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR3                                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR3 A1             | CUSIP: 939336Z30<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      368644 | PA      | $367272.76     | 0.00%             | 2035-03-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 976967 FN 02/38 FIXED 6                           | CUSIP: 31414UZ84<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1762752 | PA      | $1858524.56    | 0.00%             | 2038-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 250641 FN 08/26 FIXED 7.5                         | CUSIP: 31371FLW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          17 | PA      | $16.99         | 0.00%             | 2026-08-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL BQ1157 GN 11/49 FIXED 4                           | CUSIP: 3617LKJA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1720223 | PA      | $1630810.70    | 0.00%             | 2049-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 2.30000 09/25/24-5Y LCH                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $30027.88      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| VOYA CLO LTD 2013-1A                                                             | VOYA CLO LTD INGIM 2013 1A A1AR 144A                        | CUSIP: 92917CAE2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      178924 | PA      | $179022.69     | 0.00%             | 2030-10-15      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                                    | FORD MOTOR CREDIT CO LLC SR UNSECURED 08/26 4.542           | CUSIP: 345397ZW6<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     9200000 | PA      | $9194397.29    | 0.02%             | 2026-08-01      | Fixed         | 4.54%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TREASURY BILL 10/25 0.00000                                 | CUSIP: 912797RD1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1267000 | PA      | $1264156.99    | 0.00%             | 2025-10-21      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8289 FR 01/53 FIXED 5.5                 | CUSIP: 3132DWF65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    94240984 | PA      | $95512307.33   | 0.21%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                                 | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 12/47 3.95              | CUSIP: 694308HY6<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    24400000 | PA      | $18260081.60   | 0.04%             | 2047-12-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| TEXAS NATURAL GAS SECURITIZATION FINANCE CORP                                    | TEXAS NATURAL GAS SECURITIZTN TNGUTL 04/41 FIXED 5.169      | CUSIP: 88258MAB1<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    34500000 | PA      | $35188409.55   | 0.08%             | 2041-04-01      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| SMALL BUSINESS ADMIN PART CERTS 2008-20I                                         | SMALL BUSINESS ADMINISTRATION SBAP 2008 20I 1               | CUSIP: 83162CSA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       33501 | PA      | $34022.82      | 0.00%             | 2028-09-01      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8316 FR 04/53 FIXED 5.5                 | CUSIP: 3132DWGZ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    26538667 | PA      | $26877885.84   | 0.06%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-13T1                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 13T1 A5           | CUSIP: 12668BZF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      839994 | PA      | $384628.29     | 0.00%             | 2036-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II TBA 30 YR 5 JUMBOS                                  | CUSIP: 21H0506B3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   555491000 | PA      | $551894434.64  | 1.22%             | 2054-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 885666 FN 10/36 FIXED 6                           | CUSIP: 31410C6B3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       37253 | PA      | $38822.12      | 0.00%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PIEDMONT OPERATING PARTNERSHIP LP                                                | PIEDMONT OPERATING PARTN PIEDMONT OPERATING PARTN           | CUSIP: 720198AJ9<br>LEI: 549300WKGDPAS39FBD10 | Long             | DBT              | CORP              | US        |     4800000 | PA      | $5081118.14    | 0.01%             | 2029-07-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MTGE LN TRUST 2007-11AR                                           | MORGAN STANLEY MORTGAGE LOAN T MSM 2007 11AR 2A3            | CUSIP: 61754VAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2338311 | PA      | $1292745.45    | 0.00%             | 2037-06-25      | Floating      | 2.86%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS MTGE FUND TR 2006-AR5                                               | BEAR STEARNS MORTGAGE FUNDING BSMF 2006 AR5 1A1             | CUSIP: 07401NAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    10307859 | PA      | $9322884.11    | 0.02%             | 2046-12-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| BARCLAYS MORTGAGE LOAN TRUST 2024-NQM2                                           | BARCLAYS MORTGAGE LOAN TRUST BARC 2024 NQM2 PT1 144A        | CUSIP: 06745JAM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    35067250 | PA      | $36184356.12   | 0.08%             | 2064-03-25      | Variable      | 7.59%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ILS BOUGHT USD 20251113                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $-20785.19     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVST LN TR 2004-8                                              | STRUCTURED ASSET INVESTMENT LO SAIL 2004 8 M2               | CUSIP: 86358EMA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       45731 | PA      | $39619.68      | 0.00%             | 2034-09-25      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AR8240 FN 04/43 FIXED 3                           | CUSIP: 3138W6EN2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2675219 | PA      | $2460527.06    | 0.01%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                           | CS AT1 CLAIMS US22546DAB29 CREDIT SUISSE GROUP AG           | CUSIP: 952NPKII9<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | US        |    11800000 | PA      | $1534000.00    | 0.00%             | 2060-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AT3164 FN 04/43 FIXED 3                           | CUSIP: 3138WQQS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        8136 | PA      | $7489.07       | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QA9929 FR 06/50 FIXED 3.5                 | CUSIP: 3133A5A60<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      650096 | PA      | $600637.91     | 0.00%             | 2050-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZK6024 FR 09/28 FIXED 3.5                 | CUSIP: 3131X9VR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      100353 | PA      | $99379.61      | 0.00%             | 2028-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE TRUST 2005-A7                                                     | JP MORGAN MORTGAGE TRUST JPMMT 2005 A7 2A3                  | CUSIP: 466247WQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      462703 | PA      | $435554.27     | 0.00%             | 2035-10-25      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 658732 FN 06/36 FIXED 6                           | CUSIP: 31390WY55<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3909 | PA      | $4030.21       | 0.00%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5165 FN 10/53 FIXED 5.5                         | CUSIP: 31418EW30<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    69937824 | PA      | $70766992.97   | 0.16%             | 2053-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-3187                                                                 | FREDDIE MAC FHR 3187 JZ                                     | CUSIP: 31396UT42<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      160233 | PA      | $165109.24     | 0.00%             | 2036-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR10                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR10 1A4           | CUSIP: 92922FW53<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      141035 | PA      | $134528.82     | 0.00%             | 2035-09-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC TRUST 2007-A2                                              | RESIDENTIAL ASSET SECURITIZATI RAST 2007 A2 1A3             | CUSIP: 761120AC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      195734 | PA      | $97639.85      | 0.00%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA GAS COMPANY                                                  | SOUTHERN CALIF GAS CO SR UNSECURED 04/27 2.95               | CUSIP: 842434CW0<br>LEI: XY0N0J73VHV5F4CUJV89 | Long             | DBT              | CORP              | US        |     6830000 | PA      | $6730489.97    | 0.01%             | 2027-04-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| HUDSON PACIFIC PROPERTIES LP                                                     | HUDSON PACIFIC PROPERTIE COMPANY GUAR 04/29 4.65            | CUSIP: 44409MAB2<br>LEI: 5493007NTUGLGZ8T3526 | Long             | DBT              | CORP              | US        |     7300000 | PA      | $6799871.16    | 0.01%             | 2029-04-01      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QH1062 FR 09/53 FIXED 6                   | CUSIP: 3133CDFB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      203112 | PA      | $208625.00     | 0.00%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 2.35000 04/29/25-5Y LCH                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $-11554.77     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT EUR SOLD USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-2805.44      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RA8521 FR 02/53 FIXED 5                   | CUSIP: 3133KQPE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      266592 | PA      | $265697.70     | 0.00%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY4714 FN 06/53 FIXED 5                           | CUSIP: 3140NMGY7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      963575 | PA      | $958802.50     | 0.00%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 676460 GN 11/37 FIXED 5                           | CUSIP: 36295PQM7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2731 | PA      | $2798.38       | 0.00%             | 2037-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 003028 G2 01/31 FIXED 8                        | CUSIP: 36202DLH2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          27 | PA      | $27.77         | 0.00%             | 2031-01-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20251205                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $-54568.66     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.76473 12/17/24-30Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $2026605.18    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT PLN SOLD USD 20251015                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-1266.19      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 756143 FN 07/30 FIXED 8                           | CUSIP: 31403SBL9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        7840 | PA      | $7997.54       | 0.00%             | 2030-07-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| MEXICO GOVT                                                                      | UNITED MEXICAN STATES SR UNSECURED 04/51 5                  | CUSIP: 91087BAL4<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    26100000 | PA      | $21480300.00   | 0.05%             | 2051-04-27      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080021 G2 12/26 FLOATING VAR                   | CUSIP: 36225CAX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        8566 | PA      | $8563.26       | 0.00%             | 2026-12-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 257238 FN 06/28 FIXED 5                           | CUSIP: 31371NV77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       10731 | PA      | $10806.82      | 0.00%             | 2028-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-J                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2006 J 4A1              | CUSIP: 05951EAM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       21125 | PA      | $18330.01      | 0.00%             | 2047-01-20      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| EXPEDIA GROUP INC                                                                | EXPEDIA GROUP INC COMPANY GUAR 08/27 4.625                  | CUSIP: 30212PBK0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1000000 | PA      | $1007107.31    | 0.00%             | 2027-08-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| SUN COMMUNITIES OPERATING LIMITED PARTNERSHIP                                    | SUN COMMUNITIES OPER LP COMPANY GUAR 04/32 4.2              | CUSIP: 866677AH0<br>LEI: 549300PUNBPJCGT6X741 | Long             | DBT              | CORP              | US        |     6300000 | PA      | $6107959.94    | 0.01%             | 2032-04-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-13                                                   | COUNTRYWIDE HOME LOANS CWHL 2006 13 1A24                    | CUSIP: 12543TAZ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      727699 | PA      | $317367.52     | 0.00%             | 2036-09-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AE0603 FN 05/40 FIXED VAR                         | CUSIP: 31419AU54<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       70030 | PA      | $73408.63      | 0.00%             | 2040-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AE0154 FN 07/40 FIXED VAR                         | CUSIP: 31419AE45<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       66010 | PA      | $68398.72      | 0.00%             | 2040-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-1T1                                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 1T1 1A1           | CUSIP: 23246KAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1131115 | PA      | $374919.07     | 0.00%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 837321 FN 09/35 FLOATING VAR                      | CUSIP: 31407QG67<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       38729 | PA      | $39702.21      | 0.00%             | 2035-09-01      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ABX.HE.AAA.06-2 SP BRC                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $-357175.26    | -0.00%            |  |  |  | No            |                  3 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2005-3                                             | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2005 3 3A1              | CUSIP: 007036HW9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        4411 | PA      | $4401.07       | 0.00%             | 2035-07-25      | Floating      | 9.12%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 735503 FN 04/35 FIXED VAR                         | CUSIP: 31402RDG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         223 | PA      | $233.18        | 0.00%             | 2035-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL9419 FN 07/31 FIXED VAR                         | CUSIP: 3138ERPD6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      359606 | PA      | $356501.45     | 0.00%             | 2031-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 890870 FN 08/32 FIXED VAR                         | CUSIP: 31410LW73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      121887 | PA      | $120772.07     | 0.00%             | 2032-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOUTH AFRICA EM SP MYC                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $42946.05      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2003-R4                                                   | COUNTRYWIDE HOME LOANS CWHL 2003 R4 2A 144A                 | CUSIP: 12669FFS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      169694 | PA      | $153546.04     | 0.00%             | 2034-01-25      | Variable      | 4.76%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TSY INFL IX N/B 02/51 0.125                                 | CUSIP: 912810SV1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   682449722 | PA      | $378987950.49  | 0.84%             | 2051-02-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2003-HE1                                                     | ACE SECURITIES CORP. ACE 2003 HE1 M1                        | CUSIP: 004421DA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      848862 | PA      | $864053.47     | 0.00%             | 2033-11-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AH1055 FN 12/25 FIXED 3.5                         | CUSIP: 3138A2E54<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         530 | PA      | $528.43        | 0.00%             | 2025-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY1266 FN 05/53 FIXED 5.5                         | CUSIP: 3140NHMQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3596004 | PA      | $3641031.04    | 0.01%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALT MTGE SEC 2005-AA1                                              | FIRST HORIZON ALTERNATIVE MORT FHAMS 2005 AA1 1A1           | CUSIP: 32051GGD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       16855 | PA      | $9509.60       | 0.00%             | 2035-03-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | VERIZON COMMUNICATIONS INC SNR S* ICE                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $677595.64     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.68691 03/01/24-9Y* LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-2870796.38   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS4718 FR 05/47 FIXED 4                   | CUSIP: 3132A5G33<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     6393724 | PA      | $6150560.32    | 0.01%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3866 FN 12/34 FIXED 3.5                         | CUSIP: 31418DJL7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       23205 | PA      | $22653.24      | 0.00%             | 2034-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 445165 GN 08/27 FIXED 7.5                         | CUSIP: 36207XQS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2540 | PA      | $2554.76       | 0.00%             | 2027-08-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                                          | BPCE SA 144A 01/31 VAR                                      | CUSIP: 05571AAZ8<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    13300000 | PA      | $13894377.40   | 0.03%             | 2031-01-14      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 254198 FN 02/32 FIXED 6                           | CUSIP: 31371KKK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         530 | PA      | $546.20        | 0.00%             | 2032-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $39037.27      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MANHATTAN WEST 2020-1MW                                                          | MANHATTAN WEST OMW 2020 1MW A 144A                          | CUSIP: 563136AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    47900000 | PA      | $45675725.18   | 0.10%             | 2039-09-10      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| HEALTHCARE REALTY HOLDINGS LP                                                    | HEALTHCARE RLTY HLDGS LP COMPANY GUAR 02/30 3.1             | CUSIP: 42225UAG9<br>LEI: 549300IYGAS4GE6VDL07 | Long             | DBT              | CORP              | US        |     2800000 | PA      | $2637825.96    | 0.01%             | 2030-02-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2024-LB2                              | BANC OF AMERICA MERRILL LYNCH BAMLL 2024 LB2 A 144A         | CUSIP: 054987AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    87656229 | PA      | $86848538.45   | 0.19%             | 2046-11-15      | Variable      | 4.40%                 | No            |                  2 | On Loan: No      |
| SERBIA GOVT                                                                      | REPUBLIC OF SERBIA SR UNSECURED 144A 05/27 3.125            | CUSIP: ACI1MBV00<br>LEI: 254900W94OCY91V32O78 | Long             | DBT              | NUSS              | RS        |    19600000 | PA      | $23017145.84   | 0.05%             | 2027-05-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL AL4894 GN 02/45 FIXED 3.5                         | CUSIP: 36184BNK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      295053 | PA      | $275975.56     | 0.00%             | 2045-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT JPY SOLD USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $21934.61      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AC6211 FN 11/39 FIXED 5.5                         | CUSIP: 31417S3V0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2277 | PA      | $2353.24       | 0.00%             | 2039-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL4190 FN 04/26 FIXED VAR                         | CUSIP: 3138ELUQ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5808 | PA      | $5785.87       | 0.00%             | 2026-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD KWD BOUGHT USD 20290508                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $438553.32     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2005-FRE1                                             | JP MORGAN MORTGAGE ACQUISITION JPMAC 2005 FRE1 M1           | CUSIP: 46626LCC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      697885 | PA      | $689298.08     | 0.00%             | 2035-10-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT PLN SOLD USD 20251022                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-27996.58     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 904128 FN 11/36 FIXED 6                           | CUSIP: 31411CPM7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        7201 | PA      | $7423.86       | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZA2657 FR 09/26 FIXED 3                   | CUSIP: 31329K5S9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       27498 | PA      | $27306.54      | 0.00%             | 2026-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2395                                                                 | FREDDIE MAC FHR 2395 FT                                     | CUSIP: 31339LMA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         456 | PA      | $455.60        | 0.00%             | 2031-12-15      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZK2785 FR 12/25 FIXED 3.5                 | CUSIP: 3131X6CW8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         695 | PA      | $692.76        | 0.00%             | 2025-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2007-3                                             | BEAR STEARNS ADJUSTABLE RATE M BSARM 2007 3 1A1             | CUSIP: 073881AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4579839 | PA      | $4124890.56    | 0.01%             | 2047-05-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD GBP BOUGHT USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $405212.29     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20251217                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $88260.79      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL9288 FN 03/29 FIXED VAR                         | CUSIP: 3138ERKA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       27819 | PA      | $27576.07      | 0.00%             | 2029-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2007-OA4                                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 OA4 1A             | CUSIP: 93364CAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5683611 | PA      | $5038974.40    | 0.01%             | 2047-05-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AU3245 FN 08/43 FIXED 3                           | CUSIP: 3138X2TB0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      250191 | PA      | $229981.27     | 0.00%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CHF SOLD USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |           1 | NC      | $-62297.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                                         | LLOYDS BANKING GROUP PLC SR UNSECURED 01/28 VAR             | CUSIP: 53944YAZ6<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    17700000 | PA      | $17968090.40   | 0.04%             | 2028-01-05      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| COSTAR GROUP INC                                                                 | COSTAR GROUP INC COMPANY GUAR 144A 07/30 2.8                | CUSIP: 22160NAA7<br>LEI: 984500Q1D53D08E2E698 | Long             | DBT              | CORP              | US        |     9600000 | PA      | $8792169.22    | 0.02%             | 2030-07-15      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AR9856 FN 04/43 FIXED 3                           | CUSIP: 3138W75S9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       47400 | PA      | $43620.88      | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BEIGNET INVESTOR LLC                                                             | PROJECT BEIGNET SR SEC 144A PROJECT BEIGNET SR SEC 144A     | CUSIP: 990AAXQG4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   527700000 | PA      | $527700000.00  | 1.16%             | 2049-06-01      | Fixed         | 6.85%                 | No            |                  3 | On Loan: No      |
| UNITED AIRLINES 2019-2 CLASS AA PASS THROUGH TRUST                               | UNITED AIR 2019 2 AA PTT PASS THRU CE 11/33 2.7             | CUSIP: 90932JAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     7644585 | PA      | $7026587.05    | 0.02%             | 2033-11-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| PROVINCE OF BRITISH COLUMBIA CANADA                                              | BRITISH COLUMBIA PROV OF UNSECURED 06/34 4.15               | CUSIP: 110709AK8<br>LEI: 54930058TO7MEKUHWL16 | Long             | DBT              | NUSS              | CA        |    31300000 | PA      | $23482405.44   | 0.05%             | 2034-06-18      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZA2501 FR 04/38 FIXED 3                   | CUSIP: 31329KX66<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       22330 | PA      | $21156.44      | 0.00%             | 2038-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G30357 FG 09/27 FIXED 6                   | CUSIP: 3128CUME3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      169975 | PA      | $173784.26     | 0.00%             | 2027-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 986861 FN 08/38 FIXED 6                           | CUSIP: 31415RJE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       25639 | PA      | $26950.95      | 0.00%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SUN COMMUNITIES OPERATING LIMITED PARTNERSHIP                                    | SUN COMMUNITIES OPER LP COMPANY GUAR 11/28 2.3              | CUSIP: 866677AF4<br>LEI: 549300PUNBPJCGT6X741 | Long             | DBT              | CORP              | US        |     4900000 | PA      | $4634467.87    | 0.01%             | 2028-11-01      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2007-4                                                    | GSAA HOME EQUITY TRUST GSAA 2007 4 A3A                      | CUSIP: 3622EBAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1691808 | PA      | $667357.33     | 0.00%             | 2037-03-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| STORE CAPITAL LLC                                                                | STORE CAPITAL CORP SR UNSECURED 12/31 2.7                   | CUSIP: 862121AD2<br>LEI: 254900Z9PIEFQ6AYXK50 | Long             | DBT              | CORP              | US        |      600000 | PA      | $526533.69     | 0.00%             | 2031-12-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 972136 FH 01/34 FLOATING VAR              | CUSIP: 31336CLR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      187249 | PA      | $191884.54     | 0.00%             | 2034-01-01      | Floating      | 6.43%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 783338 FN 06/36 FIXED 6                           | CUSIP: 31405AHP1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       19147 | PA      | $19850.10      | 0.00%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20251015                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-47695.62     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080356 G2 12/29 FLOATING VAR                   | CUSIP: 36225CME3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3278 | PA      | $3294.35       | 0.00%             | 2029-12-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                                                          | HYUNDAI CAPITAL AMERICA HYUNDAI CAPITAL AMERICA             | CUSIP: 44891ACQ8<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    25000000 | PA      | $25037257.50   | 0.06%             | 2025-11-03      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL8349 FN 04/46 FIXED VAR                         | CUSIP: 3138ETH33<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      262569 | PA      | $252612.47     | 0.00%             | 2046-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| RBSSP RESECURITIZATION TRUST 2011-4                                              | RBSSP RESECURITIZATION TRUST RBSSP 2011 4 2A1 144A          | CUSIP: 74930PAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1007025 | PA      | $940525.21     | 0.00%             | 2037-02-27      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II TBA 30 YR 2.5 JUMBOS                                | CUSIP: 21H0226B2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   397622000 | PA      | $342403704.02  | 0.75%             | 2055-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| EVERGLADES RE II LTD                                                             | EVERGLADES RE II LTD UNSECURED 144A 05/31 VAR               | CUSIP: 30014LAP9<br>LEI: 5493000EE11S6ONK0372 | Long             | DBT              | CORP              | BM        |     1650000 | PA      | $1737697.50    | 0.00%             | 2031-05-13      | Floating      | 16.71%                | No            |                  2 | On Loan: No      |
| MNSN HOLDINGS INC                                                                | MNSN HOLDINGS INC COMMON STOCK                              | CUSIP: 55339C109<br>LEI: N/A                  | Long             | EC               | CORP              | US        |        7633 | NS      | $457980.00     | 0.00%             |  |  |  | Yes           |                  1 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-7                                                    | COUNTRYWIDE HOME LOANS CWHL 2005 7 1A1                      | CUSIP: 12669GNL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      131530 | PA      | $123673.20     | 0.00%             | 2035-03-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST SERIES 2025-CES3                                        | JP MORGAN MORTGAGE TRUST JPMMT 2025 CES3 PT 144A            | CUSIP: 46659XAM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    28415923 | PA      | $30908857.52   | 0.07%             | 2055-10-25      | Fixed         | 9.04%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH6668 FN 08/47 FIXED 4                           | CUSIP: 3140GVMS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      113939 | PA      | $109575.51     | 0.00%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AE7919 FN 11/25 FIXED 3.5                         | CUSIP: 31419JYR3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         147 | PA      | $146.54        | 0.00%             | 2025-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | VERIZON COMMUNICATIONS INC SNR S* ICE                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $19335.96      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2024-INV3                                          | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2024 INV3 PT 144A       | CUSIP: 17332ACD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    22340794 | PA      | $23476121.88   | 0.05%             | 2054-10-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO MTGE BK SEC TR 2006-AR1                                              | WELLS FARGO MORTGAGE BACKED SE WFMBS 2006 AR1 2A5           | CUSIP: 94983JAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       20328 | PA      | $19985.22      | 0.00%             | 2036-03-25      | Floating      | 6.33%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL0586 FN 07/26 FIXED VAR                         | CUSIP: 3138EGUL6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         532 | PA      | $532.68        | 0.00%             | 2026-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H14                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 H14 FA              | CUSIP: 38376RCB0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2071697 | PA      | $2070775.80    | 0.00%             | 2065-06-20      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 894843 FN 09/36 FIXED 6                           | CUSIP: 31410REQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       29409 | PA      | $30269.23      | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AH2718 FN 01/26 FIXED 3.5                         | CUSIP: 3138A4AU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1332 | PA      | $1327.00       | 0.00%             | 2026-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2017-16                                                        | FANNIE MAE FNR 2017 16 FM                                   | CUSIP: 3136AVB65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     7011356 | PA      | $6852368.15    | 0.02%             | 2047-03-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| SMALL BUSINESS ADMIN PART CERTS 2008-20G                                         | SMALL BUSINESS ADMINISTRATION SBAP 2008 20G 1               | CUSIP: 83162CRX3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       14105 | PA      | $14344.45      | 0.00%             | 2028-07-01      | Fixed         | 5.87%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB5769 FN 02/53 FIXED 5                           | CUSIP: 3140QRMT7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      231732 | PA      | $231050.55     | 0.00%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2018-RPL4                                            | LEGACY MORTGAGE ASSET TRUST LMAT 2018 RPL4 SA 144A          | CUSIP: 52472GAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       23138 | PA      | $22853.85      | 0.00%             | 2058-01-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QG1836 FR 04/53 FIXED 5.5                 | CUSIP: 3133C2BD9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       58174 | PA      | $58822.45      | 0.00%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WASHING MUTUAL MTGE P/T 2006-5                                                   | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 5 3A5             | CUSIP: 93935BAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1876688 | PA      | $395459.69     | 0.00%             | 2036-07-25      | Variable      | 6.95%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-6                                            | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 6 2A4             | CUSIP: 68403KAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2231454 | PA      | $1459108.35    | 0.00%             | 2037-07-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB3363 FN 04/52 FIXED 3                           | CUSIP: 3140QNWZ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      905540 | PA      | $799575.20     | 0.00%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT KWD SOLD USD 20260610                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $2735.50       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-HYB9                                                 | COUNTRYWIDE HOME LOANS CWHL 2005 HYB9 5A1                   | CUSIP: 126670LE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        7679 | PA      | $7175.03       | 0.00%             | 2036-02-20      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL BB7229 GN 09/47 FIXED 5                           | CUSIP: 3617AYA69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       13911 | PA      | $13931.55      | 0.00%             | 2047-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BK9909 FN 09/48 FIXED 4                           | CUSIP: 3140HQAK1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       36092 | PA      | $34496.83      | 0.00%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 897160 FN 09/36 FIXED 6                           | CUSIP: 31410TWV3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5326 | PA      | $5550.15       | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | MORGAN STANLEY SNR S* ICE                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $269128.36     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 892886 FN 07/36 FIXED 6                           | CUSIP: 31410N6X1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       22978 | PA      | $23773.53      | 0.00%             | 2036-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR2                                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR2 2A1            | CUSIP: 92925CDS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6813292 | PA      | $6071425.97    | 0.01%             | 2036-03-25      | Floating      | 3.97%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2017-RPL2                            | CREDIT SUISSE MORTGAGE TRUST CSMC 2017 RPL2 A2 144A         | CUSIP: 12594YAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   213295008 | PA      | $195834892.03  | 0.43%             | 2056-02-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECURITIES CORP 2004-11                                         | STRUCTURED ASSET SECURITIES CO SASC 2004 11XS 1A5A          | CUSIP: 86359BUE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       35918 | PA      | $35647.11      | 0.00%             | 2034-06-25      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MTGE INVESTORS 2004-A4                                             | MERRILL LYNCH MORTGAGE INVESTO MLMI 2004 A4 A1              | CUSIP: 59020ULQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      127906 | PA      | $121645.61     | 0.00%             | 2034-08-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD JPY BOUGHT USD 20251104                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $-35343.68     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT PLN SOLD USD 20251022                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-11506.32     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BO3067 FN 08/49 FIXED 3.5                         | CUSIP: 3140JXMR6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      522986 | PA      | $483751.35     | 0.00%             | 2049-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS4302 FN 01/45 FIXED 4                           | CUSIP: 3138WDX89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      814982 | PA      | $785340.39     | 0.00%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| THAMES WATER UTILITIES FINANCE PLC                                               | THAMES WATER UTIL FIN SR SECURED REGS 01/33 4.375           | CUSIP: ACI2C9PD3<br>LEI: 213800ESMPQ4RQ7G8351 | Long             | DBT              | CORP              | GB        |     6400000 | PA      | $5298306.17    | 0.01%             | 2033-01-18      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZK2724 FR 11/25 FIXED 3.5                 | CUSIP: 3131X6AZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1234 | PA      | $1230.10       | 0.00%             | 2025-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RB5050 FR 05/40 FIXED 3.5                 | CUSIP: 3133KYTF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2698018 | PA      | $2583252.30    | 0.01%             | 2040-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LOANCORE ISSUER LTD 2021-CRE6                                                    | LOANCORE 2021 CRE6 ISSUER, LTD LNCR 2021 CRE6 A 144A        | CUSIP: 53948HAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    20916643 | PA      | $20941478.54   | 0.05%             | 2038-11-15      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| ALT-2 STRUCTURED TRUST                                                           | CASTLELAKE LP FIRST LIEN TERM LOAN                          | CUSIP: 937CJTII1<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    68172013 | PA      | $65150970.46   | 0.14%             | 2031-05-12      | Fixed         | 2.95%                 | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3588 FN 02/34 FIXED 3.5                         | CUSIP: 31418C7A6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      738496 | PA      | $728184.79     | 0.00%             | 2034-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 906630 FN 11/36 FIXED 6                           | CUSIP: 31411FHF4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        8121 | PA      | $8382.55       | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AU5918 FN 09/43 FIXED 3                           | CUSIP: 3138X5SG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      329549 | PA      | $302724.21     | 0.00%             | 2043-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BT2247 FN 03/52 FIXED 3                           | CUSIP: 3140LQP95<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4024725 | PA      | $3545863.07    | 0.01%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS5836 FN 09/45 FIXED 4                           | CUSIP: 3138WFPW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       37501 | PA      | $36087.01      | 0.00%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 256023 FN 12/35 FIXED 6                           | CUSIP: 31371MLC9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3045 | PA      | $3210.17       | 0.00%             | 2035-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON COMPANY                                               | SO. CALIF EDISON                                            | CUSIP: 8424C0XT2<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     7000000 | PA      | $6976112.50    | 0.02%             | 2025-10-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FIRST INVESTORS AUTO OWNER TRUST 2023-1A                                         | FIRST INVESTORS AUTO OWNER TRU FIAOT 2023 1A A 144A         | CUSIP: 320986AA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2697316 | PA      | $2723005.43    | 0.01%             | 2028-10-16      | Fixed         | 6.44%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3933 FN 02/40 FIXED 2.5                         | CUSIP: 31418DLP5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      227970 | PA      | $208093.89     | 0.00%             | 2040-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CSMC TRUST 2017                                                                  | CREDIT SUISSE MORTGAGE TRUST CSMC 2017 CALI A 144A          | CUSIP: 12652FAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2200000 | PA      | $1761100.00    | 0.00%             | 2032-11-10      | Fixed         | 3.43%                 | No            |                  2 | On Loan: No      |
| ORACLE CORPORATION                                                               | ORACLE CORP SR UNSECURED 09/30 4.45                         | CUSIP: 68389XDH5<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     4000000 | PA      | $3998958.08    | 0.01%             | 2030-09-26      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AU8933 FN 11/28 FIXED 3.5                         | CUSIP: 3138X84T5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       51522 | PA      | $50935.84      | 0.00%             | 2028-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL ALTERNATIVE MORTGAGE PASS-THROUGH CERTIFICATES 2007-4          | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2007 4 1A1             | CUSIP: 93936NAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      454151 | PA      | $444049.49     | 0.00%             | 2037-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2006-3                                            | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2006 3 2A3             | CUSIP: 68389BAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6845746 | PA      | $3366449.09    | 0.01%             | 2037-02-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 880500 FN 07/36 FIXED 6                           | CUSIP: 31409WGH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        8657 | PA      | $8970.08       | 0.00%             | 2036-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MTGE LN TR 2007-7AX                                               | MORGAN STANLEY MORTGAGE LOAN T MSM 2007 7AX 2A1             | CUSIP: 61754HAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4498883 | PA      | $1182138.22    | 0.00%             | 2037-04-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 845420 FN 02/36 FIXED 6                           | CUSIP: 31408AG53<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         763 | PA      | $790.54        | 0.00%             | 2036-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-36                                                               | FANNIE MAE FNR 2007 36 FL                                   | CUSIP: 31396VRS9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      163074 | PA      | $161736.20     | 0.00%             | 2037-04-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD EUR BOUGHT USD 20251205                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $61330.69      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 897472 FN 11/36 FIXED 6                           | CUSIP: 31410UCH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       24262 | PA      | $24780.19      | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD KRW BOUGHT USD 20251022                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $338435.54     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SERBIA GOVT                                                                      | REPUBLIC OF SERBIA SR UNSECURED 144A 09/28 1                | CUSIP: ACI20JHB7<br>LEI: 254900W94OCY91V32O78 | Long             | DBT              | NUSS              | RS        |    16450000 | PA      | $17996557.10   | 0.04%             | 2028-09-23      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2023-D                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2023 D A1A 144A          | CUSIP: 78450PAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    20213577 | PA      | $21370326.79   | 0.05%             | 2053-09-15      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 813629 FN 07/35 FLOATING VAR                      | CUSIP: 31406L4N5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       93324 | PA      | $95889.06      | 0.00%             | 2035-07-01      | Floating      | 6.18%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB7230 FN 10/53 FIXED 5                           | CUSIP: 3140QTA82<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       41588 | PA      | $41394.42      | 0.00%             | 2053-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AU0943 FN 06/43 FIXED 3                           | CUSIP: 3138X0BM9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      128471 | PA      | $118215.67     | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WEIR GROUP INC                                                                   | WEIR GROUP INC COMPANY GUAR 144A 05/30 5.35                 | CUSIP: 94877DAA2<br>LEI: 2138009WEPEV2V98AV65 | Long             | DBT              | CORP              | US        |    18500000 | PA      | $19037097.00   | 0.04%             | 2030-05-06      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| BLUEMOUNTAIN CLO LTD 2018-3A                                                     | BLUEMOUNTAIN CLO LTD BLUEM 2018 3A A1R 144A                 | CUSIP: 09630AAN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    11224709 | PA      | $11244690.86   | 0.02%             | 2030-10-25      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 797544 FN 04/35 FIXED 6                           | CUSIP: 31405SBM5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1244 | PA      | $1275.53       | 0.00%             | 2035-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 620210 FN 12/31 FIXED 6                           | CUSIP: 31389BAK7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         573 | PA      | $588.77        | 0.00%             | 2031-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-16                                                   | COUNTRYWIDE HOME LOANS CWHL 2005 16 A10                     | CUSIP: 12669G3C3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       13895 | PA      | $7965.15       | 0.00%             | 2035-09-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-58                                                               | FANNIE MAE FNR 2007 58 FG                                   | CUSIP: 31396V4B1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       36983 | PA      | $36588.86      | 0.00%             | 2037-06-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE MORTGAGE AND ASSET RECEIVING CORP 2014-RS1                              | DEUTSCHE MORTGAGE AND ASSET RE DMARC 2014 RS1 4A1 144A      | CUSIP: 25160HAM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       32619 | PA      | $32607.55      | 0.00%             | 2036-11-27      | Floating      | 3.83%                 | No            |                  2 | On Loan: No      |
| JETBLUE 2019-1 CLASS AA PASS THROUGH TRUST                                       | JETBLUE 2019 1 CLASS AA PASS THRU CE 11/33 2.75             | CUSIP: 477143AH4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     7413462 | PA      | $6583471.46    | 0.01%             | 2033-11-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                                | REPUBLIC OF SOUTH AFRICA SR UNSECURED 02/35 8.875           | CUSIP: BYY9RYII7<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |  4729500000 | PA      | $269050218.59  | 0.59%             | 2035-02-28      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2004-11                                              | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2004 11 2A2A           | CUSIP: 41161PKA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      600102 | PA      | $483685.17     | 0.00%             | 2035-01-19      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| DUTCH MORTGAGE FINANCE BV 2024-1                                                 | DUTCH MORTGAGE FINANCE DMFI 2024 1A R                       | CUSIP: ACI2Q4L01<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | NL        |      170000 | PA      | $5937007.98    | 0.01%             | 2067-08-22      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 687284 FN 02/33 FIXED 6                           | CUSIP: 31400GRD9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         277 | PA      | $285.99        | 0.00%             | 2033-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL BT9368 GN 04/50 FIXED 4                           | CUSIP: 3617MYMR7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1054443 | PA      | $999636.84     | 0.00%             | 2050-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS7136 FR 02/30 FIXED 3.5                 | CUSIP: 3132A74V0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       20434 | PA      | $20271.11      | 0.00%             | 2030-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H24                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H24 F               | CUSIP: 38376RJ72<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5793023 | PA      | $5823268.35    | 0.01%             | 2066-11-20      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 702902 FN 05/33 FIXED 5                           | CUSIP: 31401A3K1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        8083 | PA      | $8124.01       | 0.00%             | 2033-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G01109 FG 03/30 FIXED 7.5                 | CUSIP: 31283HGS8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          25 | PA      | $25.18         | 0.00%             | 2030-03-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| THORNBURG MORTGAGE SECURITIES TR 2007-5                                          | THORNBURG MORTGAGE SECURITIES TMST 2007 5 1A1               | CUSIP: 88522TAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8851252 | PA      | $5670884.78    | 0.01%             | 2047-09-25      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DA5046 FN 11/53 FIXED 5.5                         | CUSIP: 3140A5TC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      329150 | PA      | $333874.00     | 0.00%             | 2053-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BK6107 FN 06/48 FIXED 3.5                         | CUSIP: 3140HKYD4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       34261 | PA      | $31920.72      | 0.00%             | 2048-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | COLOMBIA LA SP MYC                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $23768.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MTGE INVESTORS 2004-A1                                             | MERRILL LYNCH MORTGAGE INVESTO MLMI 2004 A1 2A2             | CUSIP: 59020UAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        1574 | PA      | $1499.07       | 0.00%             | 2034-02-25      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                     | BROADCOM INC SR UNSECURED 07/27 5.05                        | CUSIP: 11135FBZ3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     2600000 | PA      | $2645404.06    | 0.01%             | 2027-07-12      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 972414 FN 02/38 FIXED 5.5                         | CUSIP: 31414PYK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       62955 | PA      | $64296.18      | 0.00%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-2100                                                                 | FREDDIE MAC FHR 2100 Z                                      | CUSIP: 3133TH3Z8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       56373 | PA      | $57350.32      | 0.00%             | 2028-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 735457 FN 04/35 FLOATING VAR                      | CUSIP: 31402RB24<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4345 | PA      | $4435.03       | 0.00%             | 2035-04-01      | Floating      | 6.51%                 | No            |                  2 | On Loan: No      |
| CITIMORTGAGE ALTERNATIVE LN TR 2007-A6                                           | CITIMORTGAGE ALTERNATIVE LOAN CMALT 2007 A6 1A5             | CUSIP: 18976GAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      366133 | PA      | $322042.24     | 0.00%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ5632 FN 02/48 FIXED 4                           | CUSIP: 3140H7HJ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        9386 | PA      | $9085.20       | 0.00%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| VENTAS REALTY LP                                                                 | VENTAS REALTY LP COMPANY GUAR 01/30 3                       | CUSIP: 92277GAU1<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              | CORP              | US        |    23000000 | PA      | $21783726.65   | 0.05%             | 2030-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC2734 FN 05/46 FIXED 4                           | CUSIP: 3140EXBC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      701876 | PA      | $676351.87     | 0.00%             | 2046-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES CORP 2016-JP4                     | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2016 JP4 ASB           | CUSIP: 46645UAU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1171158 | PA      | $1165188.86    | 0.00%             | 2049-12-15      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 660670 FN 09/32 FIXED 6                           | CUSIP: 31390Y6F0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5799 | PA      | $5922.87       | 0.00%             | 2032-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q46455 FG 03/47 FIXED 3.5                 | CUSIP: 3132WLE51<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2210770 | PA      | $2077546.26    | 0.00%             | 2047-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                     | BARCLAYS PLC SR UNSECURED 09/29 VAR                         | CUSIP: 06738ECK9<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    17500000 | PA      | $18538231.08   | 0.04%             | 2029-09-13      | Floating      | 6.49%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | MEXICO LA SP BPS                                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $12999.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ACCIDENT FUND INSURANCE CO OF AMERICA                                            | ACCIDENT FUND INS CO AM SUBORDINATED 144A 08/32 8.5         | CUSIP: 00452AAA8<br>LEI: 2549009NUX96RJZ6DQ30 | Long             | DBT              | CORP              | US        |    45000000 | PA      | $45488416.95   | 0.10%             | 2032-08-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 894912 FN 07/36 FIXED 6                           | CUSIP: 31410RGV5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       56543 | PA      | $58504.22      | 0.00%             | 2036-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-2206                                                                 | FREDDIE MAC FHR 2206 Z                                      | CUSIP: 3133TN4S0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       49946 | PA      | $52101.37      | 0.00%             | 2030-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2023-4A                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2023 4A D 144A          | CUSIP: 21056DAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2093640 | PA      | $2181538.98    | 0.00%             | 2053-11-25      | Fixed         | 9.10%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX9892 FN 04/53 FIXED 5                           | CUSIP: 3140NE7E9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      105337 | PA      | $104837.84     | 0.00%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2907 FN 02/47 FIXED 4                           | CUSIP: 31418CGR9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       12067 | PA      | $11608.28      | 0.00%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3965 FN 03/40 FIXED 2.5                         | CUSIP: 31418DMP4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4387223 | PA      | $4004666.69    | 0.01%             | 2040-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 2.75000 03/18/26-10Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $1136100.83    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                      | BANK OF AMERICA CORP SR UNSECURED 09/27 VAR                 | CUSIP: 06051GLX5<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    15000000 | PA      | $15134016.30   | 0.03%             | 2027-09-15      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| HSI ASSET SEC CORP TRUST 2006-HE1                                                | HSI ASSET SECURITIZATION CORPO HASC 2006 HE1 2A1            | CUSIP: 44328AAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      131453 | PA      | $46765.14      | 0.00%             | 2036-10-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2025-C                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2025 C R 144A            | CUSIP: 83208D107<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       11000 | PA      | $137580.58     | 0.00%             | 2055-03-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-7                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2006 7 1A4              | CUSIP: 05951KAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       61063 | PA      | $53221.67      | 0.00%             | 2036-09-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AU3324 FN 07/43 FIXED 3                           | CUSIP: 3138X2VS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      250958 | PA      | $230844.95     | 0.00%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-45T1                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 45T1 1A16         | CUSIP: 02149JCB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1049800 | PA      | $408651.95     | 0.00%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 901361 FN 09/36 FIXED 6                           | CUSIP: 31410YMJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       12094 | PA      | $12511.64      | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QC4071 FR 07/51 FIXED 3                   | CUSIP: 3133ANQY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      831482 | PA      | $732537.01     | 0.00%             | 2051-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20251203                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $62462.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 839175 FN 11/35 FLOATING VAR                      | CUSIP: 31407SJU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       80586 | PA      | $81901.85      | 0.00%             | 2035-11-01      | Floating      | 6.54%                 | No            |                  2 | On Loan: No      |
| RIPON MORTGAGES PLC 25-1A                                                        | RIPON MORTGAGES RIPON 2025 1A E 144A                        | CUSIP: ACI2V5906<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     6300000 | PA      | $8388988.66    | 0.02%             | 2056-08-28      | Floating      | 6.48%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC CORP 2003-KS4                                              | RESIDENTIAL ASSET SECURITIES C RASC 2003 KS4 AIIA           | CUSIP: 76110WRS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      602158 | PA      | $590610.12     | 0.00%             | 2033-06-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY5                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY5 2A2            | CUSIP: 92990GAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       30500 | PA      | $24423.94      | 0.00%             | 2037-05-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA1800 FN 02/44 FIXED 4                           | CUSIP: 31418BAA4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       42777 | PA      | $41684.02      | 0.00%             | 2044-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL A86344 FG 05/39 FIXED 4.5                 | CUSIP: 312933BM5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        7686 | PA      | $7719.26       | 0.00%             | 2039-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE1823 FN 10/46 FIXED 4                           | CUSIP: 3140FMAZ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       87435 | PA      | $84100.73      | 0.00%             | 2046-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD IDR BOUGHT USD 20251020                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $96533.27      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                             | JPMORGAN CHASE + CO SR UNSECURED 01/28 VAR                  | CUSIP: 46647PDZ6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    39600000 | PA      | $39923115.80   | 0.09%             | 2028-01-23      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL3938 FN 07/28 FIXED VAR                         | CUSIP: 3138ELLU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5348 | PA      | $5298.91       | 0.00%             | 2028-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS COMPANY                                                         | AMERICAN EXPRESS CO SR UNSECURED 01/31 VAR                  | CUSIP: 025816DY2<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |     5000000 | PA      | $5157301.65    | 0.01%             | 2031-01-30      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB7198 FN 07/53 FIXED 6                           | CUSIP: 3140QS7L9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      580195 | PA      | $595216.76     | 0.00%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H14                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H14 FA              | CUSIP: 38382Y7K3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    41041955 | PA      | $41681027.86   | 0.09%             | 2073-06-20      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3360                                                                 | FREDDIE MAC FHR 3360 FB                                     | CUSIP: 31397KE23<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1075296 | PA      | $1075897.28    | 0.00%             | 2037-08-15      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ARM TR 2004-3                                                       | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 3 1A1             | CUSIP: 07384MQ70<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       23899 | PA      | $22457.52      | 0.00%             | 2034-07-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SB0355 FR 06/35 FIXED 3.5                 | CUSIP: 3132CWMC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       74854 | PA      | $72935.18      | 0.00%             | 2035-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| VENTAS REALTY LP                                                                 | VENTAS REALTY LP COMPANY GUAR 01/26 4.125                   | CUSIP: 92277GAG2<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              | CORP              | US        |     3000000 | PA      | $2994034.80    | 0.01%             | 2026-01-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB6597 FN 04/53 FIXED 6                           | CUSIP: 3140QSKK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      424609 | PA      | $436355.03     | 0.00%             | 2053-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOME MTGE INV TRUST 2005-4                                              | AMERICAN HOME MORTGAGE INVESTM AHM 2005 4 5A                | CUSIP: 02660TGW7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2699539 | PA      | $1008459.69    | 0.00%             | 2045-11-25      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON COMPANY                                               | SOUTHERN CAL EDISON 1ST MORTGAGE 06/29 5.15                 | CUSIP: 842400JC8<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     9300000 | PA      | $9464109.20    | 0.02%             | 2029-06-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2006-R1                                            | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 R1 A3              | CUSIP: 45662JAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1434611 | PA      | $1258603.93    | 0.00%             | 2035-12-25      | Floating      | 3.82%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 1B2315 FH 09/35 FLOATING VAR              | CUSIP: 3128JMN94<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5017 | PA      | $5143.59       | 0.00%             | 2035-09-01      | Floating      | 7.02%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL AD0815 GN 03/43 FIXED 2.5                         | CUSIP: 36180B3Y5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2509 | PA      | $2185.79       | 0.00%             | 2043-03-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BK1997 FN 04/48 FIXED 3.5                         | CUSIP: 3140HFGF0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      106545 | PA      | $98703.07      | 0.00%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3380                                                          | FREDDIE MAC FHR 3380 F                                      | CUSIP: 31397KTG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      285439 | PA      | $285428.35     | 0.00%             | 2037-10-15      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2003-120                                                              | FANNIE MAE FNR 2003 120 ZH                                  | CUSIP: 31393UGU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      144097 | PA      | $151717.49     | 0.00%             | 2033-12-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA0184 FN 09/29 FIXED 5                           | CUSIP: 31417YF28<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       28032 | PA      | $28324.92      | 0.00%             | 2029-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP OF AMERICA FINANCE LLC                                          | VOLKSWAGEN GROUP AMERICA COMPANY GUAR 144A 09/30 4.85       | CUSIP: 928668CX8<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |    13600000 | PA      | $13661194.29   | 0.03%             | 2030-09-11      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QG3999 FR 06/53 FIXED 6                   | CUSIP: 3133C4NQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      142668 | PA      | $146212.56     | 0.00%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT DKK SOLD USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |           1 | NC      | $17048.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 002136 G2 12/25 FIXED 7                        | CUSIP: 36202CLR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          58 | PA      | $59.21         | 0.00%             | 2025-12-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| MELLON RESIDENTIAL FUNDING CO 2001-TBC1                                          | MELLON RESIDENTIAL FUNDING COR MRFC 2001 TBC1 B1            | CUSIP: 585525FE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        5625 | PA      | $5371.63       | 0.00%             | 2031-11-15      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BT5976 FN 08/51 FIXED 3                           | CUSIP: 3140LUUA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      445921 | PA      | $395457.92     | 0.00%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                               | ENERGY TRANSFER LP SR UNSECURED 06/28 4.95                  | CUSIP: 29278NAF0<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     1100000 | PA      | $1119214.86    | 0.00%             | 2028-06-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| PANAMA INFRASTRUCTURE RECEIVABLE PURCHASER PLC                                   | PANAMA INFRASTRUCTURE SR SECURED 144A 04/32 0.00000         | CUSIP: 69828QAD9<br>LEI: 213800QSH7EDGMUDJW25 | Long             | DBT              | CORP              | GB        |    45794000 | PA      | $34513792.95   | 0.08%             | 2032-04-05      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO MTGE BACKED SEC 2004-K                                               | WELLS FARGO MORTGAGE BACKED SE WFMBS 2004 K 2A3             | CUSIP: 94981VAH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        2154 | PA      | $2202.68       | 0.00%             | 2034-07-25      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-110                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 110 DF              | CUSIP: 38379MTG9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1964923 | PA      | $1910263.87    | 0.00%             | 2045-08-20      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD NZD BOUGHT USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |           1 | NC      | $-5878.45      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20260122                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $4939.92       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM3022 FN 09/32 FIXED VAR                         | CUSIP: 3140X6LC3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      414776 | PA      | $412496.03     | 0.00%             | 2032-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BV7080 FN 03/52 FIXED 3                           | CUSIP: 3140ML2N9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      488862 | PA      | $430255.01     | 0.00%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 970672 FN 11/38 FIXED 5.5                         | CUSIP: 31414M2D7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       24862 | PA      | $25740.00      | 0.00%             | 2038-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| M360 2021-CRE3 LLC                                                               | M360 LTD. M360 2021 CRE3 A 144A                             | CUSIP: 55379AAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2062942 | PA      | $2031667.53    | 0.00%             | 2038-11-22      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-9                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 9 21A2             | CUSIP: 17307GL22<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      376064 | PA      | $381403.07     | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 900652 FN 09/36 FIXED 6                           | CUSIP: 31410XTH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      104261 | PA      | $108654.61     | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 902638 FN 10/36 FIXED 6                           | CUSIP: 31411AZB4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       38229 | PA      | $39806.95      | 0.00%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MTGE P/T 2006-AR3                                              | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 AR3 A1A           | CUSIP: 93934FQP0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1914324 | PA      | $1697854.17    | 0.00%             | 2046-05-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AZ9190 FN 09/45 FIXED 4                           | CUSIP: 3140E2F89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5744 | PA      | $5538.47       | 0.00%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-HYB3                                                 | COUNTRYWIDE HOME LOANS CWHL 2004 HYB3 2A                    | CUSIP: 12669FYY3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       95939 | PA      | $91023.43      | 0.00%             | 2034-06-20      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| GREENPOINT MTGE FUNDING TR 2005-AR5                                              | GREENPOINT MORTGAGE FUNDING TR GPMF 2005 AR5 1A1            | CUSIP: 39538WEA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      119829 | PA      | $113949.68     | 0.00%             | 2045-11-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL P51350 FG 03/36 FIXED 5                   | CUSIP: 3128C6QB8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      131353 | PA      | $133687.47     | 0.00%             | 2036-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2004-B                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2004 B 5A1              | CUSIP: 05946XJN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      883096 | PA      | $870537.12     | 0.00%             | 2034-11-20      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2005-4                               | BEAR STEARNS ADJUSTABLE RATE M BSARM 2005 4 3A1             | CUSIP: 07387ABR5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1155160 | PA      | $1081935.54    | 0.00%             | 2035-08-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT KWD SOLD USD 20260602                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $3007.27       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB1775 FN 11/25 FIXED 3.5                         | CUSIP: 31416W6M9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1008 | PA      | $1004.91       | 0.00%             | 2025-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 880913 FN 04/36 FIXED 6                           | CUSIP: 31409WVE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       80087 | PA      | $83455.70      | 0.00%             | 2036-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| VIRGINIA POWER FUEL SECURITIZATION LLC                                           | VIRGINIA POWER FUEL SEC SR SECURED 05/29 5.088              | CUSIP: 92808VAA0<br>LEI: 254900BELJ95ONW6U791 | Long             | DBT              | CORP              | US        |     8224326 | PA      | $8270351.47    | 0.02%             | 2029-05-01      | Fixed         | 5.09%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                   | MORGAN STANLEY SR UNSECURED 01/29 VAR                       | CUSIP: 61744YAP3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     2276000 | PA      | $2256519.03    | 0.00%             | 2029-01-24      | Floating      | 3.77%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CHF BOUGHT USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |           1 | NC      | $-3820.81      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 902067 FN 12/36 FIXED 6                           | CUSIP: 31411AFG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       89072 | PA      | $91792.46      | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZK3461 FR 08/26 FIXED 3                   | CUSIP: 3131X6Z29<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         905 | PA      | $897.82        | 0.00%             | 2026-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK                                                            | TORONTO DOMINION BANK SR UNSECURED 03/27 2.8                | CUSIP: 89114TZT2<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |     6900000 | PA      | $6787731.07    | 0.01%             | 2027-03-10      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| HERTZ VEHICLE FINANCING LLC 2022-5A                                              | HERTZ VEHICLE FINANCING LLC HERTZ 2022 5A A 144A            | CUSIP: 42806MBJ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    31800000 | PA      | $31582602.48   | 0.07%             | 2028-09-25      | Fixed         | 3.89%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                       | JAPAN (30 YEAR ISSUE) BONDS 12/54 2.3                       | CUSIP: ACI2T3R46<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        | 15900000000 | PA      | $91726179.13   | 0.20%             | 2054-12-20      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                     | UBS GROUP AG SR UNSECURED 144A 01/34 VAR                    | CUSIP: 902613AV0<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    19000000 | PA      | $20330540.55   | 0.04%             | 2034-01-12      | Floating      | 5.96%                 | No            |                  2 | On Loan: No      |
| ALAMO RE LTD                                                                     | ALAMO RE LTD UNSECURED 144A 06/27 VAR                       | CUSIP: 011395AP5<br>LEI: 5493003E22VRD25G0S03 | Long             | DBT              | CORP              | BM        |     8000000 | PA      | $8597200.00    | 0.02%             | 2027-06-07      | Floating      | 12.42%                | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8431 FR 05/54 FIXED 5.5                 | CUSIP: 3132DWLL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   108124489 | PA      | $109237678.27  | 0.24%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 008777 G2 12/25 FLOATING VAR                   | CUSIP: 36202KXE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1015 | PA      | $1013.15       | 0.00%             | 2025-12-20      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT GBP SOLD USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $-25604.25     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2008-2R                                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2008 2R 2A1            | CUSIP: 021482AC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      994523 | PA      | $433706.98     | 0.00%             | 2037-08-25      | Variable      | 3.95%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL A89384 FG 10/39 FIXED 4                   | CUSIP: 312936M95<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       93945 | PA      | $92615.30      | 0.00%             | 2039-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A2                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2006 A2 3A2                  | CUSIP: 466247K28<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      498368 | PA      | $435510.43     | 0.00%             | 2036-04-25      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| CONSECO FINANCE SECUR CORP 2001-1                                                | CONSECO FINANCE SECURITIZATION CNF 2001 1 A5                | CUSIP: 20846QGC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       62701 | PA      | $63788.25      | 0.00%             | 2031-07-01      | Variable      | 7.49%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD AUD BOUGHT USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |           1 | NC      | $-81537.09     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 735061 FN 11/34 FIXED VAR                         | CUSIP: 31402QTS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        6234 | PA      | $6551.54       | 0.00%             | 2034-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3322                                                                 | FREDDIE MAC FHR 3322 FA                                     | CUSIP: 31397HLQ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      552985 | PA      | $548438.46     | 0.00%             | 2037-05-15      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL CR8973 G2 10/46 FIXED 3                        | CUSIP: 3618AP6J3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1001331 | PA      | $901029.88     | 0.00%             | 2046-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 008815 G2 02/26 FLOATING VAR                   | CUSIP: 36202KYL3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         714 | PA      | $712.85        | 0.00%             | 2026-02-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8267 FR 11/52 FIXED 5                   | CUSIP: 3132DWFG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      193035 | PA      | $192674.68     | 0.00%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 886112 FN 07/36 FIXED 6.5                         | CUSIP: 31410DN55<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       46053 | PA      | $48605.99      | 0.00%             | 2036-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| HOME EQUITY ASSET TRUST 2005-1                                                   | HOME EQUITY ASSET TRUST HEAT 2005 1 M5                      | CUSIP: 437084HU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      238630 | PA      | $237807.25     | 0.00%             | 2035-05-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL C91236 FG 02/29 FIXED 4.5                 | CUSIP: 3128P7LR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       27084 | PA      | $27232.07      | 0.00%             | 2029-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 357739 FN 03/35 FIXED 6                           | CUSIP: 31376KLU8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       49467 | PA      | $51992.88      | 0.00%             | 2035-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS7493 FN 07/46 FIXED 4                           | CUSIP: 3138WHKF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5456393 | PA      | $5248923.48    | 0.01%             | 2046-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL A93101 FG 07/40 FIXED 5                   | CUSIP: 312941NS2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1320 | PA      | $1354.62       | 0.00%             | 2040-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| PEACEHEALTH OBLIGATED GROUP                                                      | PEACEHEALTH OBLIGATED GR SR UNSECURED 11/50 3.218           | CUSIP: 70462GAC2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     8900000 | PA      | $5783403.16    | 0.01%             | 2050-11-15      | Fixed         | 3.22%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES 2016-3 CLASS A PASS THROUGH TRUST                              | AMER AIRLINE 16 3 A PTT PASS THRU CE 04/30 3.25             | CUSIP: 023771S25<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     5321239 | PA      | $5050108.34    | 0.01%             | 2030-04-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT JPY SOLD USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $1915956.48    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2008-10                                                               | FANNIE MAE FNR 2008 10 PI                                   | CUSIP: 31396YLB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       44075 | PA      | $5389.01       | 0.00%             | 2037-07-25      | Floating      | 2.18%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL7567 FN 07/29 FIXED VAR                         | CUSIP: 3138EQMR0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       28516 | PA      | $28297.51      | 0.00%             | 2029-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ARBOR REALTY COLLATERALIZED LOAN OBLIGATION LTD 2021-FL4                         | ARBOR REALTY COLLATERALIZED LO ARCLO 2021 FL4 A 144A        | CUSIP: 03880RAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    38498880 | PA      | $38592560.21   | 0.09%             | 2036-11-15      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| DSLA MORTGAGE LOAN TRUST 2007-AR1                                                | DSLA MORTGAGE LOAN TRUST DSLA 2007 AR1 2A1B                 | CUSIP: 23333YAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      491539 | PA      | $485265.55     | 0.00%             | 2047-04-19      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD SGD BOUGHT USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $47888.34      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AE7870 FN 12/25 FIXED 3.5                         | CUSIP: 31419JW87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          40 | PA      | $39.57         | 0.00%             | 2025-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2960 FN 04/47 FIXED 4                           | CUSIP: 31418CJE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2477474 | PA      | $2383252.06    | 0.01%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LN ASSET CERT2004-FF8                                         | FIRST FRANKLIN MTG LOAN ASSET FFML 2004 FF8 M3              | CUSIP: 32027NNS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      463330 | PA      | $466318.70     | 0.00%             | 2034-10-25      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ILS BOUGHT USD 20251113                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $-705020.53    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 531298 GN 08/30 FIXED 8.5                         | CUSIP: 36212EGF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          18 | PA      | $18.52         | 0.00%             | 2030-08-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL BT3503 GN 02/50 FIXED 4                           | CUSIP: 3617MR3L6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      527832 | PA      | $500397.92     | 0.00%             | 2050-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20251006                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $35851.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CZK SOLD USD 20251217                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CZ        |           1 | NC      | $-463.02       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AD5980 FN 05/40 FIXED 5                           | CUSIP: 31418TUE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       22516 | PA      | $23071.54      | 0.00%             | 2040-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 908666 FN 12/36 FIXED 6                           | CUSIP: 31411HQT0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1439 | PA      | $1469.76       | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL LNG INC                                                           | VENTURE GLOBAL LNG INC SR SECURED 144A 06/28 8.125          | CUSIP: 92332YAA9<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |    10000000 | PA      | $10357700.00   | 0.02%             | 2028-06-01      | Fixed         | 8.12%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2006-AR41                                          | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR41 A3            | CUSIP: 45668NAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7022422 | PA      | $6729504.44    | 0.01%             | 2037-02-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G30381 FG 12/27 FIXED 6                   | CUSIP: 3128CUM60<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        6871 | PA      | $7025.67       | 0.00%             | 2027-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD2654 FR 04/53 FIXED 5                   | CUSIP: 3132DP5P9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2490121 | PA      | $2481137.38    | 0.01%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 893805 FN 09/36 FIXED 6                           | CUSIP: 31410QAE1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       13889 | PA      | $14370.24      | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AE0720 FN 01/26 FIXED VAR                         | CUSIP: 31419AYS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         162 | PA      | $161.30        | 0.00%             | 2026-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 440719 FN 11/28 FIXED 6                           | CUSIP: 31380HSG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1206 | PA      | $1231.83       | 0.00%             | 2028-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| INDIA GREEN POWER HOLDINGS                                                       | INDIA GREEN POWER HOLD SECURED 144A 02/27 4                 | CUSIP: 45410LAA0<br>LEI: 254900I7N0GT4VVL6V29 | Long             | DBT              | CORP              | MU        |     4766300 | PA      | $4676868.48    | 0.01%             | 2027-02-22      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2165                                                                 | FREDDIE MAC FHR 2165 PE                                     | CUSIP: 3133TLEK0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1218 | PA      | $1239.31       | 0.00%             | 2029-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-5793882.09   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| RBSSP RESECURITIZATION TRUST 2011-4                                              | RBSSP RESECURITIZATION TRUST RBSSP 2011 4 4A1 144A          | CUSIP: 74930PAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      228119 | PA      | $225663.36     | 0.00%             | 2037-08-27      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 878476 FN 02/36 FIXED 6                           | CUSIP: 31409T6M5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       16912 | PA      | $17475.99      | 0.00%             | 2036-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 905865 FN 11/36 FIXED 6                           | CUSIP: 31411EMN4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       21782 | PA      | $22246.98      | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2018-RP2                                           | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2018 RP2 M3 144A        | CUSIP: 17326UAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2320000 | PA      | $2096534.58    | 0.00%             | 2058-02-25      | Variable      | 3.08%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AA4484 FN 04/39 FIXED 5                           | CUSIP: 31416M6W9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        9463 | PA      | $9697.60       | 0.00%             | 2039-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2005-11                                            | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 11 MV4              | CUSIP: 126670DD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3967983 | PA      | $3886954.56    | 0.01%             | 2036-02-25      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| QATAR GOVT                                                                       | STATE OF QATAR SR UNSECURED REGS 04/48 5.103                | CUSIP: M8489SAG2<br>LEI: 52990074F6OJOAXK4P65 | Long             | DBT              | NUSS              | QA        |      600000 | PA      | $597636.94     | 0.00%             | 2048-04-23      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G05119 FG 09/38 FIXED 6.5                 | CUSIP: 3128M7AU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       11572 | PA      | $12190.42      | 0.00%             | 2038-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080651 G2 11/32 FLOATING VAR                   | CUSIP: 36225CWM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       20821 | PA      | $21249.99      | 0.00%             | 2032-11-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL BC5498 GN 10/47 FIXED 3.5                         | CUSIP: 3617B9DB9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1024876 | PA      | $945913.69     | 0.00%             | 2047-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080061 G2 04/27 FLOATING VAR                   | CUSIP: 36225CB70<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       20092 | PA      | $20136.24      | 0.00%             | 2027-04-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2005-10                                            | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2005 10 3A11            | CUSIP: 007036TE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       35410 | PA      | $30951.87      | 0.00%             | 2036-01-25      | Floating      | 3.95%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2022-INV1                                               | JP MORGAN MORTGAGE TRUST JPMMT 2022 INV1 A3 144A            | CUSIP: 465973AC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    71321757 | PA      | $61939529.49   | 0.14%             | 2052-03-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC0214 FN 02/46 FIXED 4                           | CUSIP: 3140EUGY9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      742767 | PA      | $714523.06     | 0.00%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2005-10                              | BEAR STEARNS ADJUSTABLE RATE M BSARM 2005 10 A3             | CUSIP: 07387AET8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4233062 | PA      | $4225726.53    | 0.01%             | 2035-10-25      | Floating      | 6.14%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 872133 FN 10/36 FIXED 6                           | CUSIP: 31409H4S0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3194 | PA      | $3263.05       | 0.00%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL3770 FN 02/28 FIXED VAR                         | CUSIP: 3138ELFL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1622 | PA      | $1608.27       | 0.00%             | 2028-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2006-79                                                        | FANNIE MAE FNR 2006 79 PF                                   | CUSIP: 31396KXS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       59625 | PA      | $59265.14      | 0.00%             | 2036-08-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| EDP FINANCE BV                                                                   | EDP FINANCE BV SR UNSECURED 144A 01/28 1.71                 | CUSIP: 26835PAH3<br>LEI: 5299007L43AQDFOW5739 | Long             | DBT              | CORP              | NL        |    38300000 | PA      | $36143441.52   | 0.08%             | 2028-01-24      | Fixed         | 1.71%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AX9093 FN 11/44 FIXED 4                           | CUSIP: 3138YBC76<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1624873 | PA      | $1569134.63    | 0.00%             | 2044-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LN TR INC 2007-AMC4                                               | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AMC4 A2D           | CUSIP: 17313BAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2146092 | PA      | $2134886.62    | 0.00%             | 2037-05-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| ING GROEP NV                                                                     | ING GROEP NV ING GROEP NV                                   | CUSIP: 456837BL6<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |     5700000 | PA      | $5883906.57    | 0.01%             | 2030-03-19      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA6714 G2 06/50 FIXED 5                        | CUSIP: 36179VN71<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       57994 | PA      | $58814.15      | 0.00%             | 2050-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD2707 FN 07/46 FIXED 4                           | CUSIP: 3140FAAH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      562671 | PA      | $539185.30     | 0.00%             | 2046-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                                                        | ONEOK INC COMPANY GUAR 10/29 4.4                            | CUSIP: 682680CC5<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    32625000 | PA      | $32615992.56   | 0.07%             | 2029-10-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| INEOS FINANCE PLC                                                                | INEOS FINANCE PLC SR SECURED 144A 08/30 5.625               | CUSIP: ACI2TKLW2<br>LEI: 2138002D68XDR4LZCG32 | Long             | DBT              | CORP              | GB        |    10000000 | PA      | $11297578.17   | 0.02%             | 2030-08-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BA6043 FN 02/46 FIXED 4                           | CUSIP: 3140EAWD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      556762 | PA      | $535589.81     | 0.00%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AR7568 FN 03/43 FIXED 3                           | CUSIP: 3138W5MS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       11740 | PA      | $10787.82      | 0.00%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | OIS CAD CAONREPO/3.0000 01/23/25-9Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |           1 | NC      | $-758254.51    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTG SEC 2002-G                                                   | BANC OF AMERICA MORTGAGE SECUR BOAMS 2002 G 1A3             | CUSIP: 06050HKR8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        8649 | PA      | $8440.04       | 0.00%             | 2032-07-20      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-14                                            | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 14 1A               | CUSIP: 23243LAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3649697 | PA      | $3484973.74    | 0.01%             | 2037-02-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OA8                                         | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA8 2A3           | CUSIP: 02147CAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      303398 | PA      | $334693.26     | 0.00%             | 2046-07-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVS 2006-HE5                                             | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 HE5 A2D            | CUSIP: 59022QAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1459881 | PA      | $718448.32     | 0.00%             | 2037-08-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                                                                     | ENBRIDGE INC COMPANY GUAR 10/26 1.6                         | CUSIP: 29250NBH7<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |      400000 | PA      | $390054.02     | 0.00%             | 2026-10-04      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| PIEDMONT OPERATING PARTNERSHIP LP                                                | PIEDMONT OPERATING PARTN COMPANY GUAR 08/30 3.15            | CUSIP: 720198AE0<br>LEI: 549300WKGDPAS39FBD10 | Long             | DBT              | CORP              | US        |    19300000 | PA      | $17546977.14   | 0.04%             | 2030-08-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2005-A3                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2005 A3 7CA1                 | CUSIP: 466247QP1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      108336 | PA      | $87287.86      | 0.00%             | 2035-06-25      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| NOVASTAR HOME EQUITY LOAN 2004-4                                                 | NOVASTAR HOME EQUITY LOAN NHEL 2004 4 M6                    | CUSIP: 66987WBY2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2603222 | PA      | $2580930.85    | 0.01%             | 2035-03-25      | Floating      | 6.15%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 735362 FN 03/35 FLOATING VAR                      | CUSIP: 31402Q5X5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3728 | PA      | $3757.99       | 0.00%             | 2035-03-01      | Floating      | 6.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20251022                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $-19624.78     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BLUE OWL FINANCE LLC                                                             | BLUE OWL FINANCE LLC COMPANY GUAR 06/31 3.125               | CUSIP: 09581JAR7<br>LEI: 254900OF2NO2GYFV5T41 | Long             | DBT              | CORP              | US        |     2000000 | PA      | $1822292.92    | 0.00%             | 2031-06-10      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AE1252 FN 07/41 FIXED 4                           | CUSIP: 31419BMA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      131826 | PA      | $128283.43     | 0.00%             | 2041-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8395 FR 01/54 FIXED 5.5                 | CUSIP: 3132DWKG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    28865017 | PA      | $29191904.20   | 0.06%             | 2054-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                             | JPMORGAN CHASE + CO SR UNSECURED 01/30 VAR                  | CUSIP: 46647PEB8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    39700000 | PA      | $40677229.79   | 0.09%             | 2030-01-23      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| LIMA METRO LINE 2 FINANCE LIMITED                                                | LIMA METRO LINE 2 FIN LT SR SECURED 144A 07/34 5.875        | CUSIP: 532522AA7<br>LEI: 5493009BVQNQT1UKQ352 | Long             | DBT              | CORP              | KY        |     9153068 | PA      | $9454670.57    | 0.02%             | 2034-07-05      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 911568 FN 04/37 FIXED 6                           | CUSIP: 31411LW56<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       89308 | PA      | $92187.37      | 0.00%             | 2037-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-29007.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL3470 FN 01/27 FIXED VAR                         | CUSIP: 3138EK2C8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |           1 | PA      | $1.33          | 0.00%             | 2027-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2007-A1                                              | CHASE MORTGAGE FINANCE CORPORA CHASE 2007 A1 13A1           | CUSIP: 161630CF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       47166 | PA      | $44024.96      | 0.00%             | 2037-03-25      | Floating      | 4.22%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD INR BOUGHT USD 20251015                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $55253.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AQ7192 FN 07/43 FIXED 3                           | CUSIP: 3138MN7E4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       64448 | PA      | $59377.69      | 0.00%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA4869 FN 01/53 FIXED 5.5                         | CUSIP: 31418EMT4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   194215123 | PA      | $196855098.54  | 0.43%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2002-21                                                               | FANNIE MAE FNR 2002 21 FD                                   | CUSIP: 31392CRD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          52 | PA      | $52.53         | 0.00%             | 2032-04-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ZAR BOUGHT USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $-4410.73      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080185 G2 04/28 FLOATING VAR                   | CUSIP: 36225CF35<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3948 | PA      | $3949.95       | 0.00%             | 2028-04-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 995883 FN 06/39 FIXED VAR                         | CUSIP: 31416CJ49<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       87640 | PA      | $92401.94      | 0.00%             | 2039-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CONAGRA BRANDS INC                                                               | CONAGRA BRANDS INC SR UNSECURED 11/27 1.375                 | CUSIP: 205887CF7<br>LEI: 54930035UDEIH090K650 | Long             | DBT              | CORP              | US        |    12490000 | PA      | $11768141.45   | 0.03%             | 2027-11-01      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                     | ROMANIA BONDS REGS 05/30 3.624                              | CUSIP: ACI1MJRS7<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    25050000 | PA      | $28269744.60   | 0.06%             | 2030-05-26      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2129                                                                 | FREDDIE MAC FHR 2129 ZA                                     | CUSIP: 3133TJGW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       42809 | PA      | $43513.85      | 0.00%             | 2029-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECUR CORP 2005-GEL1                                            | STRUCTURED ASSET SECURITIES CO SASC 2005 GEL1 M3            | CUSIP: 86359BX30<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      496214 | PA      | $494477.85     | 0.00%             | 2034-12-25      | Floating      | 6.82%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOANTR 2006-OC2                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OC2 2A3           | CUSIP: 12668BRG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      821937 | PA      | $764599.92     | 0.00%             | 2036-02-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 938491 FN 05/37 FIXED 6                           | CUSIP: 31412YC42<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       19875 | PA      | $20499.54      | 0.00%             | 2037-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / GLP FINANCING II INC                                            | GLP CAPITAL LP / FIN II COMPANY GUAR 01/29 5.3              | CUSIP: 361841AL3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     3100000 | PA      | $3159250.30    | 0.01%             | 2029-01-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| THAMES WATER UTILITIES FINANCE PLC                                               | THAMES WATER UTIL FIN SR SECURED REGS 02/43 5.5             | CUSIP: 983YNTII1<br>LEI: 213800ESMPQ4RQ7G8351 | Long             | DBT              | CORP              | GB        |     1000000 | PA      | $945151.68     | 0.00%             | 2043-02-11      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2007-2F                                                  | GSR MORTGAGE LOAN TRUST GSR 2007 2F 3A3                     | CUSIP: 362636AT9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       13130 | PA      | $6514.74       | 0.00%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3660 FN 05/39 FIXED 3.5                         | CUSIP: 31418DB68<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      175720 | PA      | $168943.27     | 0.00%             | 2039-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-3364                                                                 | FREDDIE MAC FHR 3364 FA                                     | CUSIP: 31397KKX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      536787 | PA      | $536543.07     | 0.00%             | 2032-05-15      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                     | BARCLAYS PLC BARCLAYS PLC                                   | CUSIP: 06738ECV5<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    19800000 | PA      | $20093010.89   | 0.04%             | 2035-09-10      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2007-AR1                                                 | GSR MORTGAGE LOAN TRUST GSR 2007 AR1 1A1                    | CUSIP: 362290AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2280234 | PA      | $1113105.56    | 0.00%             | 2037-03-25      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 696385 FN 03/33 FIXED 6                           | CUSIP: 31400SUJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3628 | PA      | $3705.62       | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ING GROEP NV                                                                     | ING GROEP NV JR SUBORDINA 12/99 VAR                         | CUSIP: 456837AZ6<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |      200000 | PA      | $178622.87     | 0.00%             | 2031-05-16      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ARM TR 2004-3                                                       | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 3 1A2             | CUSIP: 07384MR87<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       21194 | PA      | $20226.02      | 0.00%             | 2034-07-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| PROTEUS RMBS DAC 1A                                                              | PROTEUS RMBS DAC PROTE 1A BR 144A                           | CUSIP: ACI1746S0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |    20861000 | PA      | $24041220.45   | 0.05%             | 2054-10-29      | Floating      | 3.32%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AE0703 FN 12/25 FIXED VAR                         | CUSIP: 31419AX93<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         491 | PA      | $489.77        | 0.00%             | 2025-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080054 G2 03/27 FLOATING VAR                   | CUSIP: 36225CBY1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        9050 | PA      | $9062.61       | 0.00%             | 2027-03-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE 2003-9                                                | BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 9 2A1             | CUSIP: 07384MB68<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      145769 | PA      | $137465.50     | 0.00%             | 2034-02-25      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2023-HTL                              | BAMLL 2023 HTL 10/27 0                                      | CUSIP: 05942JAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      546864 | PA      | $11836.89      | 0.00%             | 2027-10-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| FANNIE MAE 2006-117                                                              | FANNIE MAE FNR 2006 117 SA                                  | CUSIP: 31396LD56<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       65690 | PA      | $7802.55       | 0.00%             | 2036-12-25      | Floating      | 2.17%                 | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2006-8                                                    | GSAA HOME EQUITY TRUST GSAA 2006 8 2A2                      | CUSIP: 362348AS3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    13452784 | PA      | $2807429.15    | 0.01%             | 2036-05-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| ORACLE CORPORATION                                                               | ORACLE CORP SR UNSECURED 03/28 2.3                          | CUSIP: 68389XCD5<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     1892000 | PA      | $1809219.23    | 0.00%             | 2028-03-25      | Fixed         | 2.30%                 | Yes           |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AR7441 FN 08/43 FIXED 3                           | CUSIP: 3138W5HT8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      253074 | PA      | $232817.81     | 0.00%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED SEC HOME EQTY LN 2004-HE7                                           | ASSET BACKED SECURITIES CORP H ABSHE 2004 HE7 A2            | CUSIP: 04541GLZ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        1066 | PA      | $996.80        | 0.00%             | 2034-10-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 004837 G2 10/40 FIXED 6                        | CUSIP: 36202FLS3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       25841 | PA      | $27089.39      | 0.00%             | 2040-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CHF BOUGHT USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |           1 | NC      | $-71451.43     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 1998-58                                                               | FANNIE MAE FNR 1998 58 ZB                                   | CUSIP: 31359UYS8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1455 | PA      | $1476.49       | 0.00%             | 2028-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-SD4                                           | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 SD4 A1 144A         | CUSIP: 232433AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      296732 | PA      | $245617.81     | 0.00%             | 2036-12-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC. 2003-E                                              | MLCC MORTGAGE INVESTORS INC MLCC 2003 E A2                  | CUSIP: 589929Y44<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        8428 | PA      | $8409.70       | 0.00%             | 2028-10-25      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 615376 GN 07/33 FIXED 5                           | CUSIP: 36290RT94<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3856 | PA      | $3870.17       | 0.00%             | 2033-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF7048 FR 02/53 FIXED 5.5                 | CUSIP: 3133BUZM2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      170601 | PA      | $172748.72     | 0.00%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-E                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2007 E 8A1              | CUSIP: 05954DAR7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1219824 | PA      | $1062522.48    | 0.00%             | 2047-09-20      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SEC 2003-D                                                  | BANC OF AMERICA MORTGAGE SECUR BOAMS 2003 D 2A4             | CUSIP: 05948XBV2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         743 | PA      | $730.31        | 0.00%             | 2033-05-25      | Floating      | 7.02%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM3375 FN 02/35 FIXED VAR                         | CUSIP: 3140X6XD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      125677 | PA      | $123730.70     | 0.00%             | 2035-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS AUD 4.50000 09/18/24-10Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |           1 | NC      | $4951267.22    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 1998-22                                                               | FANNIE MAE FNR 1998 22 FA                                   | CUSIP: 31359RY63<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         530 | PA      | $529.54        | 0.00%             | 2028-04-18      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2007-1                                                    | SEQUOIA MORTGAGE TRUST SEMT 2007 1 4A1                      | CUSIP: 81744HAH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1144843 | PA      | $753868.99     | 0.00%             | 2046-09-20      | Floating      | 3.57%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20251020                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $-190.93       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL C90961 FG 01/26 FIXED 4.5                 | CUSIP: 3128P7B69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          12 | PA      | $12.27         | 0.00%             | 2026-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS0379 FN 09/43 FIXED 4                           | CUSIP: 3138W9M56<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       25787 | PA      | $25128.46      | 0.00%             | 2043-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL CR3128 G2 01/47 FIXED 3                        | CUSIP: 3618AHPM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1302079 | PA      | $1161352.32    | 0.00%             | 2047-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S                                                                  | DANSKE BANK A/S DANSKE BANK A/S                             | CUSIP: 23636ABH3<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |     5600000 | PA      | $5828562.66    | 0.01%             | 2030-03-01      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2007-4                                                    | GSAA HOME EQUITY TRUST GSAA 2007 4 A1                       | CUSIP: 3622EBAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      487462 | PA      | $132193.94     | 0.00%             | 2037-03-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AT1572 FN 05/43 FIXED 3                           | CUSIP: 3138WNXA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       29284 | PA      | $26934.15      | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS5260 FN 06/45 FIXED 4                           | CUSIP: 3138WEZ28<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3823603 | PA      | $3679395.00    | 0.01%             | 2045-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA1441 FN 03/33 FIXED 3                           | CUSIP: 3140Q8S71<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      604903 | PA      | $589155.38     | 0.00%             | 2033-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2024-INV1                                            | LEGACY MORTGAGE ASSET TRUST LMAT 2024 INV1 PT 144A          | CUSIP: 52475VBH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   398482283 | PA      | $417595126.82  | 0.92%             | 2053-12-25      | Variable      | 5.79%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 008844 G2 03/26 FLOATING VAR                   | CUSIP: 36202KZH1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          57 | PA      | $56.56         | 0.00%             | 2026-03-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AY1942 FN 01/45 FIXED 4                           | CUSIP: 3138YFEQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      677946 | PA      | $652802.16     | 0.00%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 885823 FN 06/36 FIXED 6                           | CUSIP: 31410DD49<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3154 | PA      | $3262.27       | 0.00%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-6                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 6 A3               | CUSIP: 17307GXR4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       42994 | PA      | $42652.51      | 0.00%             | 2035-09-25      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 002675 G2 11/28 FIXED 7                        | CUSIP: 36202C6L2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        6955 | PA      | $7133.76       | 0.00%             | 2028-11-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD KRW BOUGHT USD 20251015                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $297650.65     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 941428 FN 07/37 FIXED 6                           | CUSIP: 31413CLH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        7975 | PA      | $8310.72       | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 008968 G2 09/26 FLOATING VAR                   | CUSIP: 36202K6D2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       11180 | PA      | $11215.45      | 0.00%             | 2026-09-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AH2113 FN 01/26 FIXED 4                           | CUSIP: 3138A3K30<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          53 | PA      | $53.33         | 0.00%             | 2026-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2007-OA3                                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 OA3 2A1A           | CUSIP: 93364AAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3978525 | PA      | $3650796.31    | 0.01%             | 2047-04-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM3352 FN 05/33 FIXED VAR                         | CUSIP: 3140X6WN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      594892 | PA      | $588595.88     | 0.00%             | 2033-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AH3552 FN 02/26 FIXED 3.5                         | CUSIP: 3138A45N1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3881 | PA      | $3864.30       | 0.00%             | 2026-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTGE ASSOC 2003-65                                               | GOVERNMENT NATIONAL MORTGAGE A GNR 2003 65 ZA               | CUSIP: 38374BRG0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      104097 | PA      | $104032.87     | 0.00%             | 2033-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20260126                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $-779476.61    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 745937 FN 09/36 FIXED VAR                         | CUSIP: 31403DV63<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1213 | PA      | $1278.80       | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ARES CAPITAL CORPORATION                                                         | ARES CAPITAL CORP SR UNSECURED 01/31 5.1                    | CUSIP: 04010LBL6<br>LEI: WEQ82666OJYSI5GUAB47 | Long             | DBT              | CORP              | US        |    14800000 | PA      | $14697153.32   | 0.03%             | 2031-01-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY4219 FN 06/53 FIXED 6                           | CUSIP: 3140NLVM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1046625 | PA      | $1091739.87    | 0.00%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RT MTGE TRUST 2005-2                                            | MASTR ADJUSTABLE RATE MORTGAGE MARM 2005 2 3A1              | CUSIP: 576433XW1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      123331 | PA      | $109528.69     | 0.00%             | 2035-03-25      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QH0398 FR 09/53 FIXED 5                   | CUSIP: 3133CCNP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2813986 | PA      | $2822851.68    | 0.01%             | 2053-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BDS 2022-FL11 LLC                                                                | BDS LTD BDS 2022 FL11 ATS 144A                              | CUSIP: 054980AA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    41274260 | PA      | $41352410.38   | 0.09%             | 2039-03-19      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| NTT FINANCE CORPORATION                                                          | NTT FINANCE CORP SR UNSECURED 144A 07/32 5.171              | CUSIP: 62954WAU9<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |    10700000 | PA      | $10961678.67   | 0.02%             | 2032-07-16      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL0914 FN 02/41 FIXED VAR                         | CUSIP: 3138EHAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3029 | PA      | $3193.59       | 0.00%             | 2041-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2264                                                                 | FREDDIE MAC FHR 2264 PL                                     | CUSIP: 3133TPWN5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        6377 | PA      | $6633.11       | 0.00%             | 2030-10-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVESTMENT LOAN TRUST 2004-BNC1                                 | STRUCTURED ASSET INVESTMENT LO SAIL 2004 BNC1 A2            | CUSIP: 86358EKV7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      122230 | PA      | $126918.84     | 0.00%             | 2034-09-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2004-6                                             | COUNTRYWIDE ASSET BACKED CERTI CWL 2004 6 1A2               | CUSIP: 126673AX0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1043864 | PA      | $1021546.44    | 0.00%             | 2034-12-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QH9775 FR 02/54 FIXED 5.5                 | CUSIP: 3133CN2G6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      173751 | PA      | $175504.10     | 0.00%             | 2054-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AV0200 FN 10/28 FIXED 3.5                         | CUSIP: 3138XBGJ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      252463 | PA      | $249862.37     | 0.00%             | 2028-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 05/44 4.625                                 | CUSIP: 912810UB2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    24700000 | PA      | $24525363.34   | 0.05%             | 2044-05-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL AK9992 GN 02/45 FIXED 3.5                         | CUSIP: 36183UC53<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       29362 | PA      | $27463.12      | 0.00%             | 2045-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2007-1                                                    | SEQUOIA MORTGAGE TRUST SEMT 2007 1 1A1                      | CUSIP: 81744HAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      613524 | PA      | $435131.69     | 0.00%             | 2047-01-20      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AI2773 FN 05/26 FIXED 4.5                         | CUSIP: 3138AGCK2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          41 | PA      | $41.13         | 0.00%             | 2026-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                                               | BANCO SANTANDER SA BANCO SANTANDER SA                       | CUSIP: 05964HBC8<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    24800000 | PA      | $24990646.53   | 0.06%             | 2028-03-14      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA8148 G2 07/52 FIXED 3                        | CUSIP: 36179XBR6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     9258896 | PA      | $8284044.67    | 0.02%             | 2052-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 895008 FN 11/36 FIXED 6                           | CUSIP: 31410RKV0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        9005 | PA      | $9198.02       | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AON NORTH AMERICA INC                                                            | AON NORTH AMERICA INC AON NORTH AMERICA INC                 | CUSIP: 03740MAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    16763000 | PA      | $17002965.53   | 0.04%             | 2027-03-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QS16                                             | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QS16 A1            | CUSIP: 74922LAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      592096 | PA      | $425291.68     | 0.00%             | 2036-11-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL CQ9340 G2 01/47 FIXED 3                        | CUSIP: 3618ACLV8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4526794 | PA      | $4037593.74    | 0.01%             | 2047-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 903313 FN 10/36 FIXED 6                           | CUSIP: 31411BSA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       27496 | PA      | $28347.19      | 0.00%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2004-49                                                               | FANNIE MAE FNR 2004 49 FM                                   | CUSIP: 31393Y5X9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      183253 | PA      | $182651.28     | 0.00%             | 2034-07-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| HSI ASSET SEC CORP TRUST 2006-HE2                                                | HSI ASSET SECURITIZATION CORPO HASC 2006 HE2 2A3            | CUSIP: 44328BAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4277020 | PA      | $1018322.90    | 0.00%             | 2036-12-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2003-1                                | BEAR STEARNS ASSET BACKED SECU BSABS 2003 1 A1              | CUSIP: 07384YGX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       41785 | PA      | $41707.39      | 0.00%             | 2042-11-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 804437 FN 12/34 FLOATING VAR                      | CUSIP: 31406AV66<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      127523 | PA      | $129684.56     | 0.00%             | 2034-12-01      | Floating      | 6.31%                 | No            |                  2 | On Loan: No      |
| CREDICORP CAPITAL SOCIEDAD TITULIZADORA SA                                       | CREDICORP CAPITAL SOCIED LOCAL GOVT G 144A REGS 12/43 1     | CUSIP: 224939AA6<br>LEI: N/A                  | Long             | DBT              | CORP              | PE        |    27900000 | PA      | $8658357.45    | 0.02%             | 2043-12-15      | Fixed         | 10.10%                | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 783619 FN 06/35 FLOATING VAR                      | CUSIP: 31405ASG9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      581354 | PA      | $598069.43     | 0.00%             | 2035-06-01      | Floating      | 6.21%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZK3503 FR 09/26 FIXED 3.5                 | CUSIP: 3131X63L2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       11357 | PA      | $11286.81      | 0.00%             | 2026-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LXP INDUSTRIAL TRUST                                                             | LXP INDUSTRIAL TRUST COMPANY GUAR 10/31 2.375               | CUSIP: 529537AA0<br>LEI: 549300S4MH2ICXDBFV43 | Long             | DBT              | CORP              | US        |     6200000 | PA      | $5386692.80    | 0.01%             | 2031-10-01      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| CLEARWAY ENERGY OPERATING LLC                                                    | CLEARWAY ENERGY OP LLC COMPANY GUAR 144A 02/31 3.75         | CUSIP: 18539UAD7<br>LEI: 549300Z3NFMM54NWBB87 | Long             | DBT              | CORP              | US        |    10700000 | PA      | $9830069.67    | 0.02%             | 2031-02-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZA2637 FR 06/26 FIXED 3.5                 | CUSIP: 31329K4W1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        6643 | PA      | $6607.56       | 0.00%             | 2026-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| EVERSOURCE ENERGY                                                                | EVERSOURCE ENERGY                                           | CUSIP: 30040XX68<br>LEI: SJ7XXD41SQU3ZNWUJ746 | Long             | DBT              | CORP              | US        |     1200000 | PA      | $1199120.88    | 0.00%             | 2025-10-06      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RB5011 FR 10/39 FIXED 3                   | CUSIP: 3133KYR84<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3329144 | PA      | $3086518.27    | 0.01%             | 2039-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE ACQ CORP 2005-RM1                                             | JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 RM1 A2            | CUSIP: 46629NAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      183127 | PA      | $80856.54      | 0.00%             | 2036-08-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-2                                                  | BEAR STEARNS ALT A TRUST BALTA 2006 2 24A1                  | CUSIP: 07386HG39<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5347867 | PA      | $3058944.99    | 0.01%             | 2036-03-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF7483 FR 02/53 FIXED 5.5                 | CUSIP: 3133BVJ48<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2966793 | PA      | $3003597.94    | 0.01%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS0305 FN 08/43 FIXED 3                           | CUSIP: 3138W9KT6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       38976 | PA      | $35831.53      | 0.00%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                | HSBC HOLDINGS PLC SR UNSECURED 11/28 VAR                    | CUSIP: 404280DR7<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    61500000 | PA      | $65323823.39   | 0.14%             | 2028-11-03      | Floating      | 7.39%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AW9005 FN 08/29 FIXED 3.5                         | CUSIP: 3138XZAF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       76186 | PA      | $75440.45      | 0.00%             | 2029-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM2090 FN 05/49 FIXED VAR                         | CUSIP: 3140X5KC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3030826 | PA      | $3172836.88    | 0.01%             | 2049-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2014-14                                                        | FANNIE MAE FNR 2014 14 SC                                   | CUSIP: 3136AJQT6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3919404 | PA      | $302285.22     | 0.00%             | 2038-12-25      | Floating      | 1.86%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 601856 FN 01/31 FIXED 8                           | CUSIP: 31388DTM0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4560 | PA      | $4569.10       | 0.00%             | 2031-01-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 520031 FN 10/29 FIXED 5.5                         | CUSIP: 31384CVY7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2896 | PA      | $2942.31       | 0.00%             | 2029-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY CORP                                                                 | FIRSTENERGY CORP SR UNSECURED 07/27 4.15                    | CUSIP: 337932AH0<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |     2000000 | PA      | $1988223.88    | 0.00%             | 2027-07-15      | Variable      | 4.15%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 987819 FN 09/38 FIXED 6                           | CUSIP: 31415SK84<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        7738 | PA      | $8064.44       | 0.00%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE2341 FN 02/47 FIXED 4                           | CUSIP: 3140FMS72<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1082671 | PA      | $1031455.40    | 0.00%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                                                           | STANDARD CHARTERED PLC SR UNSECURED 144A 01/27 VAR          | CUSIP: 853254CQ1<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |    33846000 | PA      | $33999510.23   | 0.07%             | 2027-01-09      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| GREENGROVE RE LTD                                                                | GREENGROVE RE LTD UNSECURED 144A 04/32 VAR                  | CUSIP: 39526JAA9<br>LEI: 254900WH3CK41D9L7T70 | Long             | DBT              | CORP              | BM        |     1300000 | PA      | $1300520.00    | 0.00%             | 2032-04-08      | Floating      | 11.71%                | No            |                  2 | On Loan: No      |
| ONEOK INC                                                                        | ONEOK INC COMPANY GUAR 10/31 4.75                           | CUSIP: 682680CD3<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    20250000 | PA      | $20267065.89   | 0.04%             | 2031-10-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ2296 FN 02/48 FIXED 4                           | CUSIP: 3140H3RS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      758054 | PA      | $725699.64     | 0.00%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOODLEAP SUSTAINABLE HOME SOLUTIONS TRUST 2021-3CS                               | GOODLEAP SUSTAINABLE HOME IMPR GOOD 2021 3CS A 144A         | CUSIP: 382371AA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     6895724 | PA      | $5517382.15    | 0.01%             | 2048-05-20      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 842283 FN 09/35 FIXED 6                           | CUSIP: 31407VXL4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       22778 | PA      | $23740.82      | 0.00%             | 2035-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVEST LN TR 2004-BNC2                                          | STRUCTURED ASSET INVESTMENT LO SAIL 2004 BNC2 A6            | CUSIP: 86358ENH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      466957 | PA      | $466524.33     | 0.00%             | 2034-12-25      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LN TRUST 2006-A7                                           | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2006 A7 2A7            | CUSIP: 466286AV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      134241 | PA      | $131708.94     | 0.00%             | 2036-12-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-4                                                  | BEAR STEARNS ALT A TRUST BALTA 2005 4 23A1                  | CUSIP: 07386HSY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    10326663 | PA      | $9901397.66    | 0.02%             | 2035-05-25      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | OIS CAD CAONREPO/3.5000 03/28/24-8Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |           1 | NC      | $-23176566.15  | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AT5897 FN 06/43 FIXED 3                           | CUSIP: 3138WTRT5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       15355 | PA      | $14122.53      | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAP CERT 2007-3                                           | CREDIT SUISSE MORTGAGE TRUST CSMC 2007 3 2A19               | CUSIP: 12638PCP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      820888 | PA      | $245274.28     | 0.00%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | WILLIAMS COS INC SNR S* ICE                                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $73417.18      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MTGE P/T 2005-2                                                | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2005 2 1A3             | CUSIP: 9393363K7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3092171 | PA      | $2599112.27    | 0.01%             | 2035-04-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 31750R5R4 PIMCO FXVAN CALL USD SEK 10.20000000              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    92604000 | NC      | $45005.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BPCE SA                                                                          | BPCE SA 05/35 1                                             | CUSIP: 05571AAY1<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |     4900000 | PA      | $5135024.48    | 0.01%             | 2035-05-30      | Floating      | 5.94%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2820                                                                 | FREDDIE MAC FHR 2820 FY                                     | CUSIP: 31395CEC1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3868 | PA      | $3853.32       | 0.00%             | 2034-07-15      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJ RATE MTGE LOAN 2005-21                                            | STRUCTURED ADJUSTABLE RATE MOR SARM 2005 21 3A1             | CUSIP: 863579B49<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       66951 | PA      | $61637.11      | 0.00%             | 2035-11-25      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD EUR BOUGHT USD 20251104                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-11235092.35  | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 797393 FN 12/34 FLOATING VAR                      | CUSIP: 31405R3A2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4494 | PA      | $4597.05       | 0.00%             | 2034-12-01      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 005240 G2 11/41 FIXED 6                        | CUSIP: 36202FZD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       74966 | PA      | $78821.21      | 0.00%             | 2041-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF9611 FR 03/53 FIXED 5.5                 | CUSIP: 3133BXVC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    13704953 | PA      | $13892082.58   | 0.03%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CHASE FUNDING MTGE LN ASSET BK 2002-3                                            | CHASE FUNDING MORTGAGE LOAN AS CFAB 2002 3 2A1              | CUSIP: 161546DB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      356776 | PA      | $354466.15     | 0.00%             | 2032-08-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                                               | BANCO SANTANDER SA BANCO SANTANDER SA                       | CUSIP: 05964HAY1<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    15800000 | PA      | $16898973.90   | 0.04%             | 2028-11-07      | Fixed         | 6.61%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-A1                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2007 A1 4A2                  | CUSIP: 46630GAN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         443 | PA      | $444.57        | 0.00%             | 2035-07-25      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 514230 FN 09/29 FLOATING VAR                      | CUSIP: 31383VHF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1056 | PA      | $1063.67       | 0.00%             | 2029-09-01      | Floating      | 6.14%                 | No            |                  2 | On Loan: No      |
| NEW YORK MORTGAGE TRUST 2006-1                                                   | NEW YORK MORTGAGE TRUST NYMT 2006 1 2A3                     | CUSIP: 649603AQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1505635 | PA      | $1229705.68    | 0.00%             | 2036-05-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| SW (FINANCE) I PLC                                                               | SW (FINANCE) I PLC SR SECURED REGS 03/27 1.625              | CUSIP: ACI1WPQH7<br>LEI: 549300BHN1HB5BNG2R96 | Long             | DBT              | CORP              | GB        |     1559000 | PA      | $1968210.25    | 0.00%             | 2027-03-30      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 892333 FN 09/36 FIXED 6                           | CUSIP: 31410NLN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       21063 | PA      | $21792.17      | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE                     | CUSIP: 01F0606A8<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -46807891 | PA      | $-47825678.04  | -0.11%            | 2054-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | VOLKSWAGEN INTERNATIONAL FINA SNR SE ICE                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | NL        |           1 | NC      | $45397.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TSY INFL IX N/B 02/44 1.375                                 | CUSIP: 912810RF7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    15939575 | PA      | $13643741.59   | 0.03%             | 2044-02-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AZ6669 FN 02/46 FIXED 4                           | CUSIP: 3138YYMT7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       21177 | PA      | $20371.38      | 0.00%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL AC8717 GN 03/43 FIXED 3.5                         | CUSIP: 36179JVJ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3726 | PA      | $3485.34       | 0.00%             | 2043-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2004-11                                                               | FANNIE MAE FNR 2004 11 A                                    | CUSIP: 31393T7H3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3297 | PA      | $3292.11       | 0.00%             | 2034-03-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 255741 FN 06/35 FIXED 6                           | CUSIP: 31371MBJ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       11427 | PA      | $12023.40      | 0.00%             | 2035-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2006-104                                                              | FANNIE MAE FNR 2006 104 FG                                  | CUSIP: 31396LLV0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1487 | PA      | $1478.61       | 0.00%             | 2036-11-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECURITIES CORPORATION 2006-AM1                                 | STRUCTURED ASSET SECURITIES CO SASC 2006 AM1 A5             | CUSIP: 86359XAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4236772 | PA      | $4202130.68    | 0.01%             | 2036-04-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20251020                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $705401.10     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5107 FN 08/53 FIXED 5.5                         | CUSIP: 31418EU99<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   104016918 | PA      | $105098427.53  | 0.23%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BA6092 FN 01/46 FIXED 4                           | CUSIP: 3140EAXW8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       50323 | PA      | $48477.24      | 0.00%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| HSI ASSET SEC CORP TRUST 2006-HE2                                                | HSI ASSET SECURITIZATION CORPO HASC 2006 HE2 2A2            | CUSIP: 44328BAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      469474 | PA      | $116945.97     | 0.00%             | 2036-12-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TREASURY BILL 11/25 0.00000                                 | CUSIP: 912797NL7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     4646000 | PA      | $4616100.30    | 0.01%             | 2025-11-28      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2017-C41                                   | WELLS FARGO COMMERCIAL MORTGAG WFCM 2017 C41 A4             | CUSIP: 95001ABD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    10070000 | PA      | $9896053.84    | 0.02%             | 2050-11-15      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2007-A1                                              | CHASE MORTGAGE FINANCE CORPORA CHASE 2007 A1 3A1            | CUSIP: 161630AL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       96523 | PA      | $95687.97      | 0.00%             | 2037-02-25      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MB0201 G2 02/55 FIXED 3.5                      | CUSIP: 3618N5GK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    22465201 | PA      | $20511035.07   | 0.05%             | 2055-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 1H2545 FH 11/35 FLOATING VAR              | CUSIP: 3128QLP62<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      153314 | PA      | $156303.00     | 0.00%             | 2035-11-01      | Floating      | 6.58%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOMES 4 RENT LP                                                         | AMERICAN HOMES 4 RENT SR UNSECURED 02/29 4.9                | CUSIP: 02666TAB3<br>LEI: 549300N4PXZ37U8QKI55 | Long             | DBT              | CORP              | US        |    53900000 | PA      | $54870387.03   | 0.12%             | 2029-02-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 781290 FN 06/34 FIXED 5.5                         | CUSIP: 31404W7B6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1568 | PA      | $1604.14       | 0.00%             | 2034-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LIMITED                                                  | AVOLON HOLDINGS FNDG LTD COMPANY GUAR 144A 05/28 6.375      | CUSIP: 05401AAS0<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |     1900000 | PA      | $1982467.18    | 0.00%             | 2028-05-04      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                          | HCA INC COMPANY GUAR 06/29 4.125                            | CUSIP: 404119BX6<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     4500000 | PA      | $4462220.21    | 0.01%             | 2029-06-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3822                                                                 | FREDDIE MAC FHR 3822 ZG                                     | CUSIP: 3137A8KF4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    11320711 | PA      | $11088847.38   | 0.02%             | 2041-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL    | CHARTER COMM OPT LLC/CAP SR SECURED 04/61 3.85              | CUSIP: 161175BY9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     2040000 | PA      | $1272474.07    | 0.00%             | 2061-04-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2004-AR1                                                             | GSAMP TRUST GSAMP 2004 AR1 M2                               | CUSIP: 36228F6Q4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      453191 | PA      | $458677.18     | 0.00%             | 2034-06-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BA6554 FN 11/45 FIXED 4                           | CUSIP: 3140EBH87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       15961 | PA      | $15370.70      | 0.00%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AP4750 FN 08/27 FIXED 3.5                         | CUSIP: 3138M8H48<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2701 | PA      | $2673.18       | 0.00%             | 2027-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LONGLEAF PINE RE LTD                                                             | LONGLEAF PINE RE LTD UNSECURED 144A 05/31 VAR               | CUSIP: 54307MAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |     2600000 | PA      | $2904070.00    | 0.01%             | 2031-05-27      | Floating      | 21.90%                | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                                 | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 06/28 5                 | CUSIP: 694308KW6<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    10200000 | PA      | $10345268.20   | 0.02%             | 2028-06-04      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 735653 FN 10/44 FLOATING VAR                      | CUSIP: 31402RH69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5917 | PA      | $5927.22       | 0.00%             | 2044-10-01      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| NXP BV / NXP FUNDING LLC / NXP USA INC                                           | NXP BV/NXP FDG/NXP USA COMPANY GUAR 05/27 3.15              | CUSIP: 62954HAX6<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |     4100000 | PA      | $4037794.43    | 0.01%             | 2027-05-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-I                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2006 I 5A1              | CUSIP: 05951VAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      772849 | PA      | $664159.02     | 0.00%             | 2046-10-20      | Floating      | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA4041 FN 05/49 FIXED 6                           | CUSIP: 3140QBP36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      871645 | PA      | $910589.68     | 0.00%             | 2049-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QG7551 FR 07/53 FIXED 4.5                 | CUSIP: 3133C8L86<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3264475 | PA      | $3182639.20    | 0.01%             | 2053-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AU5340 FN 06/43 FIXED 3                           | CUSIP: 3138X45A4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        6579 | PA      | $6053.27       | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-A1                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2007 A1 5A6                  | CUSIP: 46630GAW5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       17596 | PA      | $17368.79      | 0.00%             | 2035-07-25      | Floating      | 6.26%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2004-2F                                                  | GSR MORTGAGE LOAN TRUST GSR 2004 2F 7A1                     | CUSIP: 36229RLL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        1445 | PA      | $1433.33       | 0.00%             | 2034-01-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AE1212 FN 12/40 FIXED 4                           | CUSIP: 31419BK20<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      147066 | PA      | $143114.53     | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 745480 FN 04/36 FLOATING VAR                      | CUSIP: 31403DFV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          30 | PA      | $30.52         | 0.00%             | 2036-04-01      | Floating      | 6.92%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TREASURY BILL 10/25 0.00000                                 | CUSIP: 912797QF7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1217000 | PA      | $1214946.82    | 0.00%             | 2025-10-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY1                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY1 4A1            | CUSIP: 92925VAM2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6006553 | PA      | $5412624.42    | 0.01%             | 2037-02-25      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-HYB3                                                 | COUNTRYWIDE HOME LOANS CWHL 2006 HYB3 2AB3                  | CUSIP: 1266944B1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4221112 | PA      | $3839495.17    | 0.01%             | 2036-05-20      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF5251 FR 01/53 FIXED 5.5                 | CUSIP: 3133BSZQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       62392 | PA      | $63223.82      | 0.00%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AR5993 FN 03/43 FIXED 3                           | CUSIP: 3138W3UT8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        7976 | PA      | $7337.23       | 0.00%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 889955 FN 10/38 FIXED VAR                         | CUSIP: 31410KWQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       70193 | PA      | $72847.41      | 0.00%             | 2038-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL HOLDINGS INC                                              | NEXTERA ENERGY CAPITAL COMPANY GUAR 06/30 2.25              | CUSIP: 65339KBR0<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |    42290000 | PA      | $38631118.68   | 0.09%             | 2030-06-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 05/42 3                                     | CUSIP: 912810QW1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    23200000 | PA      | $18829156.19   | 0.04%             | 2042-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES INC/AADVANTAGE LOYALTY IP LTD                                  | AMERICAN AIRLINES/AADVAN SR SECURED 144A 04/29 5.75         | CUSIP: 00253XAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     8000000 | PA      | $8036602.96    | 0.02%             | 2029-04-20      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QG6639 FR 06/53 FIXED 4.5                 | CUSIP: 3133C7LU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      981096 | PA      | $954554.84     | 0.00%             | 2053-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 848585 FN 12/35 FLOATING VAR                      | CUSIP: 31408DXN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       57921 | PA      | $59059.99      | 0.00%             | 2035-12-01      | Floating      | 6.48%                 | No            |                  2 | On Loan: No      |
| BWAY MORTGAGE TRUST 2021-1450                                                    | BWAY MORTGAGE TRUST BWAY 2021 1450 A 144A                   | CUSIP: 12430YAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4740000 | PA      | $4595583.58    | 0.01%             | 2036-09-15      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| WORLDPAY (BOOST NEWCO BORROWER LLC)                                              | GTCR W 2 MERGER SUB LLC SR SECURED 144A 01/31 7.5           | CUSIP: 36268NAA8<br>LEI: 254900S8RE1OL7TTCU64 | Long             | DBT              | CORP              | US        |     1700000 | PA      | $1804786.30    | 0.00%             | 2031-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TR 2004-12                                                    | BEAR STEARNS ALT A TRUST BALTA 2004 12 2A2                  | CUSIP: 07386HPE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1257381 | PA      | $1152295.44    | 0.00%             | 2035-01-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317UAG9A5 PIMCO SWAPTION 2.55 CALL EUR 2025101              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -45300000 | NC      | $-27953.77     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2004-AR8                                            | INDYMAC INDX MORTGAGE LOAN TRU INDX 2004 AR8 2A2A           | CUSIP: 45660N2J3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       17890 | PA      | $16656.32      | 0.00%             | 2034-11-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX1748 FN 12/52 FIXED 4.5                         | CUSIP: 3140N55J9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4450114 | PA      | $4348604.97    | 0.01%             | 2052-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS6704 FR 04/28 FIXED 3.5                 | CUSIP: 3132A7NV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       45393 | PA      | $45044.04      | 0.00%             | 2028-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4093                                                          | FREDDIE MAC FHR 4093 QZ                                     | CUSIP: 3137ASTB0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    17266408 | PA      | $16382453.99   | 0.04%             | 2042-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2002-89                                                        | FANNIE MAE FNR 2002 89 F                                    | CUSIP: 31392GNP6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      152974 | PA      | $152297.11     | 0.00%             | 2033-01-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC4050 FN 04/46 FIXED 4                           | CUSIP: 3140EYQC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       11006 | PA      | $10587.90      | 0.00%             | 2046-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 850985 FN 02/36 FIXED 5.5                         | CUSIP: 31408GNA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       62624 | PA      | $64994.57      | 0.00%             | 2036-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| IMC HOME EQ LN TR 1996-2                                                         | IMC HOME EQUITY LOAN TRUST IMCHE 1996 2 A8                  | CUSIP: 449670BC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        1362 | PA      | $1358.57       | 0.00%             | 2026-07-25      | Variable      | 5.69%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTGE LN 2005-18                                         | STRUCTURED ADJUSTABLE RATE MOR SARM 2005 18 6A1             | CUSIP: 863579XK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      234699 | PA      | $210761.65     | 0.00%             | 2035-09-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 914868 FN 04/37 FIXED 6                           | CUSIP: 31411UMR9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         505 | PA      | $526.54        | 0.00%             | 2037-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ING GROEP NV                                                                     | ING GROEP NV SR UNSECURED 03/31 VAR                         | CUSIP: 456837BR3<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |     2000000 | PA      | $2049305.62    | 0.00%             | 2031-03-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ9325 FN 02/48 FIXED 3                           | CUSIP: 3140HBLF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       43099 | PA      | $39333.02      | 0.00%             | 2048-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL C01095 FG 11/30 FIXED 7                   | CUSIP: 31292HGC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         156 | PA      | $163.14        | 0.00%             | 2030-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AW8957 FN 07/29 FIXED 3.5                         | CUSIP: 3138XY5T7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       32466 | PA      | $32141.40      | 0.00%             | 2029-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA7882 G2 02/52 FIXED 3                        | CUSIP: 36179WXK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2736747 | PA      | $2446747.49    | 0.01%             | 2052-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-12                                            | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 12 2A1 144A        | CUSIP: 17307GY69<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      184173 | PA      | $179418.78     | 0.00%             | 2035-08-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 4.5 SINGLE FAMILY MORTGAGE                   | CUSIP: 01F0426A6<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -246778000 | PA      | $-239397417.87 | -0.53%            | 2055-10-14      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AZ4788 FN 10/45 FIXED 4                           | CUSIP: 3138YWKA4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       23478 | PA      | $22616.69      | 0.00%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2005-HE3                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 HE3 M3             | CUSIP: 17307GWT1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      891856 | PA      | $889137.95     | 0.00%             | 2035-09-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS0795 FN 10/43 FIXED 4                           | CUSIP: 3138W93D0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       85657 | PA      | $83248.67      | 0.00%             | 2043-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE TRUST-2004-11AR                                          | MORGAN STANLEY MORTGAGE LOAN T MSM 2004 11AR 1A1            | CUSIP: 61748HGR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      666035 | PA      | $634206.24     | 0.00%             | 2035-01-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AD5093 FN 10/25 FIXED 3.5                         | CUSIP: 31418SUT4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |           6 | PA      | $5.62          | 0.00%             | 2025-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NELNET STUDENT LOAN TRUST 2025-CA                                                | NELNET STUDENT LOAN TRUST NSLT 2025 CA A1B 144A             | CUSIP: 64035UAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    27700000 | PA      | $27739541.75   | 0.06%             | 2065-06-22      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 887271 FN 07/36 FIXED 6                           | CUSIP: 31410EW87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       80984 | PA      | $83503.71      | 0.00%             | 2036-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | STRIPS 05/41 0.00000                                        | CUSIP: 912834KH0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    25400000 | PA      | $12117334.67   | 0.03%             | 2041-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AT0682 FN 04/43 FIXED 3                           | CUSIP: 3138WMXL0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       43412 | PA      | $39932.52      | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOEING CO/THE SNR S* ICE                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $47315.97      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BERRY GLOBAL INC                                                                 | BERRY GLOBAL INC SR SECURED 01/26 1.57                      | CUSIP: 08576PAH4<br>LEI: 549300AP2Q7ERHX6RI89 | Long             | DBT              | CORP              | US        |     8809000 | PA      | $8733955.95    | 0.02%             | 2026-01-15      | Fixed         | 1.57%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2025-16                                                        | FANNIE MAE FNR 2025 16 FN                                   | CUSIP: 3136BU6A3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     9483472 | PA      | $9522845.61    | 0.02%             | 2055-01-25      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 535332 FN 04/30 FIXED VAR                         | CUSIP: 31384VVZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5008 | PA      | $5236.62       | 0.00%             | 2030-04-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| ROMARK CLO IV LTD 2021-4A                                                        | ROMARK CLO LTD RMRK 2021 4A A1R 144A                        | CUSIP: 77588LAN1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    11300000 | PA      | $11300000.00   | 0.02%             | 2034-07-10      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 840584 FN 09/35 FLOATING VAR                      | CUSIP: 31407T2R0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      177859 | PA      | $181894.85     | 0.00%             | 2035-09-01      | Floating      | 6.34%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 190445 FN 03/55 FIXED VAR                         | CUSIP: 31368HP64<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    32996719 | PA      | $34127847.65   | 0.08%             | 2055-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BP5348 FN 05/50 FIXED 3                           | CUSIP: 3140KC5J7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      531032 | PA      | $472155.88     | 0.00%             | 2050-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AY3873 FN 08/45 FIXED 4                           | CUSIP: 3138YHJT8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       13319 | PA      | $12882.84      | 0.00%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL CQ5478 G2 02/47 FIXED 3                        | CUSIP: 3618A8CP0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1441464 | PA      | $1282835.16    | 0.00%             | 2047-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PERFORMER FUNDING 1 PLC 1A                                                       | PERFORMER FUNDING PERFF 1A Z 144A                           | CUSIP: ACI2M18R7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | GB        |    20600000 | PA      | $11875773.25   | 0.03%             | 2035-06-21      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZK2983 FR 02/26 FIXED 4                   | CUSIP: 3131X6J43<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          77 | PA      | $76.89         | 0.00%             | 2026-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALT LOAN TRUST 2006-33CB                                             | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 33CB 2A1          | CUSIP: 02148BAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       41749 | PA      | $21304.96      | 0.00%             | 2036-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $241352.08     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20251112                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $632692.58     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 892902 FN 08/36 FIXED 6                           | CUSIP: 31410PAB9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       12288 | PA      | $12860.58      | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                     | ROMANIA SR UNSECURED REGS 01/32 2                           | CUSIP: ACI1J8690<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    33500000 | PA      | $32637005.84   | 0.07%             | 2032-01-28      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-3                                            | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 3 2A4             | CUSIP: 68402BAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1895160 | PA      | $930066.44     | 0.00%             | 2037-04-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 745000 FN 10/35 FIXED VAR                         | CUSIP: 31403CUZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       63217 | PA      | $66568.45      | 0.00%             | 2035-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SANDERS RE III LTD                                                               | SANDERS RE III LTD UNSECURED 144A 04/29 VAR                 | CUSIP: 80000XAC3<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    17400000 | PA      | $10875000.00   | 0.02%             | 2029-04-09      | Floating      | 16.28%                | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 723258 FN 07/32 FIXED 6.5                         | CUSIP: 31402AQK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         728 | PA      | $751.92        | 0.00%             | 2032-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8373 FR 11/53 FIXED 6                   | CUSIP: 3132DWJS3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      119146 | PA      | $122154.17     | 0.00%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MMIFS RE LTD                                                                     | MMIFS RE LTD SECURED 144A 01/33 VAR                         | CUSIP: ACI2T3G55<br>LEI: 254900C86PCL10JRTQ88 | Long             | DBT              | CORP              | BM        |     1000000 | PA      | $722641.37     | 0.00%             | 2033-01-10      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2023-2A                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2023 2A A2 144A         | CUSIP: 210927AB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    44480000 | PA      | $46204382.85   | 0.10%             | 2053-11-25      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT GBP SOLD USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $-24958.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 872277 FN 05/36 FIXED 6                           | CUSIP: 31409JCN8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         201 | PA      | $207.69        | 0.00%             | 2036-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 870962 FN 11/36 FIXED 6                           | CUSIP: 31409GTT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       60091 | PA      | $63355.60      | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                            | WELLS FARGO + COMPANY SR UNSECURED 07/29 VAR                | CUSIP: 95000U3E1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    48317000 | PA      | $50084075.42   | 0.11%             | 2029-07-25      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZK2813 FR 12/25 FIXED 3.5                 | CUSIP: 3131X6DS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4540 | PA      | $4524.46       | 0.00%             | 2025-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL3681 FN 10/40 FIXED VAR                         | CUSIP: 3138ELCT8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     6074075 | PA      | $6404291.29    | 0.01%             | 2040-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BU4594 FN 05/54 FIXED 5.5                         | CUSIP: 3140M6C84<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5900049 | PA      | $5960184.45    | 0.01%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20251027                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $-31555.90     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2024-LB1                              | BANC OF AMERICA MERRILL LYNCH BAMLL 2024 LB1 AE 144A        | CUSIP: 05494AAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   260761413 | PA      | $256055621.11  | 0.56%             | 2056-05-25      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| CVC CORDATUS LOAN FUND XI DAC 21-1                                               | CORDATUS CLO PLC CORDA 11A AR 144A                          | CUSIP: ACI1W60L8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    21412623 | PA      | $25139504.15   | 0.06%             | 2031-10-15      | Floating      | 2.68%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20251015                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-122529.17    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 744521 FN 09/33 FIXED 5                           | CUSIP: 31403CD24<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       12153 | PA      | $12101.97      | 0.00%             | 2033-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| EMPIRE STATE DEVELOPMENT CORPORATION                                             | NEW YORK ST URBAN DEV CORP REV NYSDEV 03/29 FIXED 1.827     | CUSIP: 650036AX4<br>LEI: 54930039Y2EMGXN6LM88 | Long             | DBT              | MUN               | US        |      800000 | PA      | $748853.92     | 0.00%             | 2029-03-15      | Fixed         | 1.83%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJ RATE MTG LN 2006-7                                                | STRUCTURED ADJUSTABLE RATE MOR SARM 2006 7 3AF              | CUSIP: 86361BAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2040483 | PA      | $1617257.80    | 0.00%             | 2036-08-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G30376 FG 12/27 FIXED 6                   | CUSIP: 3128CUMZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1421 | PA      | $1453.21       | 0.00%             | 2027-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD IDR BOUGHT USD 20251015                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $3805.39       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 02/50 2                                     | CUSIP: 912810SL3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   230544300 | PA      | $137916824.39  | 0.30%             | 2050-02-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AZ9244 FN 10/45 FIXED 4                           | CUSIP: 3140E2HW4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4958 | PA      | $4804.72       | 0.00%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL CR3087 G2 09/46 FIXED 3                        | CUSIP: 3618AHNC7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      559943 | PA      | $500175.82     | 0.00%             | 2046-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| THAMES WATER UTILITIES LIMITED                                                   | THAMES WATER UTIL LTD SR SECURED 144A 03/27 0.00000         | CUSIP: ACI2VX3Q4<br>LEI: 213800JKM5UQHFJOTZ25 | Long             | DBT              | CORP              | GB        |      274769 | PA      | $319651.60     | 0.00%             | 2027-03-22      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECURITIES CORP 2006-ZA                                         | STRUCTURED ASSET SECURITIES CO SASC 2006 ZA A2 144A         | CUSIP: 86362GAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2115178 | PA      | $1190024.40    | 0.00%             | 2037-01-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS6883 FR 12/28 FIXED 3.5                 | CUSIP: 3132A7UG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       32336 | PA      | $32075.16      | 0.00%             | 2028-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2137                                                                 | FREDDIE MAC FHR 2137 TZ                                     | CUSIP: 3133TJRX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      171948 | PA      | $174690.57     | 0.00%             | 2029-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RB5012 FR 10/39 FIXED 3.5                 | CUSIP: 3133KYR92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       41935 | PA      | $40249.85      | 0.00%             | 2039-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA0494 FN 08/30 FIXED 5                           | CUSIP: 31417YRQ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       69779 | PA      | $71013.04      | 0.00%             | 2030-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZT1799 FR 03/34 FIXED 3.5                 | CUSIP: 3132AD7L6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       77099 | PA      | $76023.19      | 0.00%             | 2034-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE5                                            | MORGAN STANLEY CAPITAL INC MSAC 2007 HE5 A2D                | CUSIP: 61753KAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2727631 | PA      | $1161199.04    | 0.00%             | 2037-03-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080152 G2 01/28 FLOATING VAR                   | CUSIP: 36225CE28<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       57792 | PA      | $57816.84      | 0.00%             | 2028-01-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2022-GR2                                     | GS MORTGAGE BACKED SECURITIES GSMBS 2022 GR2 A2 144A        | CUSIP: 36267BAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   156048394 | PA      | $135033715.30  | 0.30%             | 2052-08-26      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FS0111 FN 02/30 FIXED VAR                         | CUSIP: 3140XFDR9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      134385 | PA      | $133178.43     | 0.00%             | 2030-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FORESEA HOLDING SA                                                               | DRILLCO HLDG LUX S A COMMON STOCK                           | CUSIP: 000000000<br>LEI: 254900BAD50AKYGIMV79 | Long             | EC               | CORP              | LU        |     1044998 | NS      | $22641623.68   | 0.05%             |  |  |  | No            |                  3 | On Loan: No      |
| FHLMC STRUCTURED PASS THROUGH SEC T-63                                           | FHLMC STRUCTURED PASS THROUGH FSPC T 63 1A1                 | CUSIP: 31395M2F5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3505487 | PA      | $3402130.44    | 0.01%             | 2045-02-25      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTGE LN 2006-10                                         | STRUCTURED ADJUSTABLE RATE MOR SARM 2006 10 2A1             | CUSIP: 86361QAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1391547 | PA      | $1062347.85    | 0.00%             | 2036-11-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G02461 FG 11/36 FIXED 6.5                 | CUSIP: 3128M4B69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         341 | PA      | $361.24        | 0.00%             | 2036-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AV1820 FN 12/28 FIXED 3.5                         | CUSIP: 3138XDAW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        9435 | PA      | $9366.77       | 0.00%             | 2028-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 930965 FN 04/39 FIXED 5.5                         | CUSIP: 31412PJJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      259446 | PA      | $268136.51     | 0.00%             | 2039-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2023-4A                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2023 4A B 144A          | CUSIP: 21056DAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     3535925 | PA      | $3666055.87    | 0.01%             | 2053-11-25      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZK8746 FR 05/32 FIXED 3.5                 | CUSIP: 3131XCWF0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      384636 | PA      | $380205.88     | 0.00%             | 2032-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS5943 FN 10/45 FIXED 4                           | CUSIP: 3138WFS98<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1525571 | PA      | $1468193.42    | 0.00%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 929413 FN 05/38 FIXED 5.5                         | CUSIP: 31412MSA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         147 | PA      | $152.04        | 0.00%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FIRST NLC TRUST 2007-1                                                           | FIRST NLC TRUST FNLC 2007 1 A2 144A                         | CUSIP: 32115BAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2219288 | PA      | $1119269.12    | 0.00%             | 2037-08-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 928220 FN 04/37 FIXED 6.5                         | CUSIP: 31412LG53<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      223997 | PA      | $236311.80     | 0.00%             | 2037-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2009-106                                                              | FANNIE MAE FNR 2009 106 SN                                  | CUSIP: 31398GUS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       40088 | PA      | $2872.87       | 0.00%             | 2040-01-25      | Floating      | 1.78%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QG3235 FR 04/53 FIXED 4.5                 | CUSIP: 3133C3SY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3630754 | PA      | $3554441.64    | 0.01%             | 2053-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2006-116                                                              | FANNIE MAE FNR 2006 116 S                                   | CUSIP: 31396LZE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       21317 | PA      | $2138.22       | 0.00%             | 2036-12-25      | Floating      | 2.13%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 831547 FN 05/36 FIXED 6                           | CUSIP: 31407HZL3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         468 | PA      | $488.12        | 0.00%             | 2036-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WABTEC CORP (AKA: WESTINGHOUSE AIR BRAKE TECHNOLOGIES CORP)                      | WESTINGHOUSE AIR BRAKE COMPANY GUAR 09/28 4.7               | CUSIP: 960386AM2<br>LEI: 06BTX5UWZD0GQ5N5Y745 | Long             | DBT              | CORP              | US        |     6100000 | PA      | $6186427.30    | 0.01%             | 2028-09-15      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 889579 FN 05/38 FIXED VAR                         | CUSIP: 31410KJY1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       46103 | PA      | $48608.72      | 0.00%             | 2038-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR16                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR16 1A3           | CUSIP: 92922F6Y9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3322240 | PA      | $3055587.43    | 0.01%             | 2035-12-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2004-SEA2                                                            | GSAMP TRUST GSAMP 2004 SEA2 M2                              | CUSIP: 36228F6A9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1689890 | PA      | $1427014.54    | 0.00%             | 2034-03-25      | Floating      | 6.15%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA0384 FN 04/30 FIXED 5                           | CUSIP: 31417YNA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       32130 | PA      | $32530.43      | 0.00%             | 2030-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BSREP COMMERCIAL MORTGAGE TRUST 2021-DC                                          | BSREP COMMERCIAL MORTGAGE TRUS BSREP 2021 DC A 144A         | CUSIP: 05591UAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4852824 | PA      | $4616734.81    | 0.01%             | 2038-08-15      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2007-S2                                              | CHASE MORTGAGE FINANCE CORPORA CHASE 2007 S2 2A1            | CUSIP: 16163EAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       19581 | PA      | $1201.00       | 0.00%             | 2037-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT JPY SOLD USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $35396.89      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-43                                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 43 2A1            | CUSIP: 12667G5V1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       58574 | PA      | $46513.99      | 0.00%             | 2035-10-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| POLESTAR RE LTD                                                                  | POLESTAR RE LTD UNSECURED 144A 01/28 VAR                    | CUSIP: 73110JAC6<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |     2200000 | PA      | $2281400.00    | 0.01%             | 2028-01-07      | Floating      | 14.43%                | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AW0619 FN 05/44 FIXED 4.5                         | CUSIP: 3138XPVM2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       91126 | PA      | $89234.06      | 0.00%             | 2044-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVESTMENT LOAN TRUST 2004-11 2004-11                           | STRUCTURED ASSET INVESTMENT LO SAIL 2004 11 M3              | CUSIP: 86358EPS9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3957397 | PA      | $3468479.55    | 0.01%             | 2035-01-25      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL C62541 FG 01/32 FIXED 7                   | CUSIP: 31287MZE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       12268 | PA      | $12828.41      | 0.00%             | 2032-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-862472.93    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES TRUST 2017-FARM                                           | GS MORTGAGE SECURITIES TRUST GSMS 2017 FARM A 144A          | CUSIP: 36254XAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1550000 | PA      | $1468616.79    | 0.00%             | 2043-01-10      | Variable      | 3.66%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $471108.84     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 897484 FN 11/36 FIXED 6                           | CUSIP: 31410UCV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       14044 | PA      | $14479.27      | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR GBP SONIO/4.50000 09/17/25-30Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |           1 | NC      | $35608.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL AM0247 GN 03/45 FIXED 3.5                         | CUSIP: 36184KHY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       10370 | PA      | $9699.58       | 0.00%             | 2045-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2248                                                                 | FREDDIE MAC FHR 2248 FB                                     | CUSIP: 3133TPV48<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3916 | PA      | $3908.40       | 0.00%             | 2030-09-15      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| BRAZIL GOVT                                                                      | FED REPUBLIC OF BRAZIL SR UNSECURED 03/34 6.125             | CUSIP: 105756CH1<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |    15700000 | PA      | $16084650.00   | 0.04%             | 2034-03-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-17                                                   | COUNTRYWIDE HOME LOANS CWHL 2006 17 A6                      | CUSIP: 17025AAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       83463 | PA      | $36544.31      | 0.00%             | 2036-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY PENNSYLVANIA ELECTRIC CO                                             | FIRSTENERGY PENN ELECTRI SR UNSECURED 144A 03/28 3.25       | CUSIP: 708696BY4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      600000 | PA      | $586021.74     | 0.00%             | 2028-03-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 470013 GN 02/29 FIXED 7                           | CUSIP: 36209FDS5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          99 | PA      | $98.99         | 0.00%             | 2029-02-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2018-RPL2                                            | LEGACY MORTGAGE ASSET TRUST LMAT 2018 RPL2 PT 144A          | CUSIP: 52474EAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    76756257 | PA      | $73298142.35   | 0.16%             | 2057-07-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| AVIATION CAPITAL GROUP LLC                                                       | AVIATION CAPITAL GROUP SR UNSECURED 144A 11/27 3.5          | CUSIP: 05369AAA9<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |     1000000 | PA      | $982759.59     | 0.00%             | 2027-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AT7726 FN 06/43 FIXED 3                           | CUSIP: 3138WVSQ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      331923 | PA      | $305006.84     | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| OAK HILL EUROPEAN CREDIT PARTNERS VII DAC 18-7A                                  | OAK HILL EUROPEAN CREDIT PARTN OHECP 2018 7A AR 144A        | CUSIP: ACI1WXMN1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    20692759 | PA      | $24296478.17   | 0.05%             | 2031-10-20      | Floating      | 2.76%                 | No            |                  2 | On Loan: No      |
| BELLA VISTA MORTGAGE TRUST 2005-2                                                | BELLA VISTA MORTGAGE TRUST BVMBS 2005 2 2A1                 | CUSIP: 07820QCD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        6325 | PA      | $4053.92       | 0.00%             | 2045-05-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| MARS INCORPORATED                                                                | MARS INC SR UNSECURED 144A 03/27 4.45                       | CUSIP: 571676AW5<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |    15100000 | PA      | $15215023.19   | 0.03%             | 2027-03-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL FUNDING MTG SEC I 2006-S5                                            | RESIDENTIAL FUNDING MTG SEC I RFMSI 2006 S5 A13             | CUSIP: 74957EAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      424208 | PA      | $326206.51     | 0.00%             | 2036-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HESTIA RE LTD                                                                    | HESTIA RE LTD UNSECURED 144A 03/32 VAR                      | CUSIP: 42815KAD4<br>LEI: 549300QRKQ1ZKOXEMZ38 | Long             | DBT              | CORP              | BM        |      400000 | PA      | $415420.00     | 0.00%             | 2032-03-13      | Floating      | 12.21%                | No            |                  2 | On Loan: No      |
| WELLS FARGO ALTERNATIVE LOAN 2007-PA4                                            | WELLS FARGO ALTERNATIVE LOAN T WFALT 2007 PA4 2A1           | CUSIP: 94984UAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      410855 | PA      | $382245.70     | 0.00%             | 2037-07-25      | Floating      | 6.44%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 253397 FN 08/30 FIXED 7.5                         | CUSIP: 31371JNN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         239 | PA      | $245.75        | 0.00%             | 2030-08-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AJ6943 FN 11/26 FIXED 3.5                         | CUSIP: 3138AYWD7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1215 | PA      | $1207.99       | 0.00%             | 2026-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BV1231 FN 03/52 FIXED 3                           | CUSIP: 3140MELM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      310446 | PA      | $273435.42     | 0.00%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-482661.22    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ZAR BOUGHT USD 20251120                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $-34479.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2259                                                                 | FREDDIE MAC FHR 2259 ZM                                     | CUSIP: 3133TQC54<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       66424 | PA      | $68677.14      | 0.00%             | 2030-10-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BV9613 FN 04/52 FIXED 3                           | CUSIP: 3140MPVF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3728644 | PA      | $3297750.31    | 0.01%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2024-B                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2024 B B 144A            | CUSIP: 78450CAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2679384 | PA      | $2758334.20    | 0.01%             | 2052-03-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL A41774 FG 01/36 FIXED 6.5                 | CUSIP: 3128K16K2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       19041 | PA      | $19978.92      | 0.00%             | 2036-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| TORO EUROPEAN CLO 6 DAC 6A                                                       | TORO EUROPEAN CLO TCLO 6A AR 144A                           | CUSIP: ACI1ZW9V7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     9637007 | PA      | $11327361.52   | 0.02%             | 2032-01-12      | Floating      | 2.92%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20251022                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $4705.57       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 901087 FN 08/36 FIXED 6.5                         | CUSIP: 31410YCY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      169112 | PA      | $178710.09     | 0.00%             | 2036-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM4749 FN 07/35 FIXED VAR                         | CUSIP: 3140X8H34<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2490138 | PA      | $2451896.79    | 0.01%             | 2035-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 357944 FN 09/35 FIXED 6                           | CUSIP: 31376KS98<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       16393 | PA      | $17178.26      | 0.00%             | 2035-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| TORREY PINES RE LTD                                                              | TORREY PINES RE LTD UNSECURED 144A 06/32 VAR                | CUSIP: 89141WAJ1<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |     1300000 | PA      | $1353625.00    | 0.00%             | 2032-06-07      | Floating      | 11.07%                | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CAD BOUGHT USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |           1 | NC      | $156785.17     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2018-RP2                                           | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2018 RP2 AIO2 144A      | CUSIP: 17326UAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    15281860 | PA      | $226163.88     | 0.00%             | 2058-02-25      | Variable      | 0.45%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH9036 FN 11/47 FIXED 4                           | CUSIP: 3140GYBE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2095463 | PA      | $2015003.21    | 0.00%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                     | ROMANIA ROMANIA                                             | CUSIP: ACI2P7GW1<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    29200000 | PA      | $32819111.67   | 0.07%             | 2037-05-30      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| RIPON INVESTMENTS FINANCING LIMITED                                              | RIPON INVESTMENTS FINANCING RIPON PPN PROXY                 | CUSIP: 945ZEJII7<br>LEI: 635400QTU39PPCOAU759 | Long             | DBT              | CORP              | GB        |      145021 | PA      | $195038.09     | 0.00%             | 2025-11-28      | Variable      | 0.00%                 | Yes           |                  3 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA8425 G2 11/52 FIXED 3.5                      | CUSIP: 36179XLE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    83771987 | PA      | $76718601.75   | 0.17%             | 2052-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC6338 FN 04/46 FIXED 4                           | CUSIP: 3140F2BG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       25462 | PA      | $24399.11      | 0.00%             | 2046-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL9381 FN 06/30 FIXED VAR                         | CUSIP: 3138ERM72<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2378560 | PA      | $2336022.84    | 0.01%             | 2030-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB6241 FN 05/53 FIXED 4.5                         | CUSIP: 3140QR5B5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1779115 | PA      | $1736411.20    | 0.00%             | 2053-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS7559 FN 07/46 FIXED 4                           | CUSIP: 3138WHMH2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      105377 | PA      | $101599.78     | 0.00%             | 2046-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR2                                                 | GSR MORTGAGE LOAN TRUST GSR 2005 AR2 1A2                    | CUSIP: 36242DH55<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       62679 | PA      | $54873.42      | 0.00%             | 2035-04-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2020-1                                                 | TOWD POINT MORTGAGE TRUST TPMT 2020 1 A1 144A               | CUSIP: 89178WAU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      708881 | PA      | $685154.13     | 0.00%             | 2060-01-25      | Variable      | 2.71%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QI8204 FR 06/54 FIXED 5.5                 | CUSIP: 3133WFDH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3347027 | PA      | $3384590.35    | 0.01%             | 2054-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AV0462 FN 11/28 FIXED 3.5                         | CUSIP: 3138XBQQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      154995 | PA      | $153172.45     | 0.00%             | 2028-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 004855 G2 11/40 FIXED 5                        | CUSIP: 36202FMC7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       56356 | PA      | $57845.15      | 0.00%             | 2040-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 434666 GN 01/30 FIXED 8                           | CUSIP: 36207KZ78<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         512 | PA      | $514.89        | 0.00%             | 2030-01-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                                                              | GLOBAL PAYMENTS INC SR UNSECURED 03/26 1.2                  | CUSIP: 37940XAE2<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |     9000000 | PA      | $8882273.16    | 0.02%             | 2026-03-01      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| ARMOR RE II LTD                                                                  | ARMOR RE II LTD UNSECURED 144A 01/32 VAR                    | CUSIP: 04227FAF2<br>LEI: 549300X573KDIHEJL317 | Long             | DBT              | CORP              | BM        |      600000 | PA      | $639900.00     | 0.00%             | 2032-01-07      | Floating      | 12.43%                | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL BK5519 GN 04/49 FIXED 4                           | CUSIP: 3617J6DY7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      427300 | PA      | $405804.61     | 0.00%             | 2049-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                                 | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 08/40 3.3               | CUSIP: 694308JH1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    10719000 | PA      | $8129592.09    | 0.02%             | 2040-08-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL1799 FN 04/27 FIXED VAR                         | CUSIP: 3138EH7M8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       14927 | PA      | $14835.63      | 0.00%             | 2027-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLINES 2015-1 CLASS AA PASS THROUGH TRUST                               | UNITED AIR 2015 1 AA PTT PASS THRU CE 06/29 3.45            | CUSIP: 90932LAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     3512071 | PA      | $3443952.37    | 0.01%             | 2029-06-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT EUR SOLD USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $183606.03     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2279 FN 05/45 FIXED 4                           | CUSIP: 31418BQ90<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       41981 | PA      | $40441.55      | 0.00%             | 2045-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AH1519 FN 12/25 FIXED 3.5                         | CUSIP: 3138A2VM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1442 | PA      | $1436.79       | 0.00%             | 2025-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 885273 FN 06/36 FIXED 6                           | CUSIP: 31410CQ21<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       11876 | PA      | $12305.80      | 0.00%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NEW YORK ST ELECTRIC & GAS CORP                                                  | NY STATE ELECTRIC + GAS SR UNSECURED 144A 10/30 1.95        | CUSIP: 649840CS2<br>LEI: 549300GEC6J0YHUXA160 | Long             | DBT              | CORP              | US        |    18300000 | PA      | $15895406.90   | 0.04%             | 2030-10-01      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| BOSTON GAS COMPANY                                                               | BOSTON GAS COMPANY SR UNSECURED 144A 08/27 3.15             | CUSIP: 100743AK9<br>LEI: FN7P4E7K9JOBORDEUX61 | Long             | DBT              | CORP              | US        |     2900000 | PA      | $2847989.98    | 0.01%             | 2027-08-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2808 FN 11/46 FIXED 4                           | CUSIP: 31418CDN1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       82901 | PA      | $79748.09      | 0.00%             | 2046-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 828105 FN 07/35 FIXED 6                           | CUSIP: 31407EAE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3598 | PA      | $3675.86       | 0.00%             | 2035-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S                                                                  | DANSKE BANK A/S 144A 04/28 VAR                              | CUSIP: 23636ABC4<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |    18900000 | PA      | $18922102.98   | 0.04%             | 2028-04-01      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 818063 FN 06/37 FIXED 6                           | CUSIP: 31406RZ40<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       20394 | PA      | $21024.13      | 0.00%             | 2037-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 870946 FN 11/36 FIXED 6                           | CUSIP: 31409GTB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2041 | PA      | $2084.48       | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AJ4091 FN 10/26 FIXED 3.5                         | CUSIP: 3138AVRM9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       15209 | PA      | $15125.12      | 0.00%             | 2026-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2008-R2                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2008 R2 1A1 144A             | CUSIP: 46632TAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3072473 | PA      | $2885136.21    | 0.01%             | 2037-07-27      | Floating      | 4.06%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 398596 GN 04/26 FIXED 6.5                         | CUSIP: 36205RXZ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          27 | PA      | $27.31         | 0.00%             | 2026-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 545382 FN 11/28 FIXED VAR                         | CUSIP: 31385H2P6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         245 | PA      | $245.42        | 0.00%             | 2028-11-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SECURITIES INC 2006-AR3                                           | DEUTSCHE ALT A SECURITIES INC DBALT 2006 AR3 A2             | CUSIP: 25151AAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1477815 | PA      | $1352763.63    | 0.00%             | 2036-08-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 903779 FN 11/36 FIXED 6                           | CUSIP: 31411CCQ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       22853 | PA      | $23635.21      | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COBANK ACB (AKA: COBANK AB)                                                      | COBANK ACB JR SUBORDINA 12/99 VAR                           | CUSIP: 19075QAD4<br>LEI: P0J8I7M2E0A77CKF1705 | Long             | EP               | NUSS              | US        |     5200000 | NS      | $5061160.00    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THRU SEC T-59                                              | FHLMC STRUCTURED PASS THROUGH FSPC T 59 1A1                 | CUSIP: 31394PPQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2578187 | PA      | $2654368.61    | 0.01%             | 2043-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 918293 FN 05/37 FIXED 6                           | CUSIP: 31411YGA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        9593 | PA      | $9945.90       | 0.00%             | 2037-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SECURITIES, INC. 2006-AB4                                         | DEUTSCHE ALT A SECURITIES INC DBALT 2006 AB4 A6A2           | CUSIP: 251513BD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      344594 | PA      | $301194.65     | 0.00%             | 2036-10-25      | Variable      | 6.39%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BA2026 FN 11/45 FIXED 4                           | CUSIP: 3140E6HC9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      456341 | PA      | $438657.21     | 0.00%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.50000 06/20/24-30Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $102118314.63  | 0.23%             |  |  |  | No            |                  2 | On Loan: No      |
| HOST HOTELS & RESORTS LP                                                         | HOST HOTELS + RESORTS LP SR UNSECURED 09/30 3.5             | CUSIP: 44107TAZ9<br>LEI: FXB7X4WXVA8QPMNOGS12 | Long             | DBT              | CORP              | US        |     2800000 | PA      | $2630008.39    | 0.01%             | 2030-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL2299 FN 04/27 FIXED VAR                         | CUSIP: 3138EJRV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       71490 | PA      | $71054.73      | 0.00%             | 2027-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BENCHMARK MORTGAGE TRUST  2022-B33                                               | BENCHMARK MORTGAGE TRUST BMARK 2022 B33 A5                  | CUSIP: 08163PBG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    34330000 | PA      | $31818163.16   | 0.07%             | 2055-03-15      | Fixed         | 3.46%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 892397 G2 02/60 FLOATING VAR                   | CUSIP: 36208A7J4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1013031 | PA      | $1020464.54    | 0.00%             | 2060-02-20      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                                                         | WARNERMEDIA HOLDINGS INC COMPANY GUAR 03/27 3.755           | CUSIP: 55903VBL6<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |      222000 | PA      | $219142.86     | 0.00%             | 2027-03-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2006-24CB                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 24CB A13          | CUSIP: 02146TAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      923937 | PA      | $361061.86     | 0.00%             | 2036-08-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | US 10YR FUT OPTN  NOV25P 111.5 EXP 10/24/2025               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -2159 | NC      | $-438546.88    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 481648 GN 09/29 FIXED 7                           | CUSIP: 36209UBR6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         645 | PA      | $649.41        | 0.00%             | 2029-09-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL AJ1835 GN 09/44 FIXED 3.5                         | CUSIP: 36182WBC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       60003 | PA      | $56123.09      | 0.00%             | 2044-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 819277 FN 07/35 FIXED 5.5                         | CUSIP: 31406TFS5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3276 | PA      | $3305.55       | 0.00%             | 2035-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL2877 FN 01/28 FIXED VAR                         | CUSIP: 3138EKFT7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       16878 | PA      | $16764.89      | 0.00%             | 2028-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 839090 FN 10/35 FIXED 6                           | CUSIP: 31407SF72<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        8699 | PA      | $9014.01       | 0.00%             | 2035-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| VENTURE XXVIII CLO LTD 2017-28A                                                  | VENTURE CDO LTD VENTR 2017 28A A1R 144A                     | CUSIP: 92331AAU8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1340727 | PA      | $1341449.35    | 0.00%             | 2030-07-20      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | PERU LA SP BOA                                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $173726.93     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-7T2                                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 7T2 A8            | CUSIP: 02147BAH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1448635 | PA      | $593437.05     | 0.00%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2005-7                                             | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2005 7 4A1              | CUSIP: 007036MX1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      226133 | PA      | $210656.85     | 0.00%             | 2035-10-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 903816 FN 12/36 FIXED 6                           | CUSIP: 31411CDV0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         840 | PA      | $886.14        | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2007-A1                                              | CHASE MORTGAGE FINANCE CORPORA CHASE 2007 A1 2A1            | CUSIP: 161630AG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        3175 | PA      | $3072.25       | 0.00%             | 2037-02-25      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS8716 FR 09/33 FIXED 3.5                 | CUSIP: 3132A9VH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      123856 | PA      | $122219.19     | 0.00%             | 2033-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LCM 30 LTD                                                                       | LCM LTD PARTNERSHIP LCM 30A AR 144A                         | CUSIP: 50200YAQ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     8351765 | PA      | $8366380.70    | 0.02%             | 2031-04-20      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/1.75000 12/21/22-30Y CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $241104177.70  | 0.53%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC0298 FN 03/46 FIXED 4                           | CUSIP: 3140EUKL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       30219 | PA      | $29073.48      | 0.00%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                     | UBS GROUP AG SR UNSECURED 144A 05/28 4.751                  | CUSIP: 902613AP3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     2800000 | PA      | $2824582.04    | 0.01%             | 2028-05-12      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 008747 G2 11/25 FLOATING VAR                   | CUSIP: 36202KWG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         691 | PA      | $690.09        | 0.00%             | 2025-11-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| ARBOR REALTY COLLATERALIZED LOAN OBLIGATION LTD 2022-FL1                         | ARBOR REALTY COLLATERALIZED LO ARCLO 2022 FL1 A 144A        | CUSIP: 03880XAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    63515031 | PA      | $63641688.04   | 0.14%             | 2037-01-15      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 253872 FN 05/31 FIXED 8.5                         | CUSIP: 31371J6H2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         600 | PA      | $602.79        | 0.00%             | 2031-05-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 830492 FN 06/35 FIXED 7                           | CUSIP: 31407GUR7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       43060 | PA      | $43722.16      | 0.00%             | 2035-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL C01079 FG 10/30 FIXED 7.5                 | CUSIP: 31292HFU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         183 | PA      | $189.58        | 0.00%             | 2030-10-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 735228 FN 02/35 FIXED VAR                         | CUSIP: 31402QYZ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5148 | PA      | $5346.55       | 0.00%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BANK 2019-BN19                                                                   | BANK BANK 2019 BN19 A3                                      | CUSIP: 06540WBD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    25500000 | PA      | $24112534.80   | 0.05%             | 2061-08-15      | Fixed         | 3.18%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC0835 FN 04/46 FIXED 4                           | CUSIP: 3140EU4V8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1711303 | PA      | $1646764.99    | 0.00%             | 2046-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT GBP SOLD USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $-18459.33     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB3237 FN 03/52 FIXED 3                           | CUSIP: 3140QNS37<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      268748 | PA      | $236807.27     | 0.00%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2016-67                                                        | FANNIE MAE FNR 2016 67 AF                                   | CUSIP: 3136ATRP1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2651069 | PA      | $2629968.98    | 0.01%             | 2046-09-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| ONSLOW BAY MORTGAGE LOAN TRUST 2022-INV3                                         | ONSLOW BAY FINANCIAL LLC OBX 2022 INV3 A1 144A              | CUSIP: 67116EAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    15203074 | PA      | $13155711.18   | 0.03%             | 2052-02-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 008877 G2 05/26 FLOATING VAR                   | CUSIP: 36202K2J3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          69 | PA      | $69.23         | 0.00%             | 2026-05-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL0675 FN 09/41 FIXED VAR                         | CUSIP: 3138EGXD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      274036 | PA      | $284733.07     | 0.00%             | 2041-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB2753 FN 04/26 FIXED 3.5                         | CUSIP: 31416YBX5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1223 | PA      | $1217.47       | 0.00%             | 2026-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR EUR ESTRON/2.06280 11/14/24-5Y* LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $417013.46     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-4                                            | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 4 1A1             | CUSIP: 68403FAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6604341 | PA      | $4719611.93    | 0.01%             | 2037-04-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 586232 GN 10/34 FIXED 6                           | CUSIP: 36201LHH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       28121 | PA      | $28489.60      | 0.00%             | 2034-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2006-FM2                                                     | ACE SECURITIES CORP. ACE 2006 FM2 A2C                       | CUSIP: 00442CAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4491950 | PA      | $1013404.56    | 0.00%             | 2036-08-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| BARROW FUNDING PLC 1A                                                            | BARROW FUNDING PLC 11/62 0                                  | CUSIP: ACI2P8113<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      247000 | PA      | $1463.96       | 0.00%             | 2062-11-16      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB3230 FN 03/52 FIXED 3                           | CUSIP: 3140QNSU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    21369571 | PA      | $18830433.70   | 0.04%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-HE5                                            | MORGAN STANLEY CAPITAL INC MSAC 2006 HE5 A2D                | CUSIP: 61749NAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    12820044 | PA      | $6439514.40    | 0.01%             | 2036-08-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ7497 FN 12/48 FIXED 3.5                         | CUSIP: 3140H9KK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      638245 | PA      | $597321.44     | 0.00%             | 2048-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| REALKREDIT DANMARK A/S                                                           | REALKREDIT DANMARK COVERED REGS 10/53 1.5                   | CUSIP: BMXQXJII2<br>LEI: 549300NLOMBOWE943Y30 | Long             | DBT              | CORP              | DK        |           1 | PA      | $0.18          | 0.00%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 822475 FN 05/35 FIXED 6                           | CUSIP: 31406WXC3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2226 | PA      | $2308.03       | 0.00%             | 2035-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                                                    | BOEING CO SR UNSECURED 02/28 3.25                           | CUSIP: 097023DB8<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     6700000 | PA      | $6545137.34    | 0.01%             | 2028-02-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS9830 FN 06/47 FIXED 4                           | CUSIP: 3138WK4Q5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       38419 | PA      | $36961.96      | 0.00%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2004-10                              | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 10 13A1           | CUSIP: 07384M4E9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       17241 | PA      | $16829.82      | 0.00%             | 2035-01-25      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 985896 FN 08/38 FIXED 5.5                         | CUSIP: 31415QGD2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         183 | PA      | $186.83        | 0.00%             | 2038-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT JPY SOLD USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $1346497.10    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-11CB                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 11CB 3A1          | CUSIP: 12668BWF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1692206 | PA      | $761731.73     | 0.00%             | 2036-05-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI CORPORATION                                                           | MITSUBISHI CORP SR UNSECURED 144A 09/28 4                   | CUSIP: 606769AL1<br>LEI: KVIPTY4PULAPGC1VVD26 | Long             | DBT              | CORP              | JP        |     2400000 | PA      | $2402773.68    | 0.01%             | 2028-09-09      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CREDIT BASED ASSET SRVC & SEC 2006-CB9                                           | CREDIT BASED ASSET SERVICING A CBASS 2006 CB9 A1            | CUSIP: 12465MAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       75234 | PA      | $34256.63      | 0.00%             | 2036-11-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| T-MOBILE US TRUST 2024-1A                                                        | T MOBILE US TRUST TMUST 2024 1A A 144A                      | CUSIP: 87267RAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    21200000 | PA      | $21398953.52   | 0.05%             | 2029-09-20      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| IMPAC CMB TR 2004-7                                                              | IMPAC CMB TRUST IMM 2004 7 1A1                              | CUSIP: 45254NKF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      140914 | PA      | $139582.11     | 0.00%             | 2034-11-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2480                                                                 | FREDDIE MAC FHR 2480 Z                                      | CUSIP: 31392TEK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      187031 | PA      | $193446.64     | 0.00%             | 2032-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2005-4                                               | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 4 3A1             | CUSIP: 41161PMX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      139052 | PA      | $103544.06     | 0.00%             | 2035-07-19      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 13.32 05/08/25-01/02/29 CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |           1 | NC      | $-11190.55     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.83600 05/02/25-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-2343730.72   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL INC 2005-HE4                                              | MORGAN STANLEY CAPITAL INC MSAC 2005 HE4 M3                 | CUSIP: 61744CTM8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2880826 | PA      | $2836391.20    | 0.01%             | 2035-07-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-195830.19    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DB0816 FN 04/54 FIXED 5.5                         | CUSIP: 3140A94A5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     8925756 | PA      | $9027304.22    | 0.02%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NTT FINANCE CORPORATION                                                          | NTT FINANCE CORP SR UNSECURED 144A 07/28 4.62               | CUSIP: 62954WAQ8<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |     3200000 | PA      | $3232158.43    | 0.01%             | 2028-07-16      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2145 FN 01/45 FIXED 4                           | CUSIP: 31418BL38<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      325438 | PA      | $313703.02     | 0.00%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BM3075 FN 07/32 FIXED VAR                         | CUSIP: 3140J7MZ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       94880 | PA      | $93806.21      | 0.00%             | 2032-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AA1647 FN 02/39 FIXED 5                           | CUSIP: 31416JZM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       41560 | PA      | $42317.77      | 0.00%             | 2039-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2005-J11                                         | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 J11 1A12          | CUSIP: 12668AJL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      200497 | PA      | $109646.14     | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 323990 FN 10/29 FIXED VAR                         | CUSIP: 31374T2X6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         511 | PA      | $527.08        | 0.00%             | 2029-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 920180 FN 12/36 FIXED 6                           | CUSIP: 31412BJZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       56824 | PA      | $59218.31      | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                     | ROMANIA ROMANIA                                             | CUSIP: ACI2P7GX9<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    30900000 | PA      | $36251319.63   | 0.08%             | 2032-05-30      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY6587 FN 07/53 FIXED 5.5                         | CUSIP: 3140NPJ92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      781782 | PA      | $790761.51     | 0.00%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-86                                                               | FANNIE MAE FNR 2007 86 FA                                   | CUSIP: 31396XNX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       18830 | PA      | $18743.39      | 0.00%             | 2037-09-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY IXIS RE CAP TR 2006-2                                             | MORGAN STANLEY IXIS REAL ESTAT MSIX 2006 2 A1               | CUSIP: 617463AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        4741 | PA      | $1515.20       | 0.00%             | 2036-11-25      | Floating      | 4.32%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | COLOMBIA LA SP GST                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $60878.18      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE                     | CUSIP: 01F0606A8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    46807891 | PA      | $47825678.04   | 0.11%             | 2054-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON COMPANY                                               | SOUTHERN CAL EDISON 1ST MORTGAGE 02/32 2.75                 | CUSIP: 842400HM8<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    18550000 | PA      | $16321787.73   | 0.04%             | 2032-02-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317UAEPA2 PIMCO SWAPTION 3.325 CALL USD 202510              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -62200000 | NC      | $-8303.70      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 735504 FN 04/35 FIXED VAR                         | CUSIP: 31402RDH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        7244 | PA      | $7518.45       | 0.00%             | 2035-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 509358 GN 07/29 FIXED 7                           | CUSIP: 36211CZX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         665 | PA      | $672.41        | 0.00%             | 2029-07-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 846704 FN 01/36 FIXED 6                           | CUSIP: 31408BU55<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       15567 | PA      | $16222.79      | 0.00%             | 2036-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080082 G2 06/27 FLOATING VAR                   | CUSIP: 36225CCU8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         224 | PA      | $224.24        | 0.00%             | 2027-06-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZK2805 FR 12/25 FIXED 3.5                 | CUSIP: 3131X6DJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          43 | PA      | $42.97         | 0.00%             | 2025-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL A84409 FG 02/39 FIXED 4.5                 | CUSIP: 3129303S7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       12513 | PA      | $12450.52      | 0.00%             | 2039-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE                     | CUSIP: 01F0406B8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    17981000 | PA      | $16944619.39   | 0.04%             | 2055-11-13      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H02                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H02 FA              | CUSIP: 38382YN82<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    14211801 | PA      | $14246329.58   | 0.03%             | 2073-01-20      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD GBP BOUGHT USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $43145.68      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                       | JAPAN (30 YEAR ISSUE) BONDS 03/55 2.4                       | CUSIP: ACI2W94G7<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        | 17085500000 | PA      | $100674880.48  | 0.22%             | 2055-03-20      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| INDYMAC RESIDENTIAL ASSET BACKED 2006-E                                          | INDYMAC RESIDENTIAL ASSET BACK INABS 2006 E 2A4             | CUSIP: 43709XAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2664263 | PA      | $1900682.15    | 0.00%             | 2037-04-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT KRW SOLD USD 20251022                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $-91806.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| KILROY REALTY LP                                                                 | KILROY REALTY LP COMPANY GUAR 01/36 6.25                    | CUSIP: 49427RAS1<br>LEI: 5493008CT3N3JR7P1552 | Long             | DBT              | CORP              | US        |     6300000 | PA      | $6521923.99    | 0.01%             | 2036-01-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                 | T MOBILE USA INC COMPANY GUAR 10/29 4.2                     | CUSIP: 87264ADL6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     7300000 | PA      | $7292889.36    | 0.02%             | 2029-10-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 256086 FN 12/25 FIXED 5                           | CUSIP: 31371MNB9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         176 | PA      | $175.85        | 0.00%             | 2025-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2558 FN 03/46 FIXED 4                           | CUSIP: 31418BZY5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      613385 | PA      | $590252.32     | 0.00%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.50000 12/18/24-30Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $16268179.26   | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3831 FN 11/39 FIXED 3                           | CUSIP: 31418DHH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       84488 | PA      | $79213.55      | 0.00%             | 2039-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 831149 FN 12/35 FIXED 6                           | CUSIP: 31407HL61<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       97054 | PA      | $101877.19     | 0.00%             | 2035-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                                                    | BOEING CO SR UNSECURED 02/26 2.196                          | CUSIP: 097023DG7<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    75579000 | PA      | $75016129.18   | 0.17%             | 2026-02-04      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD KWD BOUGHT USD 20290507                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $373826.39     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS7028 FN 04/46 FIXED 4                           | CUSIP: 3138WGY24<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      113240 | PA      | $108957.94     | 0.00%             | 2046-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 789606 FN 08/34 FIXED 6                           | CUSIP: 31405HGP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       38652 | PA      | $39581.73      | 0.00%             | 2034-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-J7                                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 J7 1A6            | CUSIP: 12667GF73<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1038062 | PA      | $520960.73     | 0.00%             | 2035-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD4572 FR 08/53 FIXED 5.5                 | CUSIP: 3132DSCH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      919353 | PA      | $930403.56     | 0.00%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8329 FR 06/53 FIXED 5                   | CUSIP: 3132DWHE6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      277123 | PA      | $276192.81     | 0.00%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CIFC FUNDING LTD 2017-4A                                                         | CIFC FUNDING LTD CIFC 2017 4A A1R 144A                      | CUSIP: 12551JAL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    11660443 | PA      | $11677350.47   | 0.03%             | 2030-10-24      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SECS-2006-2                                                 | BANC OF AMERICA MORTGAGE SECUR BOAMS 2006 2 A2              | CUSIP: 05950GAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      266633 | PA      | $237429.19     | 0.00%             | 2046-07-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| PINNACOL ASSURANCE                                                               | PINNACOL ASSURANCE SUBORDINATE 06/34 8.625                  | CUSIP: 72349LAA0<br>LEI: 549300D37RE2C54DGD62 | Long             | DBT              | CORP              | US        |    15000000 | PA      | $16921563.15   | 0.04%             | 2034-06-25      | Fixed         | 8.62%                 | Yes           |                  3 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-5F                                                  | GSR MORTGAGE LOAN TRUST GSR 2005 5F 2A19                    | CUSIP: 36242D6P3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      635272 | PA      | $658245.67     | 0.00%             | 2035-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 821677 FN 06/35 FIXED 6                           | CUSIP: 31406V2J4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         311 | PA      | $319.89        | 0.00%             | 2035-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 931109 FN 05/39 FIXED 6                           | CUSIP: 31412PN23<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       15069 | PA      | $15703.58      | 0.00%             | 2039-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA5988 G2 06/49 FIXED 5                        | CUSIP: 36179UUM2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      129581 | PA      | $131310.54     | 0.00%             | 2049-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2005-9                                             | BEAR STEARNS ADJUSTABLE RATE M BSARM 2005 9 A1              | CUSIP: 07387AEG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1858722 | PA      | $1779906.46    | 0.00%             | 2035-10-25      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RA7617 FR 07/52 FIXED 5                   | CUSIP: 3133KPPA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    11180740 | PA      | $11169736.70   | 0.02%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 923875 FN 04/37 FIXED 6                           | CUSIP: 31412FMY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        7987 | PA      | $8323.63       | 0.00%             | 2037-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20251015                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-254763.67    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MOTOROLA SOLUTIONS INC                                                           | MOTOROLA SOLUTIONS INC SR UNSECURED 11/30 2.3               | CUSIP: 620076BT5<br>LEI: 6S552MUG6KGJVEBSEC55 | Long             | DBT              | CORP              | US        |    11770000 | PA      | $10642988.48   | 0.02%             | 2030-11-15      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.25000 06/18/25-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $17247002.76   | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ5736 FN 04/48 FIXED 4                           | CUSIP: 3140H7LS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        7074 | PA      | $6796.61       | 0.00%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CHL MORTGAGE PASS-THROUGH TRUST 2006-12                                          | COUNTRYWIDE HOME LOANS CWHL 2006 12 A1                      | CUSIP: 125432AE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2588664 | PA      | $1239653.06    | 0.00%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G60799 FG 11/46 FIXED 3.5                 | CUSIP: 31335A3G1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4079936 | PA      | $3834080.48    | 0.01%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD SGD BOUGHT USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $112264.04     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM7133 FN 09/35 FIXED VAR                         | CUSIP: 3140XA4T6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      104240 | PA      | $102574.35     | 0.00%             | 2035-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2023-D                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2023 D A1B 144A          | CUSIP: 78450PAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    32813857 | PA      | $33421270.92   | 0.07%             | 2053-09-15      | Floating      | 6.02%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2016-1                                                 | TOWD POINT MORTGAGE TRUST TPMT 2016 1 B2 144A               | CUSIP: 89172EAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7648000 | PA      | $7450078.17    | 0.02%             | 2055-02-25      | Variable      | 4.42%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 846597 FN 12/35 FIXED 6.5                         | CUSIP: 31408BRS9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        6293 | PA      | $6495.20       | 0.00%             | 2035-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA0073 FN 05/29 FIXED 4.5                         | CUSIP: 31417YCK1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        9504 | PA      | $9528.07       | 0.00%             | 2029-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2020-C55                                   | WELLS FARGO COMMERCIAL MORTGAG WFCM 2020 C55 A5             | CUSIP: 95002EBB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     9400000 | PA      | $8767974.08    | 0.02%             | 2053-02-15      | Fixed         | 2.73%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G30391 FG 04/28 FIXED 4.5                 | CUSIP: 3128CUNG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        7635 | PA      | $7634.83       | 0.00%             | 2028-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC1870 FN 05/46 FIXED 4                           | CUSIP: 3140EWCG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      148027 | PA      | $141986.36     | 0.00%             | 2046-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL-2006-HE6                                              | MORGAN STANLEY CAPITAL INC MSAC 2006 HE6 A2C                | CUSIP: 61750FAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    14638046 | PA      | $5047603.60    | 0.01%             | 2036-09-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 901193 FN 08/36 FIXED 6                           | CUSIP: 31410YGA6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       18334 | PA      | $18968.80      | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2007-1                                                  | BEAR STEARNS ALT A TRUST BALTA 2007 1 1A1                   | CUSIP: 07386XAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1468112 | PA      | $1274877.17    | 0.00%             | 2047-01-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H07                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H07 FE              | CUSIP: 38376RRG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3023005 | PA      | $3044021.03    | 0.01%             | 2066-03-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-3156                                                                 | FREDDIE MAC FHR 3156 PF                                     | CUSIP: 31396RAR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      180995 | PA      | $179012.99     | 0.00%             | 2036-05-15      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ZAR BOUGHT USD 20251120                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $-121681.91    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL BQ1005 GN 10/49 FIXED 4                           | CUSIP: 3617LKDJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      512782 | PA      | $486128.56     | 0.00%             | 2049-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP (AKA: AMERICAN TOWER REIT INC)                               | AMERICAN TOWER CORP SR UNSECURED 10/26 3.375                | CUSIP: 03027XAK6<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |     4165000 | PA      | $4135890.02    | 0.01%             | 2026-10-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 988459 FN 10/38 FIXED 6                           | CUSIP: 31415TB41<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       17603 | PA      | $18202.54      | 0.00%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AZ4283 FN 11/45 FIXED 4                           | CUSIP: 3138YVXM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      470021 | PA      | $453025.12     | 0.00%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2003-W1                                                     | FANNIEMAE WHOLE LOAN FNW 2003 W1 1A1                        | CUSIP: 31392GVX0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3316459 | PA      | $3332453.54    | 0.01%             | 2042-12-25      | Variable      | 4.72%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 527278 FN 11/29 FIXED 6                           | CUSIP: 31384LXF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         296 | PA      | $305.47        | 0.00%             | 2029-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AD8695 FN 06/40 FIXED 5                           | CUSIP: 31418WUV0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       21345 | PA      | $21871.75      | 0.00%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AH5029 FN 02/41 FIXED 5.5                         | CUSIP: 3138A6ST8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       72962 | PA      | $75405.32      | 0.00%             | 2041-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FLORIDA HURRICANE CATASTROPHE FD FIN COR                                         | FLORIDA ST BRD OF ADMIN FIN CO FLSGEN 07/34 FIXED 5.526     | CUSIP: 341271AH7<br>LEI: 549300S34SOJ0RULXM35 | Long             | DBT              | MUN               | US        |     5100000 | PA      | $5318804.79    | 0.01%             | 2034-07-01      | Fixed         | 5.53%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AE7929 FN 12/25 FIXED 3.5                         | CUSIP: 31419JY36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         145 | PA      | $144.15        | 0.00%             | 2025-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                                                 | SOCIETE GENERALE SR UNSECURED 144A 01/29 VAR                | CUSIP: 83368RBR2<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    25400000 | PA      | $26463371.25   | 0.06%             | 2029-01-10      | Floating      | 6.45%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AW7029 FN 06/29 FIXED 3.5                         | CUSIP: 3138XWY36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      369059 | PA      | $365001.58     | 0.00%             | 2029-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2006-RF3                                               | STRUCTURED ASSET SECURITIES CO SASC 2006 RF3 1A4 144A       | CUSIP: 863592AD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2168959 | PA      | $1227646.37    | 0.00%             | 2036-10-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2006-FR2                                | SECURITIZED ASSET BACKED RECEI SABR 2006 FR2 A3             | CUSIP: 81376VAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8688108 | PA      | $5459735.76    | 0.01%             | 2036-03-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB3495 FN 09/26 FIXED 3.5                         | CUSIP: 31416Y3D8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         379 | PA      | $376.45        | 0.00%             | 2026-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SPRINT SPECTRUM CO LLC / SPRINT SPECTRUM CO II LLC  / SPRINT SPECTRUM CO III LLC | SPRINT SPECTRUM / SPEC I SR SECURED 144A 09/29 5.152        | CUSIP: 85208NAE0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    24750000 | PA      | $24848365.16   | 0.05%             | 2029-09-20      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 786223 FH 01/28 FLOATING VAR              | CUSIP: 31348S4G6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         234 | PA      | $234.23        | 0.00%             | 2028-01-01      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 673491 GN 04/38 FIXED 5                           | CUSIP: 36295LF89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4444 | PA      | $4520.27       | 0.00%             | 2038-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2004-AR13                                           | INDYMAC INDX MORTGAGE LOAN TRU INDX 2004 AR13 1A1           | CUSIP: 45660N7J8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       27192 | PA      | $24604.65      | 0.00%             | 2035-01-25      | Floating      | 3.51%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 779241 GN 05/42 FIXED 3.5                         | CUSIP: 36176XP29<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       61794 | PA      | $57916.06      | 0.00%             | 2042-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2273                                                                 | FREDDIE MAC FHR 2273 PZ                                     | CUSIP: 3133TQPC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1033695 | PA      | $1044001.16    | 0.00%             | 2028-06-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | OIS CAD CAONREPO/3.7500 12/20/23-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |           1 | NC      | $-1497364.35   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3979                                                          | FREDDIE MAC FHR 3979 ZL                                     | CUSIP: 3137AKPF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      169216 | PA      | $159999.94     | 0.00%             | 2042-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2004-AR8                                            | INDYMAC INDX MORTGAGE LOAN TRU INDX 2004 AR8 2A1            | CUSIP: 45660N2L8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      489420 | PA      | $442724.10     | 0.00%             | 2034-11-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 895652 FN 08/36 FIXED 6                           | CUSIP: 31410SBV8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      194214 | PA      | $204133.69     | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GREENPOINT MTGE FUNDING TR 2006-AR6                                              | GREENPOINT MORTGAGE FUNDING TR GPMF 2006 AR6 A4             | CUSIP: 39538BAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      677460 | PA      | $530865.86     | 0.00%             | 2046-10-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL0000 FN 03/26 FIXED VAR                         | CUSIP: 3138EGAA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         685 | PA      | $682.44        | 0.00%             | 2026-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT AUD SOLD USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |           1 | NC      | $-533.81       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2008-93                                                        | FANNIE MAE FNR 2008 93 OA                                   | CUSIP: 31397MR25<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      515750 | PA      | $476109.72     | 0.00%             | 2036-03-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| THAMES WATER UTILITIES FINANCE PLC                                               | THAMES WATER UTIL FIN SR SECURED REGS 01/34 1.25            | CUSIP: ACI236111<br>LEI: 213800ESMPQ4RQ7G8351 | Long             | DBT              | CORP              | GB        |     7800000 | PA      | $6335977.00    | 0.01%             | 2034-01-31      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL4195 FN 06/27 FIXED VAR                         | CUSIP: 3138ELUV3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       23928 | PA      | $23842.45      | 0.00%             | 2027-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20251017                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-182655.23    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA ASSET ACCEPTANCE CORP 2005-AR2                                            | NOMURA ASSET ACCEPTANCE CORPOR NAA 2005 AR2 M1              | CUSIP: 65535VKK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1390457 | PA      | $1244747.81    | 0.00%             | 2035-05-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SEC INC MTGE LO 2006-AB3                                          | DEUTSCHE ALT A SECURITIES INC DBALT 2006 AB3 A5B            | CUSIP: 25151EAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      377522 | PA      | $329542.00     | 0.00%             | 2036-07-25      | Variable      | 6.80%                 | No            |                  2 | On Loan: No      |
| CBAMR 2019-9A                                                                    | CBAMR LTD CBAMR 2019 9A AR 144A                             | CUSIP: 14987VAN9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    39000000 | PA      | $39192225.54   | 0.09%             | 2037-07-15      | Floating      | 5.95%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECUR TR 2007-A7                                               | RESIDENTIAL ASSET SECURITIZATI RAST 2007 A7 A6              | CUSIP: 76114QAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1086459 | PA      | $395576.61     | 0.00%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TWD SOLD USD 20251020                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $-244.90       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ENEL FINANCE INTERNATIONAL NV                                                    | ENEL FINANCE INTL NV COMPANY GUAR 144A 07/31 2.25           | CUSIP: 29278GAP3<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |      800000 | PA      | $714747.38     | 0.00%             | 2031-07-12      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20251017                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-139656.01    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CANADIAN IMPERIAL BANK OF COMMERCE (CIBC)                                        | CANADIAN IMPERIAL BANK SR UNSECURED 09/31 VAR               | CUSIP: 13607QFE7<br>LEI: 2IGI19DL77OX0HC3ZE78 | Long             | DBT              | CORP              | CA        |    10000000 | PA      | $10037067.40   | 0.02%             | 2031-09-08      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| SEC ASSET BACKED REC LLC 2006-FR3                                                | SECURITIZED ASSET BACKED RECEI SABR 2006 FR3 A3             | CUSIP: 813765AC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8807710 | PA      | $4767337.93    | 0.01%             | 2036-05-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA4027 FN 05/40 FIXED 3.5                         | CUSIP: 31418DPM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      346123 | PA      | $331514.48     | 0.00%             | 2040-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CHOICE HOTELS INTERNATIONAL INC                                                  | CHOICE HOTELS INTL INC SR UNSECURED 12/29 3.7               | CUSIP: 169905AF3<br>LEI: 5493003CYRY5RFGTIR97 | Long             | DBT              | CORP              | US        |     5090000 | PA      | $4863050.69    | 0.01%             | 2029-12-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| JETBLUE 2020-1 CLASS A PASS THROUGH TRUST                                        | JETBLUE AIRWAYS CORP PASS THRU CE 05/34 4                   | CUSIP: 477164AA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     4621245 | PA      | $4356158.94    | 0.01%             | 2034-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AT1696 FN 04/28 FIXED 3.5                         | CUSIP: 3138WN3E7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       31811 | PA      | $31529.07      | 0.00%             | 2028-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2024-RPL7                                    | GS MORTGAGE BACKED SECURITIES GSMBS 2024 RPL7 PT 144A       | CUSIP: 36273CAR8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    21621480 | PA      | $19507370.15   | 0.04%             | 2064-07-25      | Variable      | 3.99%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 0.65000 04/12/22-5Y LCH                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $-5299681.51   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CHASE FUND MTGE LN ASSET-BACKED 2003-2                                           | CHASE FUNDING MORTGAGE LOAN AS CFAB 2003 2 2A2              | CUSIP: 161546EW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       20343 | PA      | $20379.31      | 0.00%             | 2033-02-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 822816 FN 04/35 FIXED 5                           | CUSIP: 31406XDV1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3938 | PA      | $4029.92       | 0.00%             | 2035-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QG4158 FR 06/53 FIXED 5.5                 | CUSIP: 3133C4TP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       36429 | PA      | $36804.80      | 0.00%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SANTOS FINANCE LTD                                                               | SANTOS FINANCE LTD COMPANY GUAR 144A 09/33 6.875            | CUSIP: 803014AB5<br>LEI: 213800BKUBSWG53XNS94 | Long             | DBT              | CORP              | AU        |    18100000 | PA      | $19929403.20   | 0.04%             | 2033-09-19      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 928141 FN 03/37 FIXED 6                           | CUSIP: 31412LEN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       67206 | PA      | $70857.28      | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS2117 FN 04/44 FIXED 4                           | CUSIP: 3138WBK79<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      232843 | PA      | $224567.86     | 0.00%             | 2044-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD EUR BOUGHT USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $223041.61     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080258 G2 02/29 FLOATING VAR                   | CUSIP: 36225CJC1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       18097 | PA      | $18196.89      | 0.00%             | 2029-02-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 783903 GN 06/44 FIXED 3.5                         | CUSIP: 3622A2KQ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      528507 | PA      | $494663.43     | 0.00%             | 2044-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MTGE SEC CORP 2005-10                                            | CREDIT SUISSE FIRST BOSTON MOR CSFB 2005 10 8A3             | CUSIP: 225470FG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       11679 | PA      | $8684.96       | 0.00%             | 2035-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 800171 FN 12/34 FLOATING VAR                      | CUSIP: 31405U6G9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        7308 | PA      | $7387.44       | 0.00%             | 2034-12-01      | Floating      | 6.01%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AE1265 FN 09/41 FIXED 4                           | CUSIP: 31419BMP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      104886 | PA      | $102111.83     | 0.00%             | 2041-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL BQ7187 GN 10/49 FIXED 4                           | CUSIP: 3617LR6Y6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       24892 | PA      | $23598.05      | 0.00%             | 2049-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 14.0087 05/12/25-01/04/27 CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |           1 | NC      | $-56145.93     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOAN MORTGAGE PASS THROUGH TRUST 2004-J9                        | COUNTRYWIDE HOME LOANS CWHL 2004 J9 2A5                     | CUSIP: 12669GFK2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      145469 | PA      | $147901.66     | 0.00%             | 2035-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB3004 FN 02/52 FIXED 3                           | CUSIP: 3140QNKS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    25607903 | PA      | $22543357.55   | 0.05%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                                                          | HYUNDAI CAPITAL AMERICA HYUNDAI CAPITAL AMERICA             | CUSIP: 44891ACT2<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    16400000 | PA      | $16581470.10   | 0.04%             | 2027-01-08      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080012 G2 11/26 FLOATING VAR                   | CUSIP: 36225CAN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        6176 | PA      | $6183.69       | 0.00%             | 2026-11-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                            | WELLS FARGO + COMPANY WELLS FARGO + COMPANY                 | CUSIP: 95000U3L5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    18900000 | PA      | $19344003.71   | 0.04%             | 2028-04-22      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 257573 FN 02/39 FIXED 5.5                         | CUSIP: 31371PCJ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      113679 | PA      | $117793.32     | 0.00%             | 2039-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                            | WELLS FARGO + COMPANY SR UNSECURED REGS 05/30 VAR           | CUSIP: ACI1M15X9<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     4700000 | PA      | $5300941.49    | 0.01%             | 2030-05-04      | Floating      | 1.74%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                                                 | SOCIETE GENERALE 144A 01/27 VAR                             | CUSIP: 83368RBQ4<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    31000000 | PA      | $31152917.42   | 0.07%             | 2027-01-12      | Floating      | 6.45%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA1458 FN 06/43 FIXED 3                           | CUSIP: 31418ATQ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      165294 | PA      | $152028.08     | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20251014                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $71879.39      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20251010                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $36558.53      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2017-18                                                        | FANNIE MAE FNR 2017 18 FA                                   | CUSIP: 3136AVPY9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3572065 | PA      | $3519170.93    | 0.01%             | 2047-03-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| WARWICK FINANCE RESIDENTIAL MORTGAGES 3A                                         | WARWICK FINANCE RESIDENTIAL MO WARW 3A D 144A               | CUSIP: ACI0Y9JX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     6656000 | PA      | $8923900.75    | 0.02%             | 2049-12-21      | Floating      | 6.62%                 | No            |                  2 | On Loan: No      |
| STARWOOD PROPERTY TRUST INC                                                      | STARWOOD PROPERTY TRUST SR UNSECURED 144A 01/27 4.375       | CUSIP: 85571BAY1<br>LEI: BUGSFQZERKRBFWIG5267 | Long             | DBT              | CORP              | US        |     2000000 | PA      | $1984486.00    | 0.00%             | 2027-01-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG/NEW YORK BRANCH                                                 | DEUTSCHE BANK NY 11/27 VAR                                  | CUSIP: 251526CP2<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    26300000 | PA      | $25727545.00   | 0.06%             | 2027-11-16      | Floating      | 2.31%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20251015                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-194579.88    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                                                          | HYUNDAI CAPITAL AMERICA HYUNDAI CAPITAL AMERICA             | CUSIP: 44891ACR6<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |     8400000 | PA      | $8907090.53    | 0.02%             | 2029-01-16      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB3122 FN 03/52 FIXED 3                           | CUSIP: 3140QNPG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     6610600 | PA      | $5824969.85    | 0.01%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AH6822 FN 03/26 FIXED 3.5                         | CUSIP: 3138A8SL1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4845 | PA      | $4825.53       | 0.00%             | 2026-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZK4118 FR 05/27 FIXED 3.5                 | CUSIP: 3131X7SF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4044 | PA      | $4006.09       | 0.00%             | 2027-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 1G0867 FH 08/35 FLOATING VAR              | CUSIP: 3128NC6C3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         367 | PA      | $374.66        | 0.00%             | 2035-08-01      | Floating      | 6.48%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 885411 FN 06/36 FIXED 5                           | CUSIP: 31410CVC3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1070 | PA      | $1094.83       | 0.00%             | 2036-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                                    | FORD MOTOR CREDIT CO LLC SR UNSECURED 02/28 2.9             | CUSIP: 345397B51<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     7129000 | PA      | $6778787.73    | 0.01%             | 2028-02-16      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY1                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY1 2A3            | CUSIP: 92925VAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2716976 | PA      | $2518842.74    | 0.01%             | 2037-02-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 908691 FN 01/37 FIXED 6                           | CUSIP: 31411HRL6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       90707 | PA      | $93294.81      | 0.00%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2006-3                                               | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 3 1A1A            | CUSIP: 41161QAM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1815461 | PA      | $728540.55     | 0.00%             | 2036-06-19      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 002510 G2 11/27 FIXED 7                        | CUSIP: 36202CYF4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2433 | PA      | $2495.57       | 0.00%             | 2027-11-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2007-HE1                                | SECURITIZED ASSET BACKED RECEI SABR 2007 HE1 A2A            | CUSIP: 81377JAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      220930 | PA      | $47232.57      | 0.00%             | 2036-12-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2019-90                                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2019 90 F                | CUSIP: 38381XFA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1354588 | PA      | $1320777.73    | 0.00%             | 2049-07-20      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 745822 FN 09/36 FIXED VAR                         | CUSIP: 31403DSK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      171345 | PA      | $180650.60     | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SUNTRUST ALTERNATIVE LN TRUST 2005-1F                                            | SUNTRUST ALTERNATIVE LOAN TRUS STALT 2005 1F 1A6            | CUSIP: 86789MAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      550122 | PA      | $500583.84     | 0.00%             | 2035-12-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY4071 FN 06/53 FIXED 5                           | CUSIP: 3140NLQZ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2221156 | PA      | $2224168.57    | 0.00%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 254107 FN 11/31 FIXED 7                           | CUSIP: 31371KGQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         427 | PA      | $428.20        | 0.00%             | 2031-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS5598 FN 08/45 FIXED 4                           | CUSIP: 3138WFGG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     6419463 | PA      | $6181354.01    | 0.01%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-56                                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 56 5A2            | CUSIP: 12668AHF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      129845 | PA      | $118909.14     | 0.00%             | 2035-11-25      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| MEXICO GOVT                                                                      | UNITED MEXICAN STATES SR UNSECURED 01/38 6.625              | CUSIP: 91087BBF6<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    12208000 | PA      | $12861250.08   | 0.03%             | 2038-01-29      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 254595 FN 01/33 FIXED 6                           | CUSIP: 31371KXY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        9776 | PA      | $10106.56      | 0.00%             | 2033-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PARAGUAY GOVT                                                                    | REPUBLIC OF PARAGUAY SR UNSECURED 144A 04/31 4.95           | CUSIP: 699149AJ9<br>LEI: 529900UXKJTJPCU0HK83 | Long             | DBT              | NUSS              | PY        |     8000000 | PA      | $8104160.00    | 0.02%             | 2031-04-28      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST SERIES 2025-CES4                                        | J P MORGAN MTG TR 2025 CES4 01/56 0                         | CUSIP: 46659UAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    77134253 | PA      | $83121666.63   | 0.18%             | 2056-01-25      | Fixed         | 8.51%                 | No            |                  3 | On Loan: No      |
| N/A                                                                              | BOUGHT NZD SOLD USD 20251104                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |           1 | NC      | $-12372.82     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2007-6                                                    | GSAA HOME EQUITY TRUST GSAA 2007 6 A4                       | CUSIP: 36245RAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      136464 | PA      | $84134.25      | 0.00%             | 2047-05-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / GLP FINANCING II INC                                            | GLP CAPITAL LP / FIN II COMPANY GUAR 02/33 5.25             | CUSIP: 361841AV1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     6200000 | PA      | $6214849.00    | 0.01%             | 2033-02-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 973771 FN 03/38 FIXED 5.5                         | CUSIP: 31414RJQ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        6418 | PA      | $6632.56       | 0.00%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2024-RPL6                                    | GS MORTGAGE BACKED SECURITIES GSMBS 2024 RPL6 PT 144A       | CUSIP: 36272QAS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    28265325 | PA      | $23794352.75   | 0.05%             | 2064-01-25      | Fixed         | 3.19%                 | No            |                  2 | On Loan: No      |
| PURPLE RE LTD                                                                    | PURPLE RE LTD UNSECURED 144A 06/27 VAR                      | CUSIP: 74639NAC7<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |     7800000 | PA      | $8284380.00    | 0.02%             | 2027-06-07      | Floating      | 13.09%                | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 002266 G2 08/26 FIXED 7                        | CUSIP: 36202CQT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         173 | PA      | $177.11        | 0.00%             | 2026-08-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 844229 FN 11/35 FIXED 6                           | CUSIP: 31407X4N8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       23439 | PA      | $23947.00      | 0.00%             | 2035-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AVIATION CAPITAL GROUP LLC                                                       | AVIATION CAPITAL GROUP SR UNSECURED 144A 10/25 4.875        | CUSIP: 05367AAH6<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |     3800000 | PA      | $3800000.00    | 0.01%             | 2025-10-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2024-BA                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2024 BA A2 144A         | CUSIP: 21050UAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    14059000 | PA      | $14391101.70   | 0.03%             | 2054-11-25      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AD5101 FN 12/25 FIXED 3.5                         | CUSIP: 31418SU31<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          48 | PA      | $48.23         | 0.00%             | 2025-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB0124 FN 02/33 FIXED 5                           | CUSIP: 31416VD68<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3253 | PA      | $3302.81       | 0.00%             | 2033-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AD5474 FN 05/30 FIXED 5                           | CUSIP: 31418TCL9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4642 | PA      | $4687.74       | 0.00%             | 2030-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 008909 G2 07/26 FLOATING VAR                   | CUSIP: 36202K3S2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          45 | PA      | $44.90         | 0.00%             | 2026-07-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 892332 FN 09/36 FIXED 6                           | CUSIP: 31410NLM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       92760 | PA      | $96476.63      | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 903182 FN 10/36 FIXED 6                           | CUSIP: 31411BM75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1977 | PA      | $2057.12       | 0.00%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8325 FR 05/53 FIXED 6                   | CUSIP: 3132DWHA4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      275875 | PA      | $283138.23     | 0.00%             | 2053-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3698 FN 07/39 FIXED 3.5                         | CUSIP: 31418DDC3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      588634 | PA      | $565848.68     | 0.00%             | 2039-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AH0996 FN 12/25 FIXED 3.5                         | CUSIP: 3138A2DA4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5888 | PA      | $5869.14       | 0.00%             | 2025-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CAD BOUGHT USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |           1 | NC      | $-1280.23      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTS 2005-15                                           | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 15 M1               | CUSIP: 126670MH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      553636 | PA      | $548367.38     | 0.00%             | 2036-03-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QG3950 FR 05/53 FIXED 5.5                 | CUSIP: 3133C4L77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      699129 | PA      | $706307.01     | 0.00%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 831215 FN 01/36 FIXED 6                           | CUSIP: 31407HN85<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       19772 | PA      | $20782.11      | 0.00%             | 2036-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AI8442 FN 07/41 FIXED 5                           | CUSIP: 3138ANLY7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       62750 | PA      | $64297.98      | 0.00%             | 2041-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20251015                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $83942.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AA1830 FN 01/39 FIXED 5.5                         | CUSIP: 31416KA81<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       31816 | PA      | $32493.30      | 0.00%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL4192 FN 10/28 FIXED VAR                         | CUSIP: 3138ELUS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       84577 | PA      | $83890.24      | 0.00%             | 2028-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2940 FN 03/27 FIXED 3.5                         | CUSIP: 31418CHS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      174956 | PA      | $174001.45     | 0.00%             | 2027-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 004928 G2 01/41 FIXED 6                        | CUSIP: 36202FPM2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       14843 | PA      | $15455.88      | 0.00%             | 2041-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ARM TR 2004-8                                                       | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 8 2A1             | CUSIP: 07384M2E1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      605010 | PA      | $557079.20     | 0.00%             | 2034-11-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA6424 FN 07/50 FIXED 3                           | CUSIP: 3140QED66<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     6344535 | PA      | $5597220.13    | 0.01%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CHF SOLD USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |           1 | NC      | $-74351.13     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QC0484 FR 04/51 FIXED 3                   | CUSIP: 3133AJRD7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3551367 | PA      | $3128632.70    | 0.01%             | 2051-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MB0088 G2 12/54 FIXED 3.5                      | CUSIP: 3618N5C23<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    86883831 | PA      | $79295359.01   | 0.17%             | 2054-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 777737 FN 05/34 FIXED 5                           | CUSIP: 31404TBE2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         864 | PA      | $870.01        | 0.00%             | 2034-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2011-RR5                                                          | BCAP LLC TRUST BCAP 2011 RR5 7A1 144A                       | CUSIP: 05534AAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1993679 | PA      | $1972355.59    | 0.00%             | 2047-01-26      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FINANCIAL GROUP INC (MUFG)                                        | MITSUBISHI UFJ FIN GRP SR UNSECURED 01/31 VAR               | CUSIP: 606822DG6<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |    15700000 | PA      | $16191455.84   | 0.04%             | 2031-01-16      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB9752 FN 06/43 FIXED 3                           | CUSIP: 31417GZS8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       14763 | PA      | $13580.13      | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| RNHB BV                                                                          | RNHB B.V. GALIBIER DPF231 RR                                | CUSIP: ACI2QBKR7<br>LEI: 724500YGUK3ZCLGPE353 | Long             | DBT              | CORP              | NL        |     2125085 | PA      | $2604323.93    | 0.01%             | 2028-10-28      | Variable      | 0.00%                 | No            |                  3 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY7                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY7 4A1            | CUSIP: 93364FAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      127704 | PA      | $116336.65     | 0.00%             | 2037-07-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AA5816 FN 05/39 FIXED 5.5                         | CUSIP: 31416PPA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2407 | PA      | $2490.85       | 0.00%             | 2039-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 976172 FN 04/38 FIXED 5.5                         | CUSIP: 31414T6H9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       49616 | PA      | $51277.53      | 0.00%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FERGUSON FINANCE PLC                                                             | FERGUSON FINANCE PLC COMPANY GUAR 144A 06/30 3.25           | CUSIP: 314890AB0<br>LEI: 2138003A7ZEU931DZL61 | Long             | DBT              | CORP              | GB        |     4400000 | PA      | $4178635.56    | 0.01%             | 2030-06-02      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2018-RPL3                                            | LEGACY MORTGAGE ASSET TRUST LMAT 2018 RPL3 B1 144A          | CUSIP: 52474AAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    15576931 | PA      | $15350590.40   | 0.03%             | 2058-02-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BO8889 FN 01/35 FIXED 3.5                         | CUSIP: 3140K42X7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      162513 | PA      | $160232.49     | 0.00%             | 2035-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AT3179 FN 05/43 FIXED 3                           | CUSIP: 3138WQQ96<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      163896 | PA      | $150897.61     | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 987404 FN 10/38 FIXED 5.5                         | CUSIP: 31415R3M4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2766 | PA      | $2858.50       | 0.00%             | 2038-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BLUEMOUNTAIN EUR CLO 5A                                                          | BLUEMOUNTAIN EUR CLO BLUME 5A A 144A                        | CUSIP: ACI1GHFQ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     9868230 | PA      | $11596401.29   | 0.03%             | 2033-01-15      | Floating      | 2.94%                 | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2006-14                                                   | GSAA HOME EQUITY TRUST GSAA 2006 14 A2                      | CUSIP: 36298YAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8106269 | PA      | $1791606.26    | 0.00%             | 2036-09-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AE5487 FN 10/25 FIXED 3.5                         | CUSIP: 31419GCZ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         698 | PA      | $695.55        | 0.00%             | 2025-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL9380 FN 04/31 FIXED VAR                         | CUSIP: 3138ERM64<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     7220295 | PA      | $7081092.41    | 0.02%             | 2031-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DA4990 FN 11/53 FIXED 5.5                         | CUSIP: 3140A5RL4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      527250 | PA      | $533872.84     | 0.00%             | 2053-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD IDR BOUGHT USD 20251015                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-2899.81      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB2333 FN 02/41 FIXED 4                           | CUSIP: 31416XSX9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       13235 | PA      | $12896.02      | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA4732 FN 09/52 FIXED 4                           | CUSIP: 31418EHJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      831380 | PA      | $786844.84     | 0.00%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 824324 FN 06/35 FIXED 6                           | CUSIP: 31406YYV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1355 | PA      | $1411.62       | 0.00%             | 2035-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ZAR BOUGHT USD 20251120                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $-43343.99     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 506163 GN 01/30 FIXED 8                           | CUSIP: 36210YJG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         718 | PA      | $721.89        | 0.00%             | 2030-01-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| COPT DEFENSE PROPERTIES LP                                                       | CORPORATE OFFICE PROP LP COMPANY GUAR 03/26 2.25            | CUSIP: 22003BAL0<br>LEI: H0TWO5VRNEP6CQAWPX27 | Long             | DBT              | CORP              | US        |     5390000 | PA      | $5335841.44    | 0.01%             | 2026-03-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL0573 FN 08/26 FIXED VAR                         | CUSIP: 3138EGT79<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        9164 | PA      | $9111.28       | 0.00%             | 2026-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL C91065 FG 07/27 FIXED 6                   | CUSIP: 3128P7FE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1353 | PA      | $1382.91       | 0.00%             | 2027-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QH0855 FR 09/53 FIXED 5.5                 | CUSIP: 3133CC5Q5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      834652 | PA      | $843717.26     | 0.00%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AP2593 FN 08/42 FIXED 4                           | CUSIP: 3138M53B3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       44525 | PA      | $43245.76      | 0.00%             | 2042-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-62                                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 62 2A1            | CUSIP: 12668ATT2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      125761 | PA      | $108339.97     | 0.00%             | 2035-12-25      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 761825 FN 08/33 FIXED 5                           | CUSIP: 31403YLE1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4350 | PA      | $4435.98       | 0.00%             | 2033-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 003348 G2 02/33 FIXED 6.5                      | CUSIP: 36202DWH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1557 | PA      | $1615.95       | 0.00%             | 2033-02-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2005-AR19                                           | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR19 A1            | CUSIP: 45660LXA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      227771 | PA      | $183101.90     | 0.00%             | 2035-10-25      | Floating      | 3.66%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2023-CCDC                 | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2023 CCDC A 144A       | CUSIP: 465981AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7500000 | PA      | $7945455.00    | 0.02%             | 2040-10-05      | Fixed         | 7.24%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL0474 FN 05/40 FIXED VAR                         | CUSIP: 3138EGQ49<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       43347 | PA      | $44950.65      | 0.00%             | 2040-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AREIT TRUST 2022-CRE6                                                            | AREIT CRE TRUST AREIT 2022 CRE6 A 144A                      | CUSIP: 04002VAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |     8271165 | PA      | $8276391.10    | 0.02%             | 2037-01-20      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| NEW CENTURY HOME EQUITY LOAN TR 2005-B                                           | NEW CENTURY HOME EQUITY LOAN T NCHET 2005 B M1              | CUSIP: 64352VNK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      485703 | PA      | $478674.36     | 0.00%             | 2035-10-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL C91093 FG 09/27 FIXED 6                   | CUSIP: 3128P7GA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4314 | PA      | $4411.01       | 0.00%             | 2027-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL AK7338 GN 04/45 FIXED 3.5                         | CUSIP: 36183REK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      147699 | PA      | $138149.55     | 0.00%             | 2045-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZA2623 FR 05/26 FIXED 3.5                 | CUSIP: 31329K4G6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       14780 | PA      | $14710.01      | 0.00%             | 2026-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II TBA 30 YR 4 JUMBOS                                  | CUSIP: 21H0406A6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   149740000 | PA      | $140817206.03  | 0.31%             | 2055-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q46794 FG 03/47 FIXED 3.5                 | CUSIP: 3132WLRQ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      814583 | PA      | $762288.53     | 0.00%             | 2047-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SLM STUDENT LOAN TRUST 2007-7                                                    | SLM STUDENT LOAN TRUST SLMA 2007 7 A4                       | CUSIP: 78444EAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1776739 | PA      | $1750991.46    | 0.00%             | 2049-01-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD6094 FN 09/46 FIXED 4                           | CUSIP: 3140FDXY7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      611267 | PA      | $587990.38     | 0.00%             | 2046-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2003-2                                                    | SEQUOIA MORTGAGE TRUST SEMT 2003 2 A1                       | CUSIP: 81743PAP1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         746 | PA      | $743.69        | 0.00%             | 2033-06-20      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| ISRAEL GOVT                                                                      | STATE OF ISRAEL STATE OF ISRAEL                             | CUSIP: 46514BRN9<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |    31800000 | PA      | $32720571.20   | 0.07%             | 2029-03-12      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL C27091 FG 06/29 FIXED 6.5                 | CUSIP: 31293Q2Y8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         221 | PA      | $228.13        | 0.00%             | 2029-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNR-2005-13                                                                      | FANNIE MAE FNR 2005 13 FA                                   | CUSIP: 31394CDB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      291746 | PA      | $290476.58     | 0.00%             | 2035-03-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080106 G2 08/27 FLOATING VAR                   | CUSIP: 36225CDL7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1206 | PA      | $1206.23       | 0.00%             | 2027-08-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G08793 FG 12/47 FIXED 4                   | CUSIP: 3128MJ3B4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      955023 | PA      | $919470.84     | 0.00%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 654789 FN 08/32 FIXED 6                           | CUSIP: 31390SNE7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         150 | PA      | $155.05        | 0.00%             | 2032-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 1999-37                                                               | FANNIE MAE FNR 1999 37 F                                    | CUSIP: 31359V6Z1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          69 | PA      | $68.94         | 0.00%             | 2029-06-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| NORVESTOR SPV III SCSP                                                           | PROJECT FENNO EUR DELAYED DRAW TERM LOAN B                  | CUSIP: BA000MLR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | LU        |     7101431 | PA      | $8337440.19    | 0.02%             | 2028-07-10      | Floating      | 0.00%                 | Yes           |                  3 | On Loan: No      |
| F&G ANNUITIES & LIFE INC                                                         | F+G ANNUITIES + LIFE INC COMPANY GUAR 10/34 6.25            | CUSIP: 30190AAG9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     3600000 | PA      | $3674082.60    | 0.01%             | 2034-10-04      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL0562 FN 04/26 FIXED VAR                         | CUSIP: 3138EGTU8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          11 | PA      | $11.25         | 0.00%             | 2026-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 1G0368 FH 10/35 FLOATING VAR              | CUSIP: 3128NCMR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      421174 | PA      | $431107.82     | 0.00%             | 2035-10-01      | Floating      | 7.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20260316                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $-6395.88      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 906078 FN 01/37 FIXED 6                           | CUSIP: 31411EUB1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         426 | PA      | $447.46        | 0.00%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AX1645 FN 10/44 FIXED 4                           | CUSIP: 3138Y2ZK2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       87722 | PA      | $84257.75      | 0.00%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BW9490 FN 11/52 FIXED 5.5                         | CUSIP: 3140N2RL7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       72548 | PA      | $73369.33      | 0.00%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-3                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2007 3 1A1              | CUSIP: 059515AV8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      102732 | PA      | $100635.22     | 0.00%             | 2034-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 889602 FN 03/38 FIXED VAR                         | CUSIP: 31410KKP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5480 | PA      | $5702.68       | 0.00%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.71780 03/01/24-9Y* LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-4968298.53   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2024-LB1                              | BANC OF AMERICA MERRILL LYNCH 05/56 1                       | CUSIP: 05494AAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5777000 | PA      | $5518169.60    | 0.01%             | 2056-05-25      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD IDR BOUGHT USD 20251008                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $33860.45      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5140 FN 09/53 FIXED 6.5                         | CUSIP: 31418EWA4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1446111 | PA      | $1499270.68    | 0.00%             | 2053-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                                    | FORD MOTOR CREDIT CO LLC SR UNSECURED 01/26 4.389           | CUSIP: 345397XU2<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |      500000 | PA      | $499859.25     | 0.00%             | 2026-01-08      | Fixed         | 4.39%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CDX IG43 5Y ICE                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $4616.98       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC7590 FN 05/46 FIXED 4                           | CUSIP: 3140F3NG9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       22374 | PA      | $21952.96      | 0.00%             | 2046-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL BR6084 GN 12/49 FIXED 4                           | CUSIP: 3617M4XM2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      115506 | PA      | $109502.33     | 0.00%             | 2049-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 910653 FN 02/37 FIXED 6                           | CUSIP: 31411KWN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1109 | PA      | $1144.63       | 0.00%             | 2037-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL0082 FN 10/39 FIXED VAR                         | CUSIP: 3138EGCU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      143778 | PA      | $149214.28     | 0.00%             | 2039-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 2.40000 04/09/25-5Y LCH                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $-95787.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 809492 FN 02/35 FIXED 6                           | CUSIP: 31406GKD0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       48932 | PA      | $50304.95      | 0.00%             | 2035-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BA0681 FN 11/45 FIXED 4                           | CUSIP: 3140E4XK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      735074 | PA      | $706438.71     | 0.00%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                   | MORGAN STANLEY SR UNSECURED 07/29 VAR                       | CUSIP: 61747YFF7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     3400000 | PA      | $3513707.42    | 0.01%             | 2029-07-20      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FS6837 FN 07/53 FIXED VAR                         | CUSIP: 3140XNS39<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    16423790 | PA      | $16619105.22   | 0.04%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JUBILEE CLO 2016-XVII BV 16-17A                                                  | JUBILEE CDO BV JUBIL 2016 17A A1RR 144A                     | CUSIP: ACI1W2TB8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    22908780 | PA      | $26913770.99   | 0.06%             | 2031-04-15      | Floating      | 2.68%                 | No            |                  2 | On Loan: No      |
| AES CORPORATION                                                                  | AES CORP DISC COML PAPER 10/25 ZCP                          | CUSIP: 00809GX77<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |    23300000 | PA      | $23279703.37   | 0.05%             | 2025-10-07      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 823576 FN 08/35 FIXED 6                           | CUSIP: 31406X6M9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         777 | PA      | $800.43        | 0.00%             | 2035-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 893589 FN 09/36 FIXED 6                           | CUSIP: 31410PXS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      124278 | PA      | $129250.60     | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RAAC SERIES 2005-SP2                                                             | RAAC SERIES RAAC 2005 SP2 2A                                | CUSIP: 76112BF54<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      657496 | PA      | $605713.27     | 0.00%             | 2044-06-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H14                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 H14 FB              | CUSIP: 38376RCF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      557063 | PA      | $556886.68     | 0.00%             | 2065-05-20      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AU3735 FN 08/43 FIXED 3                           | CUSIP: 3138X3EH1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       20466 | PA      | $18821.91      | 0.00%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD IDR BOUGHT USD 20251008                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $31449.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20251007                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $-40117.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 240                                                           | FREDDIEMAC STRIP FHS 240 F22                                | CUSIP: 3128HVRY7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      124693 | PA      | $123641.34     | 0.00%             | 2036-07-15      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX8350 FN 04/53 FIXED 4.5                         | CUSIP: 3140NDH42<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      309418 | PA      | $302047.81     | 0.00%             | 2053-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 532746 GN 07/30 FIXED 8.5                         | CUSIP: 36212FZK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1173 | PA      | $1195.55       | 0.00%             | 2030-07-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 939492 FN 06/37 FIXED 6                           | CUSIP: 31413AF99<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        6830 | PA      | $7041.32       | 0.00%             | 2037-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-116                                                              | FANNIE MAE FNR 2007 116 PB                                  | CUSIP: 31396X7A6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       14238 | PA      | $14763.06      | 0.00%             | 2035-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE INTERNATIONAL NV                                                    | ENEL FINANCE INTL NV COMPANY GUAR 144A 07/28 1.875          | CUSIP: 29278GAN8<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |    11300000 | PA      | $10676640.59   | 0.02%             | 2028-07-12      | Variable      | 2.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20251020                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $329744.10     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-14                                                   | COUNTRYWIDE HOME LOANS CWHL 2007 14 A8                      | CUSIP: 12544DAH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      247434 | PA      | $121893.22     | 0.00%             | 2037-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTGE INVEST 2006-AR5                                            | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR5 4A1            | CUSIP: 86360JAN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7177306 | PA      | $2455952.08    | 0.01%             | 2046-05-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD JPY BOUGHT USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $4023.20       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BM4200 FN 02/28 FIXED VAR                         | CUSIP: 3140J8U27<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       90701 | PA      | $90272.35      | 0.00%             | 2028-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC0907 FN 05/46 FIXED 4                           | CUSIP: 3140EVAH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      841947 | PA      | $810019.89     | 0.00%             | 2046-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                                    | FORD MOTOR CREDIT CO LLC FORD MOTOR CREDIT CO LLC           | CUSIP: 345397E66<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     1600000 | PA      | $1608576.98    | 0.00%             | 2034-03-08      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX9434 FN 03/53 FIXED 5.5                         | CUSIP: 3140NEPU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    20344088 | PA      | $20631296.99   | 0.05%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BA7037 FN 04/46 FIXED 4                           | CUSIP: 3140EBZB0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      208276 | PA      | $198810.17     | 0.00%             | 2046-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 992144 FN 10/38 FIXED 6                           | CUSIP: 31415XER8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1305 | PA      | $1359.75       | 0.00%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AY8237 FN 05/45 FIXED 4                           | CUSIP: 3138YNEK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      456524 | PA      | $438557.55     | 0.00%             | 2045-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PERFORMER FUNDING 1 PLC 1A                                                       | PERFORMER FUNDING PERFF 1A R 144A                           | CUSIP: ACI2M1B28<br>LEI: N/A                  | Long             | ABS-O            | CORP              | GB        |     6800000 | PA      | $7893395.74    | 0.02%             | 2035-06-21      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AC5445 FN 11/39 FIXED 5                           | CUSIP: 31417SBP4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2210 | PA      | $2265.58       | 0.00%             | 2039-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 891439 FN 03/36 FIXED 6.5                         | CUSIP: 31410MLU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       17811 | PA      | $18659.29      | 0.00%             | 2036-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 802467 FN 11/34 FLOATING VAR                      | CUSIP: 31405XQU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       84679 | PA      | $86594.09      | 0.00%             | 2034-11-01      | Floating      | 6.64%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2018-RPL3                                            | LEGACY MORTGAGE ASSET TRUST LMAT 2018 RPL3 B3 144A          | CUSIP: 52474AAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    15576827 | PA      | $11171485.36   | 0.02%             | 2058-02-25      | Variable      | 4.34%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 896006 FN 07/36 FIXED 6                           | CUSIP: 31410SNX1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       18621 | PA      | $19444.80      | 0.00%             | 2036-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS4515 FN 02/45 FIXED 4                           | CUSIP: 3138WEAR0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      386686 | PA      | $372823.52     | 0.00%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BK0723 FN 02/48 FIXED 4                           | CUSIP: 3140HDYV0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       66343 | PA      | $63737.52      | 0.00%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| HANOVER INSURANCE GROUP INC (AKA: ALLMERICA FINANCIAL CORP)                      | HANOVER INSURANCE GROUP SR UNSECURED 09/30 2.5              | CUSIP: 410867AG0<br>LEI: JJYR6MFKFF6CF8DBZ078 | Long             | DBT              | CORP              | US        |     2590000 | PA      | $2338600.80    | 0.01%             | 2030-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BA4510 FN 12/45 FIXED 4                           | CUSIP: 3140E9AL0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      754843 | PA      | $727236.10     | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| INDYMAC RESIDENTIAL ASSET BACKED 2006-E                                          | INDYMAC RESIDENTIAL ASSET BACK INABS 2006 E 2A2             | CUSIP: 43709XAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      828561 | PA      | $591037.39     | 0.00%             | 2037-04-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2023-5A                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2023 5A A2 144A         | CUSIP: 21056EAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    29600000 | PA      | $30764351.52   | 0.07%             | 2053-11-25      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-1838378.88   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AW9006 FN 08/29 FIXED 3.5                         | CUSIP: 3138XZAG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      130639 | PA      | $128781.14     | 0.00%             | 2029-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                      | BNP PARIBAS 144A 01/30 VAR                                  | CUSIP: 09659W2H6<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    33000000 | PA      | $33781448.58   | 0.07%             | 2030-01-10      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA1824 FN 03/29 FIXED 3.5                         | CUSIP: 31418BA22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      172270 | PA      | $170743.77     | 0.00%             | 2029-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR8                                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR8 2A1A           | CUSIP: 92922FR75<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      102064 | PA      | $98377.63      | 0.00%             | 2045-07-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QG2650 FR 05/53 FIXED 5                   | CUSIP: 3133C25K0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     8060516 | PA      | $8023624.44    | 0.02%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MASTR SEASONED SECURITIES TRUST 2004-2                                           | MASTR SEASONED SECURITIZATION MSSTR 2004 2 A1               | CUSIP: 55265WCA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      807900 | PA      | $802871.52     | 0.00%             | 2032-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 255900 FN 10/35 FIXED 6                           | CUSIP: 31371MGH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       17704 | PA      | $18665.23      | 0.00%             | 2035-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $187119.53     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AT8135 FN 07/43 FIXED 3                           | CUSIP: 3138WWBD0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      373241 | PA      | $343209.87     | 0.00%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BRSP 2021-FL1 LTD                                                                | BRIGHTSPIRE CAPITAL, INC BRSP 2021 FL1 A 144A               | CUSIP: 05591XAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     3516161 | PA      | $3507563.86    | 0.01%             | 2038-08-19      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT KWD SOLD USD 20260610                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $2349.49       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 904700 FN 11/36 FIXED 6                           | CUSIP: 31411DDD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       21792 | PA      | $22466.54      | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G30377 FG 12/27 FIXED 6                   | CUSIP: 3128CUM29<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         251 | PA      | $257.13        | 0.00%             | 2027-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 002326 G2 11/26 FIXED 8.5                      | CUSIP: 36202CSP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         619 | PA      | $621.42        | 0.00%             | 2026-11-20      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 357842 FN 07/35 FIXED 6                           | CUSIP: 31376KP34<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3146 | PA      | $3296.15       | 0.00%             | 2035-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2019-C51                                   | WELLS FARGO COMMERCIAL MORTGAG WFCM 2019 C51 A4             | CUSIP: 95001VAU4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8800000 | PA      | $8335844.00    | 0.02%             | 2052-06-15      | Fixed         | 3.31%                 | No            |                  2 | On Loan: No      |
| INTEGRITY RE III LTD                                                             | INTEGRITY RE III UNSECURED 144A 06/27 VAR                   | CUSIP: 45870GAA4<br>LEI: 254900VWHVNG2WMBWC74 | Long             | DBT              | CORP              | BM        |      250000 | PA      | $261025.00     | 0.00%             | 2027-06-06      | Floating      | 11.96%                | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2017-47                                                        | FANNIE MAE FNR 2017 47 FE                                   | CUSIP: 3136AWXA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5591461 | PA      | $5457194.18    | 0.01%             | 2047-06-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| NOMURA HOLDINGS INC                                                              | NOMURA HOLDINGS INC NOMURA HOLDINGS INC                     | CUSIP: 65535HBR9<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |    11300000 | PA      | $11554070.33   | 0.03%             | 2027-07-02      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4272                                                          | FREDDIE MAC FHR 4272 FD                                     | CUSIP: 3137B6BC4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1256227 | PA      | $1246494.02    | 0.00%             | 2043-11-15      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3121 FN 09/47 FIXED 4                           | CUSIP: 31418CPF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      285244 | PA      | $274351.01     | 0.00%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX4035 FN 12/52 FIXED 5.5                         | CUSIP: 3140N8PV4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      204951 | PA      | $207449.07     | 0.00%             | 2052-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080387 G2 03/30 FLOATING VAR                   | CUSIP: 36225CND4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       14974 | PA      | $15047.62      | 0.00%             | 2030-03-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RA7130 FR 04/52 FIXED 3                   | CUSIP: 3133KN4P5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    35249606 | PA      | $31023735.83   | 0.07%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST  2017-RP1                                          | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2017 RP1 SA 144A        | CUSIP: 17326JAY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         359 | PA      | $358.30        | 0.00%             | 2064-09-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ0648 FN 03/48 FIXED 3.5                         | CUSIP: 3140H1WJ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      221369 | PA      | $205819.63     | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BA3945 FN 01/46 FIXED 4                           | CUSIP: 3140E8L30<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      799276 | PA      | $768883.07     | 0.00%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE3                                            | MORGAN STANLEY CAPITAL INC MSAC 2007 HE3 A2A                | CUSIP: 617538AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2372739 | PA      | $1191524.32    | 0.00%             | 2036-12-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS7838 FN 08/46 FIXED 3                           | CUSIP: 3138WHV82<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        7587 | PA      | $6863.13       | 0.00%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP (AKA: AMERICAN TOWER REIT INC)                               | AMERICAN TOWER CORP SR UNSECURED 03/27 3.65                 | CUSIP: 03027XBV1<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |      275000 | PA      | $273066.13     | 0.00%             | 2027-03-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJ RATE MTG LN 2004-19                                               | STRUCTURED ADJUSTABLE RATE MOR SARM 2004 19 2A1             | CUSIP: 863579JG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       79794 | PA      | $73478.87      | 0.00%             | 2035-01-25      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 190361 FN 10/35 FIXED VAR                         | CUSIP: 31368HMJ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      199716 | PA      | $210469.18     | 0.00%             | 2035-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 964072 FN 07/38 FIXED 5.5                         | CUSIP: 31414EQZ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       10296 | PA      | $10668.46      | 0.00%             | 2038-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2484                                                                 | FREDDIE MAC FHR 2484 LZ                                     | CUSIP: 31392R3H2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      338039 | PA      | $354590.59     | 0.00%             | 2032-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 542100 FN 05/30 FIXED 8.5                         | CUSIP: 31385EGH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          60 | PA      | $60.82         | 0.00%             | 2030-05-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                           | CS AT1 CLAIMS XS1076957700 CREDIT SUISSE GROUP AG           | CUSIP: 952NPH905<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | US        |      400000 | PA      | $52000.00      | 0.00%             | 2060-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT ILS SOLD USD 20251113                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $38880.46      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QA6                                              | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QA6 A1             | CUSIP: 74922MAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1317735 | PA      | $1207393.63    | 0.00%             | 2036-07-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL LNG INC                                                           | VENTURE GLOBAL LNG INC VENTURE GLOBAL LNG INC               | CUSIP: 92332YAE1<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |     6800000 | PA      | $7041333.36    | 0.02%             | 2030-01-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AH4749 FN 01/26 FIXED 4                           | CUSIP: 3138A6H37<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         726 | PA      | $723.69        | 0.00%             | 2026-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3438 FN 08/33 FIXED 3.5                         | CUSIP: 31418CZC1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       91388 | PA      | $90184.84      | 0.00%             | 2033-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVESTMENT LOAN TRUST 2004-11 2004-11                           | STRUCTURED ASSET INVESTMENT LO SAIL 2004 11 M5              | CUSIP: 86358EPU4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3849821 | PA      | $1740926.54    | 0.00%             | 2035-01-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 002202 G2 04/26 FIXED 7                        | CUSIP: 36202CNT6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |           2 | PA      | $1.75          | 0.00%             | 2026-04-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| LFT CRE 2021-FL1 LTD                                                             | LFT CRE LLC LMNT 2021 FL1 A 144A                            | CUSIP: 50203JAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    26324915 | PA      | $26393029.69   | 0.06%             | 2039-06-15      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                      | BANK OF AMERICA CORP SR UNSECURED 02/28 VAR                 | CUSIP: 06051GKJ7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    38300000 | PA      | $37516537.88   | 0.08%             | 2028-02-04      | Floating      | 2.55%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 893468 FN 07/36 FIXED 6                           | CUSIP: 31410PTZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2755 | PA      | $2840.45       | 0.00%             | 2036-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G00921 FG 04/28 FIXED 7.5                 | CUSIP: 31283HAW5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          63 | PA      | $63.94         | 0.00%             | 2028-04-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.6132* 03/01/24-9Y* LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-831675.19    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 538011 GN 08/30 FIXED 8.5                         | CUSIP: 36212MVC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1557 | PA      | $1562.02       | 0.00%             | 2030-08-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2926 FN 02/27 FIXED 3.5                         | CUSIP: 31418CHC1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        8115 | PA      | $8068.31       | 0.00%             | 2027-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BV0513 FN 01/52 FIXED 3                           | CUSIP: 3140MDSB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      205735 | PA      | $182453.54     | 0.00%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 02/51 1.875                                 | CUSIP: 912810SU3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   562017800 | PA      | $321151459.74  | 0.71%             | 2051-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2005-HE5                              | BEAR STEARNS ASSET BACKED SECU BSABS 2005 HE5 M4            | CUSIP: 073879WD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7306000 | PA      | $7336341.82    | 0.02%             | 2035-06-25      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BM3990 FN 03/48 FIXED VAR                         | CUSIP: 3140J8NG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      102141 | PA      | $98177.18      | 0.00%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| TRUIST FINANCIAL CORPORATION                                                     | TRUIST FINANCIAL CORP SR UNSECURED 10/26 VAR                | CUSIP: 89788MAJ1<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |     5800000 | PA      | $5804914.40    | 0.01%             | 2026-10-28      | Floating      | 5.90%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS5760 FN 09/45 FIXED 4                           | CUSIP: 3138WFMJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3197697 | PA      | $3077764.06    | 0.01%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BANQUE FEDERATIVE DU CREDIT MUTUEL (BFCM)                                        | BANQUE FED CRED MUTUEL 144A 07/26 5.896                     | CUSIP: 06675FBA4<br>LEI: VBHFXSYT7OG62HNT8T76 | Long             | DBT              | CORP              | FR        |    11100000 | PA      | $11255010.50   | 0.02%             | 2026-07-13      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS4899 FN 05/45 FIXED 4                           | CUSIP: 3138WENR6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      822856 | PA      | $792506.04     | 0.00%             | 2045-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 1J1214 FH 09/35 FLOATING VAR              | CUSIP: 3128NHK36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5064 | PA      | $5186.01       | 0.00%             | 2035-09-01      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL CS4074 G2 08/47 FIXED 3                        | CUSIP: 3618AWQ31<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1634852 | PA      | $1458157.73    | 0.00%             | 2047-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AC3165 FN 10/39 FIXED 5                           | CUSIP: 31417MQT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4190 | PA      | $4268.93       | 0.00%             | 2039-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| NOMURA HOME EQUITY LOAN INC 2007-1                                               | NOMURA HOME EQUITY LOAN INC NHELI 2007 1 1A4                | CUSIP: 65537KAY6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1728125 | PA      | $479549.91     | 0.00%             | 2037-02-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 941341 FN 08/37 FIXED 6                           | CUSIP: 31413CHS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        6831 | PA      | $7134.03       | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TRUST 2007-OPT3                                       | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 OPT3 2A3           | CUSIP: 83612KAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      272256 | PA      | $270598.81     | 0.00%             | 2037-08-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL BD0015 GN 09/47 FIXED 3.5                         | CUSIP: 3617BFAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      373959 | PA      | $346188.51     | 0.00%             | 2047-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 745174 FN 12/44 FLOATING VAR                      | CUSIP: 31403C2F7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      419660 | PA      | $424830.79     | 0.00%             | 2044-12-01      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB4531 FN 06/52 FIXED 3                           | CUSIP: 3140QQA96<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     8689309 | PA      | $7656694.18    | 0.02%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 766027 FN 02/34 FIXED 5                           | CUSIP: 31404EA48<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        7806 | PA      | $7845.07       | 0.00%             | 2034-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 543271 FN 07/30 FIXED 8.5                         | CUSIP: 31385FQY5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         407 | PA      | $409.28        | 0.00%             | 2030-07-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS0330 FN 08/43 FIXED 3                           | CUSIP: 3138W9LL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      440100 | PA      | $405012.74     | 0.00%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE                                                                    | ALTICE FRANCE SA SR SECURED 144A 07/29 5.125                | CUSIP: 02156LAF8<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |     4000000 | PA      | $3436200.00    | 0.01%             | 2029-07-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8383 FR 12/53 FIXED 5.5                 | CUSIP: 3132DWJ46<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      103364 | PA      | $104534.33     | 0.00%             | 2053-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIES 2006-KS2                                            | RESIDENTIAL ASSET SECURITIES C RASC 2006 KS2 M3             | CUSIP: 75406BAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1200000 | PA      | $1181123.04    | 0.00%             | 2036-03-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZK3616 FR 10/26 FIXED 3.5                 | CUSIP: 3131X7AR9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       10469 | PA      | $10389.26      | 0.00%             | 2026-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 677431 FN 01/33 FIXED 6                           | CUSIP: 31391USU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2716 | PA      | $2775.00       | 0.00%             | 2033-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 932639 FN 03/40 FIXED 5                           | CUSIP: 31412REL7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       23283 | PA      | $23857.16      | 0.00%             | 2040-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A6                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2006 A6 2A4                  | CUSIP: 46628BAW0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6735039 | PA      | $5259363.68    | 0.01%             | 2036-10-25      | Floating      | 4.26%                 | No            |                  2 | On Loan: No      |
| CONTINENTAL RESOURCES INC                                                        | CONTINENTAL RESOURCES COMPANY GUAR 01/28 4.375              | CUSIP: 212015AS0<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |     4889000 | PA      | $4858856.38    | 0.01%             | 2028-01-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 060680 FN 02/28 FLOATING VAR                      | CUSIP: 31362GM57<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         339 | PA      | $336.28        | 0.00%             | 2028-02-01      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 008911 G2 07/26 FLOATING VAR                   | CUSIP: 36202K3U7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         320 | PA      | $320.09        | 0.00%             | 2026-07-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS4714 FR 04/47 FIXED 4                   | CUSIP: 3132A5GX7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     6655309 | PA      | $6402199.68    | 0.01%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SUNTRUST ADJR MRTG LN TR 2007-1                                                  | SUNTRUST ADJUSTABLE RATE MORTG STARM 2007 1 2A1             | CUSIP: 78473NAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      126979 | PA      | $109351.62     | 0.00%             | 2037-02-25      | Floating      | 5.96%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QH2176 FR 10/53 FIXED 5.5                 | CUSIP: 3133CEMZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3750855 | PA      | $3789856.63    | 0.01%             | 2053-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SOFI CONSUMER LOAN PROGRAM 2025-A TRUST                                          | SOFI CONSUMER LOAN PROGRAM TRU SCLP 2025 A C 144A           | CUSIP: 83407UAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2944000 | PA      | $3021908.51    | 0.01%             | 2034-03-27      | Fixed         | 5.77%                 | No            |                  3 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2006-A1                                              | CHASE MORTGAGE FINANCE CORPORA CHASE 2006 A1 1A2            | CUSIP: 16163CAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      157441 | PA      | $141487.87     | 0.00%             | 2036-09-25      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| ORACLE CORPORATION                                                               | ORACLE CORP SR UNSECURED 09/55 5.95                         | CUSIP: 68389XDR3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    11000000 | PA      | $10973780.29   | 0.02%             | 2055-09-26      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ZAR BOUGHT USD 20251120                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $-2478.93      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 885413 FN 06/36 FIXED 6                           | CUSIP: 31410CVE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       33785 | PA      | $35511.99      | 0.00%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJ RATE MTGE LOAN 2006-1                                             | STRUCTURED ADJUSTABLE RATE MOR SARM 2006 1 8A1              | CUSIP: 863579R42<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1472190 | PA      | $764807.32     | 0.00%             | 2036-02-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 865115 FN 02/36 FIXED 5.5                         | CUSIP: 31409ADU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       17658 | PA      | $18382.37      | 0.00%             | 2036-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN MORTGAGE TRUST 2025-HYB1                                             | J P MORGAN MTG TR 2025 HYB1 01/56 1                         | CUSIP: 46594FAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    48099900 | PA      | $49127636.13   | 0.11%             | 2056-01-25      | Floating      | 6.63%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 829398 FN 11/35 FIXED 5.5                         | CUSIP: 31407FNP1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       19298 | PA      | $20090.11      | 0.00%             | 2035-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AU4920 FN 09/43 FIXED 3                           | CUSIP: 3138X4PE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      284552 | PA      | $260681.54     | 0.00%             | 2043-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 658744 FN 08/36 FIXED 6                           | CUSIP: 31390WZH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        9942 | PA      | $10301.33      | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH5271 FN 08/47 FIXED 4                           | CUSIP: 3140GT2D1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      361166 | PA      | $345651.60     | 0.00%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-76                                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 76 2A1            | CUSIP: 12668BDE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      187974 | PA      | $172599.84     | 0.00%             | 2036-02-25      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AX6923 FN 11/44 FIXED 4                           | CUSIP: 3138Y8VR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       67457 | PA      | $64697.46      | 0.00%             | 2044-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 594652 FN 06/31 FIXED 8.5                         | CUSIP: 31387UTH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       21793 | PA      | $22709.01      | 0.00%             | 2031-06-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL7277 FN 07/28 FIXED VAR                         | CUSIP: 3138EQCP5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      107295 | PA      | $106771.75     | 0.00%             | 2028-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2006-NC1                                              | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 NC1 A2D            | CUSIP: 172983AE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7668749 | PA      | $7645390.43    | 0.02%             | 2036-08-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE GRANTOR TRUST 2001-T1                                                 | FANNIEMAE GRANTOR TRUST FNGT 2001 T1 A1                     | CUSIP: 31358S4W8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       17048 | PA      | $17161.94      | 0.00%             | 2040-10-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 895110 FN 08/36 FIXED 6                           | CUSIP: 31410RN39<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        7265 | PA      | $7571.52       | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 407956 FN 10/27 FLOATING VAR                      | CUSIP: 31378TE50<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        6035 | PA      | $6061.89       | 0.00%             | 2027-10-01      | Floating      | 6.33%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 865174 FN 02/36 FIXED 6                           | CUSIP: 31409AFP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       13171 | PA      | $13844.82      | 0.00%             | 2036-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AH5616 FN 02/26 FIXED 3.5                         | CUSIP: 3138A7G28<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       14588 | PA      | $14532.43      | 0.00%             | 2026-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                                                | NATWEST GROUP PLC SR UNSECURED 03/28 VAR                    | CUSIP: 639057AM0<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    18300000 | PA      | $18429032.75   | 0.04%             | 2028-03-01      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| HSI ASSET SECURITIZATION CORP TRUST 2006-NC1 2006-NC1                            | HSI ASSET SECURITIZATION CORPO HASC 2006 NC1 2A             | CUSIP: 40430HER5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7878301 | PA      | $7428151.68    | 0.02%             | 2035-11-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES CORP TRUST 2018-RIVR                                      | GS MORTGAGE SECURITIES TRUST GSMS 2018 RIVR A 144A          | CUSIP: 36255WAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5590371 | PA      | $3801452.27    | 0.01%             | 2035-07-15      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE INC                                                    | INTERCONTINENTALEXCHANGE SR UNSECURED 09/28 3.625           | CUSIP: 45866FBB9<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |     4400000 | PA      | $4346113.20    | 0.01%             | 2028-09-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| TORREY PINES RE LTD                                                              | TORREY PINES RE LTD UNSECURED 144A 06/32 VAR                | CUSIP: 89141WAH5<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |     2200000 | PA      | $2294050.00    | 0.01%             | 2032-06-07      | Floating      | 10.00%                | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 711409 GN 05/39 FIXED 5                           | CUSIP: 36297GKW9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       51679 | PA      | $53029.43      | 0.00%             | 2039-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                     | UBS GROUP AG SR UNSECURED REGS 04/32 VAR                    | CUSIP: ACI24F5W8<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     2200000 | PA      | $2537382.11    | 0.01%             | 2032-04-02      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20260126                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $-662228.48    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-7                                                         | FANNIE MAE FNR 2012 7 QF                                    | CUSIP: 3136A3VW8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4244959 | PA      | $4205901.74    | 0.01%             | 2042-02-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 489757 FN 04/29 FIXED 6                           | CUSIP: 31382RB28<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2206 | PA      | $2265.70       | 0.00%             | 2029-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP OF AMERICA FINANCE LLC                                          | VOLKSWAGEN GROUP AMERICA COMPANY GUAR 144A 03/27 4.95       | CUSIP: 928668CN0<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |    15000000 | PA      | $15131298.00   | 0.03%             | 2027-03-25      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2018-RPL3                                            | LEGACY MORTGAGE ASSET TRUST LMAT 2018 RPL3 A1 144A          | CUSIP: 52474AAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    11175333 | PA      | $11155072.34   | 0.02%             | 2058-02-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TRY BOUGHT USD 20251001                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-5354.81      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MARS INCORPORATED                                                                | MARS INC SR UNSECURED 144A 03/32 5                          | CUSIP: 571676AZ8<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |     5500000 | PA      | $5629212.71    | 0.01%             | 2032-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QG0442 FR 03/53 FIXED 5                   | CUSIP: 3133C0P30<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1888999 | PA      | $1880829.58    | 0.00%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL BH3888 G2 05/48 FIXED 4                        | CUSIP: 3617H1J99<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1096978 | PA      | $1043771.92    | 0.00%             | 2048-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 253947 FN 08/31 FIXED 8                           | CUSIP: 31371KBQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1918 | PA      | $2017.80       | 0.00%             | 2031-08-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 789595 FH 07/32 FLOATING VAR              | CUSIP: 31295NUU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          84 | PA      | $85.12         | 0.00%             | 2032-07-01      | Floating      | 6.10%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL7963 FN 12/30 FIXED VAR                         | CUSIP: 3138EQZ54<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      110759 | PA      | $109757.86     | 0.00%             | 2030-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA0559 FN 09/30 FIXED 5                           | CUSIP: 31417YTR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       24200 | PA      | $24446.41      | 0.00%             | 2030-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BW5251 FN 02/53 FIXED 5.5                         | CUSIP: 3140MWZR0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      689006 | PA      | $697162.05     | 0.00%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB1776 FN 11/25 FIXED 3.5                         | CUSIP: 31416W6N7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1054 | PA      | $1051.16       | 0.00%             | 2025-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COMM MORTGAGE TRUST 2018-COR3                                                    | COMM MORTGAGE TRUST COMM 2018 COR3 A3                       | CUSIP: 12595VAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    45152284 | PA      | $44515998.01   | 0.10%             | 2051-05-10      | Fixed         | 4.23%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA ALT LOAN TRUST 2006-6                                            | BANC OF AMERICA ALTERNATIVE LO BOAA 2006 6 CB3              | CUSIP: 059487AC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      542565 | PA      | $475435.32     | 0.00%             | 2046-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 983835 FN 10/38 FIXED 5.5                         | CUSIP: 31415L4U8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1896 | PA      | $1959.53       | 0.00%             | 2038-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MELLON RES FUND CORP 1999-TBC3                                                   | MELLON RESIDENTIAL FUNDING COR MRFC 1999 TBC3 A2            | CUSIP: 585525DF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      261079 | PA      | $255621.60     | 0.00%             | 2029-10-20      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| SMALL BUSINESS ADMIN PART CERTS 2008-20H                                         | SMALL BUSINESS ADMINISTRATION SBAP 2008 20H 1               | CUSIP: 83162CRY1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       12409 | PA      | $12715.30      | 0.00%             | 2028-08-01      | Fixed         | 6.02%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD4942 FN 08/46 FIXED 4                           | CUSIP: 3140FCP44<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1513080 | PA      | $1455538.95    | 0.00%             | 2046-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $23004.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTGE LN 2005-17                                         | STRUCTURED ADJUSTABLE RATE MOR SARM 2005 17 3A1             | CUSIP: 863579VM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       16318 | PA      | $14170.10      | 0.00%             | 2035-08-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                   | MORGAN STANLEY MORGAN STANLEY                               | CUSIP: 61747YFP5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     4700000 | PA      | $4806220.47    | 0.01%             | 2028-04-13      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 008767 G2 12/25 FLOATING VAR                   | CUSIP: 36202KW43<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         129 | PA      | $128.55        | 0.00%             | 2025-12-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON MTGE PT TR 2006-AR4                                                | FIRST HORIZON MORTGAGE PASS TH FHASI 2006 AR4 1A2           | CUSIP: 32053AAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       12743 | PA      | $6105.50       | 0.00%             | 2037-01-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL    | CHARTER COMM OPT LLC/CAP CHARTER COMM OPT LLC/CAP           | CUSIP: 161175CQ5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     6000000 | PA      | $6297480.90    | 0.01%             | 2029-06-01      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| KOOKMIN BANK                                                                     | KOOKMIN BANK SUBORDINATED REGS 02/29 4.5                    | CUSIP: ACI17XR04<br>LEI: 549300XXMOJSIW8P4769 | Long             | DBT              | CORP              | KR        |     2500000 | PA      | $2498637.15    | 0.01%             | 2029-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317UABZA7 PIMCO SWAPTION 2.79 PUT EUR 20251006              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -43800000 | NC      | $-8572.28      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2400                                                                 | FREDDIE MAC FHR 2400 FQ                                     | CUSIP: 31339NC79<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1936 | PA      | $1935.68       | 0.00%             | 2032-01-15      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL BE4276 G2 06/48 FIXED 4                        | CUSIP: 3617BXXD0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2878278 | PA      | $2718991.98    | 0.01%             | 2048-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SECS-2007-2                                                 | BANC OF AMERICA MORTGAGE SECUR BOAMS 2007 2 A5              | CUSIP: 05952FAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      164991 | PA      | $119572.12     | 0.00%             | 2037-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC6015 FN 05/46 FIXED 4                           | CUSIP: 3140F1VH2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      495777 | PA      | $476245.98     | 0.00%             | 2046-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 1B2363 FH 09/35 FLOATING VAR              | CUSIP: 3128JMQR1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      230748 | PA      | $236050.91     | 0.00%             | 2035-09-01      | Floating      | 6.88%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX8435 FN 04/53 FIXED 5.5                         | CUSIP: 3140NDLR6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1409806 | PA      | $1425796.23    | 0.00%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AP3982 FN 09/42 FIXED 4                           | CUSIP: 3138M7M85<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       58484 | PA      | $56379.21      | 0.00%             | 2042-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QA7                                              | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QA7 1A1            | CUSIP: 751152AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1633854 | PA      | $1654038.46    | 0.00%             | 2036-08-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| BLUEMOUNTAIN FUJI EUR CLO III DAC 3A                                             | BLUEMOUNTAIN FUJI EUR CLO BLUME 3A A2R 144A                 | CUSIP: ACI1XNNH4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |      199106 | PA      | $231933.13     | 0.00%             | 2031-01-15      | Fixed         | 1.05%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AX4887 FN 12/44 FIXED 4                           | CUSIP: 3138Y6ND2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3321 | PA      | $3200.83       | 0.00%             | 2044-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL FUNDING MTGE SEC 2007-SA1                                            | RESIDENTIAL FUNDING MTG SEC I RFMSI 2007 SA1 2A2            | CUSIP: 74958WAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1393840 | PA      | $912593.37     | 0.00%             | 2037-02-25      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-26                                                        | FANNIE MAE FNR 2013 26 FE                                   | CUSIP: 3136ADWH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       76649 | PA      | $75373.03      | 0.00%             | 2043-04-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL AL3845 GN 02/45 FIXED 3.5                         | CUSIP: 36184AHW2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      804423 | PA      | $752415.19     | 0.00%             | 2045-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20251015                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-162334.22    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY3808 FN 08/53 FIXED 5.5                         | CUSIP: 3140NLGS2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      207113 | PA      | $209682.58     | 0.00%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 962491 FN 04/38 FIXED 5.5                         | CUSIP: 31414CXU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         235 | PA      | $244.43        | 0.00%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | MEXICO LA SP GST                                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $28434.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5353 FN 05/54 FIXED 5.5                         | CUSIP: 31418E5P1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      307514 | PA      | $310696.02     | 0.00%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE SA                                                               | CREDIT AGRICOLE SA SR UNSECURED 144A 01/27 VAR              | CUSIP: 22535WAH0<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |     3700000 | PA      | $3661370.45    | 0.01%             | 2027-01-26      | Floating      | 1.25%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2007-FS1                                           | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 FS1 1A1 144A       | CUSIP: 17313EAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1284556 | PA      | $1244343.61    | 0.00%             | 2037-10-25      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AC5396 FN 10/39 FIXED 6                           | CUSIP: 31417Q7J7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       49715 | PA      | $51202.28      | 0.00%             | 2039-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                   | MORGAN STANLEY SR UNSECURED 10/30 VAR                       | CUSIP: 61747YFU4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    25700000 | PA      | $25988809.66   | 0.06%             | 2030-10-18      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT ILS SOLD USD 20251015                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $88193.65      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2463                                                                 | FREDDIE MAC FHR 2463 ZB                                     | CUSIP: 31392MU59<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      151061 | PA      | $158128.51     | 0.00%             | 2032-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED REC 2006-HE1                                            | SECURITIZED ASSET BACKED RECEI SABR 2006 HE1 A2D            | CUSIP: 81376YAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2731604 | PA      | $902367.80     | 0.00%             | 2036-07-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 002922 G2 05/30 FIXED 8                        | CUSIP: 36202DG70<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         705 | PA      | $743.70        | 0.00%             | 2030-05-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 323159 FN 04/28 FIXED VAR                         | CUSIP: 31374S5U1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          29 | PA      | $28.94         | 0.00%             | 2028-04-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20251125                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $16367.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 591441 FN 08/31 FIXED 8.5                         | CUSIP: 31387RBJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         607 | PA      | $607.84        | 0.00%             | 2031-08-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL BH4770 G2 06/48 FIXED 4                        | CUSIP: 3617H2JP1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1894588 | PA      | $1794892.50    | 0.00%             | 2048-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ENCINA SPV                                                                       | ENCINA PRIVATE CREDIT PFD PFD0 PFD0ENCN8                    | CUSIP: 934KZP905<br>LEI: N/A                  | Long             | EP               | CORP              | US        |        3411 | NS      | $0.03          | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                                 | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 07/30 4.55              | CUSIP: 694308JM0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    29903000 | PA      | $29707337.79   | 0.07%             | 2030-07-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOEING CO/THE SNR S* ICE                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $154987.58     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL CK2706 GN 02/52 FIXED 4                           | CUSIP: 3617XXAF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1068547 | PA      | $1011642.17    | 0.00%             | 2052-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2025-PRL4                                    | GS MORTGAGE BACKED SECURITIES GSMBS 2025 RPL4 SA 144A       | CUSIP: 36272VAH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      218940 | PA      | $208996.58     | 0.00%             | 2065-08-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL8046 FN 01/28 FIXED VAR                         | CUSIP: 3138EQ5G3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        6023 | PA      | $5981.51       | 0.00%             | 2028-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS8701 FR 06/33 FIXED 3.5                 | CUSIP: 3132A9U21<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2416226 | PA      | $2385044.14    | 0.01%             | 2033-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                          | HCA INC DISC COML PAPER 4/A2 Y 10/25 ZCP                    | CUSIP: 40412BX99<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     2750000 | PA      | $2746863.08    | 0.01%             | 2025-10-09      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL7205 FN 12/29 FIXED VAR                         | CUSIP: 3138EQAF9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3861 | PA      | $3828.05       | 0.00%             | 2029-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZM2479 FR 01/47 FIXED 4                   | CUSIP: 3131XVXG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5261281 | PA      | $5061177.01    | 0.01%             | 2047-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5589                                                          | FREDDIE MAC FHR 5589 FB                                     | CUSIP: 3137HNFP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4300000 | PA      | $4309873.88    | 0.01%             | 2055-10-25      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AW5348 FN 06/29 FIXED 3.5                         | CUSIP: 3138XU5J7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       10489 | PA      | $10382.80      | 0.00%             | 2029-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2008-RR2                                                          | BCAP LLC TRUST BCAP 2008 RR2 A6 144A                        | CUSIP: 05531TAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1197169 | PA      | $1045607.30    | 0.00%             | 2034-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 907337 FN 03/37 FIXED 6                           | CUSIP: 31411GBE1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        8079 | PA      | $8327.02       | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL    | CHARTER COMM OPT LLC/CAP SR SECURED 06/41 3.5               | CUSIP: 161175BZ6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     7900000 | PA      | $5767077.34    | 0.01%             | 2041-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GPMT LLC 2021-FL3                                                                | GPMT LTD. GPMT 2021 FL3 A 144A                              | CUSIP: 36264BAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |     4168999 | PA      | $4160642.50    | 0.01%             | 2035-07-16      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY3                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY3 4A1            | CUSIP: 933634AJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6408325 | PA      | $5925705.47    | 0.01%             | 2037-03-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 255189 FN 05/34 FIXED 5                           | CUSIP: 31371LNE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4692 | PA      | $4761.39       | 0.00%             | 2034-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                | HSBC HOLDINGS PLC SR UNSECURED 03/29 VAR                    | CUSIP: 404280ET2<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |     5000000 | PA      | $5020751.20    | 0.01%             | 2029-03-03      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8349 FR 08/53 FIXED 5.5                 | CUSIP: 3132DWH22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    71237023 | PA      | $71977707.46   | 0.16%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT EUR SOLD USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-3107.91      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QH0856 FR 09/53 FIXED 6                   | CUSIP: 3133CC5R3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      513802 | PA      | $526692.10     | 0.00%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ASHFORD HOSPITALITY TRUST 2018-ASHF                                              | ASHFORD HOSPITALITY TRUST AHT1 2018 ASHF A 144A             | CUSIP: 04410RAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3241290 | PA      | $3239563.10    | 0.01%             | 2035-04-15      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL C01024 FG 07/30 FIXED 7.5                 | CUSIP: 31292HD50<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         118 | PA      | $120.92        | 0.00%             | 2030-07-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOEING CO/THE SNR S* ICE                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $1737449.88    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                             | JPMORGAN CHASE + CO SR UNSECURED 04/28 VAR                  | CUSIP: 46647PDA1<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     1835000 | PA      | $1839980.56    | 0.00%             | 2028-04-26      | Floating      | 4.32%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 004240 G2 09/38 FIXED 6.5                      | CUSIP: 36202EV97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         786 | PA      | $808.59        | 0.00%             | 2038-09-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX5669 FN 01/53 FIXED 5.5                         | CUSIP: 3140NAJP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      691526 | PA      | $698645.14     | 0.00%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-101                                                       | FANNIE MAE FNR 2013 101 SB                                  | CUSIP: 3136AGZY1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    12919231 | PA      | $12642817.85   | 0.03%             | 2043-10-25      | Floating      | 2.37%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD0935 FR 04/52 FIXED 3                   | CUSIP: 3132DNBC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    10926240 | PA      | $9631908.99    | 0.02%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080354 G2 12/29 FLOATING VAR                   | CUSIP: 36225CMC7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       24961 | PA      | $25057.49      | 0.00%             | 2029-12-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| EXELON CORPORATION                                                               | EXELON CORP SR UNSECURED 03/27 2.75                         | CUSIP: 30161NBB6<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |      770000 | PA      | $755163.75     | 0.00%             | 2027-03-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR14                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR14 1A1           | CUSIP: 93363PAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        9620 | PA      | $8681.97       | 0.00%             | 2036-11-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| NOVASTAR HOME EQUITY LOAN 2007-1                                                 | NOVASTAR HOME EQUITY LOAN NHEL 2007 1 A2C                   | CUSIP: 669971AD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2904230 | PA      | $923621.75     | 0.00%             | 2037-03-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT KRW SOLD USD 20251015                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $148399.15     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5072 FN 07/53 FIXED 5.5                         | CUSIP: 31418ET67<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    47224108 | PA      | $47715115.53   | 0.11%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE TRUST-2006-16AX                                          | MORGAN STANLEY MORTGAGE LOAN T MSM 2006 16AX 2A1            | CUSIP: 617487AB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3159908 | PA      | $875808.89     | 0.00%             | 2036-11-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| ROUNDSTONE SECURITIES NO 2 DESIGNATED ACTIVITY CO 2A                             | ROUNDSTONE SECURITIES RNST 2A D 144A                        | CUSIP: ACI2NG9B7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |    24158000 | PA      | $28196564.28   | 0.06%             | 2058-06-28      | Floating      | 3.98%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 31750R8W0 PIMCO FXVAN PUT EUR USD 1.13150000                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |   231613000 | NC      | $5982.36       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT NOK SOLD USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |           1 | NC      | $4076.70       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DALLAS FORT WORTH INTERNATIONAL AIRPORT                                          | DALLAS FORT WORTH TX INTERNATI DALAPT 11/25 FIXED 1.329     | CUSIP: 2350366M7<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     1000000 | PA      | $997628.70     | 0.00%             | 2025-11-01      | Fixed         | 1.33%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL AM2842 GN 04/45 FIXED 3.5                         | CUSIP: 36184NEP2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       83224 | PA      | $76196.61      | 0.00%             | 2045-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                                 | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 03/29 4.2               | CUSIP: 694308KB2<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    26800000 | PA      | $26580764.48   | 0.06%             | 2029-03-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H20                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 H20 FC              | CUSIP: 38376RFL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    10992037 | PA      | $10996859.82   | 0.02%             | 2065-08-20      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2004-8                                               | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2004 8 3A2             | CUSIP: 41161PHF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       52368 | PA      | $44528.64      | 0.00%             | 2034-11-19      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR CO LTD                                                              | NISSAN MOTOR CO SR UNSECURED REGS 09/28 3.201               | CUSIP: ACI1RDJR6<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |     3100000 | PA      | $3584468.91    | 0.01%             | 2028-09-17      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD RON BOUGHT USD 20251022                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |           1 | NC      | $40.59         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080344 G2 11/29 FLOATING VAR                   | CUSIP: 36225CL20<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       41094 | PA      | $41249.48      | 0.00%             | 2029-11-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2003-AR9                                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2003 AR9 2A             | CUSIP: 92922FBX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        8896 | PA      | $8712.61       | 0.00%             | 2033-09-25      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| NOMURA ASSET ACCEPTANCE CORP 2005-AR5                                            | NOMURA ASSET ACCEPTANCE CORPOR NAA 2005 AR5 2A1             | CUSIP: 65535VPU6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       25829 | PA      | $23258.44      | 0.00%             | 2035-10-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SECURITIES LN TR 2007-1                                           | DEUTSCHE ALT A SECURITIES INC DBALT 2007 1 2A1              | CUSIP: 25151YAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       87454 | PA      | $75860.62      | 0.00%             | 2037-08-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2018-PARK                             | BANC OF AMERICA MERRILL LYNCH BAMLL 2018 PARK A 144A        | CUSIP: 05491YAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5681000 | PA      | $5543274.38    | 0.01%             | 2038-08-10      | Variable      | 4.23%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR CO LTD                                                              | NISSAN MOTOR CO SR UNSECURED 144A 09/27 4.345               | CUSIP: 654744AC5<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |   132300000 | PA      | $129903553.52  | 0.29%             | 2027-09-17      | Fixed         | 4.34%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP OF AMERICA FINANCE LLC                                          | VOLKSWAGEN GROUP AMERICA COMPANY GUAR 144A 03/30 5.35       | CUSIP: 928668CQ3<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |     1800000 | PA      | $1848319.81    | 0.00%             | 2030-03-27      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q05597 FG 01/42 FIXED 4.5                 | CUSIP: 3132GL3E2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      140461 | PA      | $140293.70     | 0.00%             | 2042-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FS0109 FN 03/32 FIXED VAR                         | CUSIP: 3140XFDP3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      255166 | PA      | $253335.25     | 0.00%             | 2032-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| VENTURE 36 CLO LTD                                                               | VENTURE CDO LTD VENTR 2019 36A A1AR 144A                    | CUSIP: 92332LAU3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    12238962 | PA      | $12268063.53   | 0.03%             | 2032-04-20      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                                          | BPCE SA BPCE SA                                             | CUSIP: 05571AAX3<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |     4750000 | PA      | $4896782.03    | 0.01%             | 2029-05-30      | Fixed         | 5.28%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT PEN SOLD USD 20260316                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $48777.03      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-8                                                  | BEAR STEARNS ALT A TRUST BALTA 2006 8 3A1                   | CUSIP: 07387QAX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      474497 | PA      | $449389.46     | 0.00%             | 2034-02-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 0.70000 04/11/22-5Y LCH                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $-2152864.28   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PERFORMER FUNDING 1 PLC 1A                                                       | PERFORMER FUNDING PERFF 1A E 144A                           | CUSIP: ACI2M19Z8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | GB        |     6200000 | PA      | $8470606.68    | 0.02%             | 2035-06-21      | Floating      | 9.47%                 | No            |                  2 | On Loan: No      |
| DUTCH MORTGAGE FINANCE BV 2024-1                                                 | DUTCH MORTGAGE FINANCE DMFI 2024 1A B                       | CUSIP: ACI2Q4L43<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | NL        |     6146000 | PA      | $7246037.98    | 0.02%             | 2067-08-22      | Floating      | 3.08%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 05/43 2.875                                 | CUSIP: 912810RB6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   252260000 | PA      | $197708775.00  | 0.44%             | 2043-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS3757 FN 11/29 FIXED 3.5                         | CUSIP: 3138WDE72<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      106758 | PA      | $105464.69     | 0.00%             | 2029-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| TOYOTA MOTOR CREDIT CORPORATION                                                  | TOYOTA MOTOR CREDIT CORP SR UNSECURED 09/28 4.05            | CUSIP: 89236TNR2<br>LEI: Z2VZBHUMB7PWWJ63I008 | Long             | DBT              | CORP              | US        |     2000000 | PA      | $2005808.04    | 0.00%             | 2028-09-05      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 823688 FN 06/35 FLOATING VAR                      | CUSIP: 31406YCZ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       54404 | PA      | $56204.91      | 0.00%             | 2035-06-01      | Floating      | 6.41%                 | No            |                  2 | On Loan: No      |
| EXTRA SPACE STORAGE LP                                                           | EXTRA SPACE STORAGE LP COMPANY GUAR 07/26 3.5               | CUSIP: 30225VAL1<br>LEI: 549300YNKSKNZFR8UC42 | Long             | DBT              | CORP              | US        |     5600000 | PA      | $5575278.97    | 0.01%             | 2026-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AIR CANADA 2015-1 CLASS A PASS THROUGH TRUST                                     | AIR CANADA 2015 1A PTT PASS THRU CE 144A 09/28 3.6          | CUSIP: 009090AA9<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |     2735211 | PA      | $2695789.28    | 0.01%             | 2028-09-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 919372 FN 05/37 FIXED 6                           | CUSIP: 31412AMV3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       41037 | PA      | $41915.80      | 0.00%             | 2037-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                                                    | BOEING CO/THE SR UNSECURED 05/31 6.388                      | CUSIP: 097023DR3<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     8100000 | PA      | $8826049.25    | 0.02%             | 2031-05-01      | Fixed         | 6.39%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G03620 FG 10/37 FIXED 6.5                 | CUSIP: 3128M5K90<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        6082 | PA      | $6452.21       | 0.00%             | 2037-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 554866 FN 11/30 FIXED 8                           | CUSIP: 31385WMP1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          86 | PA      | $85.55         | 0.00%             | 2030-11-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 008814 G2 02/26 FLOATING VAR                   | CUSIP: 36202KYK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         848 | PA      | $846.41        | 0.00%             | 2026-02-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL6453 FN 10/29 FIXED VAR                         | CUSIP: 3138EPE34<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1183 | PA      | $1166.41       | 0.00%             | 2029-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2006-AR4                                           | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR4 A1A            | CUSIP: 45661EAV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       41234 | PA      | $37759.12      | 0.00%             | 2046-05-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-HYB1                                                 | COUNTRYWIDE HOME LOANS CWHL 2007 HYB1 3A1                   | CUSIP: 22239EAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      187030 | PA      | $160495.83     | 0.00%             | 2037-03-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY0367 FN 06/53 FIXED 6                           | CUSIP: 3140NGMR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5865231 | PA      | $6018477.47    | 0.01%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD NZD BOUGHT USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |           1 | NC      | $5534.39       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2006-NC3                                                     | ACE SECURITIES CORP. ACE 2006 NC3 A2B                       | CUSIP: 00442EAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5064215 | PA      | $1271951.59    | 0.00%             | 2036-12-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 826289 FN 09/32 FIXED 6                           | CUSIP: 31407B7A1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        6016 | PA      | $6187.86       | 0.00%             | 2032-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RENEW WIND ENERGY AP2 / RENEW POWER PVT LTD OTHER 9 SUBSIDIARIES                 | 10 RENEW POWER SUBSIDIAR SR SECURED 144A 07/28 4.5          | CUSIP: 75973PAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | IN        |     7900000 | PA      | $7632322.64    | 0.02%             | 2028-07-14      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2003-AR9                                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2003 AR9 1A6            | CUSIP: 92922FBV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      171391 | PA      | $170277.17     | 0.00%             | 2033-09-25      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GOVT                                                              | UNITED KINGDOM GILT BONDS REGS 03/27 3.75                   | CUSIP: BPSNB4II5<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |   447000000 | PA      | $599186201.33  | 1.32%             | 2027-03-07      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AU6766 FN 08/43 FIXED 3                           | CUSIP: 3138X6QU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4671 | PA      | $4298.07       | 0.00%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NXP BV / NXP FUNDING LLC / NXP USA INC                                           | NXP BV/NXP FDG/NXP USA COMPANY GUAR 06/26 3.875             | CUSIP: 62954HAZ1<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |    37682000 | PA      | $37594240.13   | 0.08%             | 2026-06-18      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AT3221 FN 03/27 FIXED 3.5                         | CUSIP: 3138WQSK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       21477 | PA      | $21324.25      | 0.00%             | 2027-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 918407 FN 05/37 FIXED 6                           | CUSIP: 31411YKU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       93802 | PA      | $97655.01      | 0.00%             | 2037-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CHF SOLD USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |           1 | NC      | $-38200.58     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVEST LN TR 2006-BNC3                                          | STRUCTURED ASSET INVESTMENT LO SAIL 2006 BNC3 A3            | CUSIP: 86361KAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      308801 | PA      | $308066.59     | 0.00%             | 2036-09-25      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2024-RP3                                           | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2024 RP3 SA 144A        | CUSIP: 173112AR4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       82408 | PA      | $81598.04      | 0.00%             | 2063-02-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| BAYER US FINANCE LLC                                                             | BAYER US FINANCE LLC BAYER US FINANCE LLC                   | CUSIP: 07274EAH6<br>LEI: 54930093Q75GSEM74I71 | Long             | DBT              | CORP              | US        |    36300000 | PA      | $36940011.11   | 0.08%             | 2026-11-21      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-44716.27     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20251020                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $555531.56     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HOLDINGS PLC                                                  | SANTANDER UK GROUP HLDGS SR UNSECURED 01/29 VAR             | CUSIP: 80281LAT2<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |    25600000 | PA      | $26799335.68   | 0.06%             | 2029-01-10      | Floating      | 6.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ZAR BOUGHT USD 20251120                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $-118938.92    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2018-RPL1                                            | LEGACY MORTGAGE ASSET TRUST LMAT 2018 RPL1 PT 144A          | CUSIP: 52474BAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   251613676 | PA      | $230916463.12  | 0.51%             | 2057-12-26      | Variable      | 4.59%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 835746 FN 08/35 FIXED 5                           | CUSIP: 31407NP72<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2768 | PA      | $2835.16       | 0.00%             | 2035-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 557449 FN 10/30 FIXED 8.5                         | CUSIP: 31386AH25<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       17066 | PA      | $17761.20      | 0.00%             | 2030-10-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3868 FN 12/39 FIXED 3                           | CUSIP: 31418DJN3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1120184 | PA      | $1049548.85    | 0.00%             | 2039-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| EXTENDED STAY AMERICA TRUST 2021-ESH                                             | EXTENDED STAY AMERICA TRUST ESA 2021 ESH A 144A             | CUSIP: 30227FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   112493020 | PA      | $112580483.07  | 0.25%             | 2038-07-15      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZA2638 FR 06/26 FIXED 3.5                 | CUSIP: 31329K4X9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3520 | PA      | $3503.22       | 0.00%             | 2026-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080000 G2 10/26 FLOATING VAR                   | CUSIP: 36225CAA4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       12764 | PA      | $12770.23      | 0.00%             | 2026-10-20      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-A2                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2007 A2 4A1M                 | CUSIP: 46630PAZ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      128379 | PA      | $105846.35     | 0.00%             | 2037-04-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | STRIPS 02/41 0.00000                                        | CUSIP: 912834JP4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    26600000 | PA      | $12857356.32   | 0.03%             | 2041-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT KRW SOLD USD 20251022                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $-83145.93     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD NZD BOUGHT USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |           1 | NC      | $-274.08       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3832 FN 11/39 FIXED 3.5                         | CUSIP: 31418DHJ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       20457 | PA      | $19645.78      | 0.00%             | 2039-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                          | HCA INC COMPANY GUAR 09/26 5.375                            | CUSIP: 404121AH8<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    26700000 | PA      | $26818750.92   | 0.06%             | 2026-09-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080174 G2 03/28 FLOATING VAR                   | CUSIP: 36225CFQ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       55700 | PA      | $55655.40      | 0.00%             | 2028-03-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 888743 FN 01/36 FIXED VAR                         | CUSIP: 31410GLY7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       47706 | PA      | $50254.75      | 0.00%             | 2036-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2075                                                                 | FREDDIE MAC FHR 2075 Z                                      | CUSIP: 3133TGCZ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       70057 | PA      | $71038.44      | 0.00%             | 2028-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS6769 FR 10/26 FIXED 3.5                 | CUSIP: 3132A7QW4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5163 | PA      | $5145.96       | 0.00%             | 2026-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BARCLAYS MORTGAGE LOAN TRUST 2024-NQM2                                           | BARCLAYS MORTGAGE LOAN TRUST BARC 2024 NQM2 SA 144A         | CUSIP: 06745JAH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         837 | PA      | $836.89        | 0.00%             | 2064-03-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| THAMES WATER UTILITIES FINANCE PLC                                               | THAMES WATER UTIL FIN SR SECURED REGS 01/34 2.625           | CUSIP: ACI0RZP43<br>LEI: 213800ESMPQ4RQ7G8351 | Long             | DBT              | CORP              | GB        |     7300000 | PA      | $6717448.03    | 0.01%             | 2034-01-24      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | J P MORGAN TERM REPO                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |   114152415 | PA      | $114152415.00  | 0.25%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2007-MN1A                                              | STRUCTURED ASSET SECURITIES CO SASC 2007 MN1A A1 144A       | CUSIP: 863613AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    15810546 | PA      | $9103372.24    | 0.02%             | 2037-01-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-3201                                                                 | FREDDIE MAC FHR 3201 SG                                     | CUSIP: 31397APC1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       47380 | PA      | $5286.20       | 0.00%             | 2036-08-15      | Floating      | 2.01%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                          | MPLX LP SR UNSECURED 03/28 4                                | CUSIP: 55336VAR1<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |      256000 | PA      | $254861.80     | 0.00%             | 2028-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLINES 2019-2 CLASS A PASS THROUGH TRUST                                | UNITED AIR 2019 2 A PTT PASS THRU CE 11/29 2.9              | CUSIP: 90932MAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1276502 | PA      | $1213025.05    | 0.00%             | 2029-11-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| BARROW FUNDING PLC 1A                                                            | BARROW FUNDING PLC BARRO 1A E                               | CUSIP: ACI2P7X69<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     2494000 | PA      | $3397584.71    | 0.01%             | 2062-11-16      | Floating      | 8.48%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2010-99                                                        | FANNIE MAE FNR 2010 99 NP                                   | CUSIP: 31398T4L2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    11914250 | PA      | $11464998.26   | 0.03%             | 2040-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                                    | FORD MOTOR CREDIT CO LLC SR UNSECURED 11/25 3.375           | CUSIP: 345397B28<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    17400000 | PA      | $17368673.74   | 0.04%             | 2025-11-13      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC4912 FN 03/46 FIXED 4                           | CUSIP: 3140F0N67<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       42809 | PA      | $41180.97      | 0.00%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2006-EQ2                                           | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2006 EQ2 A2             | CUSIP: 83611XAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2330573 | PA      | $1701760.47    | 0.00%             | 2037-01-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2003-1                                                   | GSR MORTGAGE LOAN TRUST GSR 2003 1 A2                       | CUSIP: 36229RJJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        1842 | PA      | $1842.15       | 0.00%             | 2033-03-25      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 721044 FN 06/33 FLOATING VAR                      | CUSIP: 31401XBM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3608 | PA      | $3718.19       | 0.00%             | 2033-06-01      | Floating      | 6.41%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2022-H02                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2022 H02 FN              | CUSIP: 38382YNR0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    53717583 | PA      | $53096338.96   | 0.12%             | 2072-01-20      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 1N1447 FH 02/37 FLOATING VAR              | CUSIP: 3128QHTC4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         560 | PA      | $561.92        | 0.00%             | 2037-02-01      | Floating      | 6.32%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL BG7975 G2 06/48 FIXED 4                        | CUSIP: 3617GS2G3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      922350 | PA      | $873823.92     | 0.00%             | 2048-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FISH POND RE LTD                                                                 | FISH POND RE LTD UNSECURED 144A 01/27 VAR                   | CUSIP: 33774EAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |     1400000 | PA      | $1439410.00    | 0.00%             | 2027-01-08      | Floating      | 7.98%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY5876 FN 06/53 FIXED 5.5                         | CUSIP: 3140NNQ65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3106374 | PA      | $3146428.28    | 0.01%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QG2926 FR 05/53 FIXED 5.5                 | CUSIP: 3133C3HB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3339541 | PA      | $3380427.98    | 0.01%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD JPY BOUGHT USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $881399.39     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FS5885 FN 09/53 FIXED VAR                         | CUSIP: 3140XMRF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      100875 | PA      | $102142.58     | 0.00%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 08/49 2.25                                  | CUSIP: 912810SJ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   664312500 | PA      | $424173907.81  | 0.93%             | 2049-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL D78440 FG 02/27 FIXED 7.5                 | CUSIP: 3128FLLV3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1415 | PA      | $1421.02       | 0.00%             | 2027-02-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.72680 03/01/24-7Y* LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-1023677.72   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BENCHMARK MORTGAGE TRUST  2020-B16                                               | BENCHMARK MORTGAGE TRUST BMARK 2020 B16 ASB                 | CUSIP: 08161NAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8459290 | PA      | $8189795.99    | 0.02%             | 2053-02-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD JPY BOUGHT USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $4900.14       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II TBA 30 YR 2 JUMBOS                                  | CUSIP: 21H0206B6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   180700000 | PA      | $149427378.57  | 0.33%             | 2055-11-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR GBP SONIO/0.90000 03/15/22-30Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |           1 | NC      | $13118770.09   | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2017-RPL2                            | CREDIT SUISSE MORTGAGE TRUST CSMC 2017 RPL2 B2 144A         | CUSIP: 12594YAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    66087781 | PA      | $48549260.29   | 0.11%             | 2056-02-25      | Variable      | 3.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H22                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 H22 FC              | CUSIP: 38376RGP5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      378168 | PA      | $378275.24     | 0.00%             | 2065-09-20      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT KWD SOLD USD 20270610                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-1363.85      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MMAF EQUIPMENT FINANCE LLC 2024-A                                                | MMAF EQUIPMENT FINANCE LLC MMAF 2024 A A2 144A              | CUSIP: 55318CAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1933707 | PA      | $1940306.77    | 0.00%             | 2027-09-13      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2005-AR11                                           | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR11 A6            | CUSIP: 45660LQL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      188688 | PA      | $139672.73     | 0.00%             | 2035-08-25      | Floating      | 3.69%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2018-RP2                                           | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2018 RP2 B4 144A        | CUSIP: 17326UAK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1760000 | PA      | $1122514.80    | 0.00%             | 2058-02-25      | Variable      | 3.08%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                                                              | GLOBAL PAYMENTS INC SR UNSECURED 05/30 2.9                  | CUSIP: 37940XAD4<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |     3892000 | PA      | $3603155.69    | 0.01%             | 2030-05-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT NZD SOLD USD 20251104                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |           1 | NC      | $5900.68       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2023-4                                                | VERUS SECURITIZATION TRUST VERUS 2023 4 A1 144A             | CUSIP: 92539TAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      491413 | PA      | $493211.04     | 0.00%             | 2068-05-25      | Fixed         | 5.81%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 745290 FN 02/36 FIXED VAR                         | CUSIP: 31403C7B1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        6039 | PA      | $6366.71       | 0.00%             | 2036-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 1G1913 FH 05/37 FLOATING VAR              | CUSIP: 3128QSDS2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5708 | PA      | $5873.42       | 0.00%             | 2037-05-01      | Floating      | 6.74%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 003042 G2 02/31 FIXED 8                        | CUSIP: 36202DLX7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       10448 | PA      | $10952.79      | 0.00%             | 2031-02-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINANCIAL GROUP INC                                              | SUMITOMO MITSUI FINL GRP SR UNSECURED 01/29 2.472           | CUSIP: 86562MCN8<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |    18800000 | PA      | $17833622.85   | 0.04%             | 2029-01-14      | Fixed         | 2.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $1122100.98    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2004-18                                                               | FANNIE MAE FNR 2004 18 EZ                                   | CUSIP: 31393XSX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       71032 | PA      | $74088.96      | 0.00%             | 2034-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| METROPOLITAN LIFE GLOBAL FUNDING I                                               | MET LIFE GLOB FUNDING I SECURED 144A 12/26 3.45             | CUSIP: 59217GBY4<br>LEI: 635400MMSOCXNNNZDZ82 | Long             | DBT              | CORP              | US        |    17500000 | PA      | $17395322.70   | 0.04%             | 2026-12-18      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| TPG REAL ESTATE FINANCE ISSUER LTD 2022-FL5                                      | TPG REAL ESTATE FINANCE TRTX 2022 FL5 A 144A                | CUSIP: 87277JAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    41222738 | PA      | $41328747.90   | 0.09%             | 2039-02-15      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2019-OC11                                                               | BX TRUST 2019 OC11 BX 2019 OC11 A 144A                      | CUSIP: 05606FAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3681000 | PA      | $3481799.37    | 0.01%             | 2041-12-09      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 1B2281 FH 07/35 FLOATING VAR              | CUSIP: 3128JMM79<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      229609 | PA      | $235026.30     | 0.00%             | 2035-07-01      | Floating      | 6.69%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB6821 FN 08/53 FIXED 5.5                         | CUSIP: 3140QSSK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      114046 | PA      | $115561.80     | 0.00%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD2228 FN 08/46 FIXED 4                           | CUSIP: 3140F9PN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1062876 | PA      | $1014575.28    | 0.00%             | 2046-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ILS BOUGHT USD 20251113                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $-74269.14     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AX5691 FN 10/44 FIXED 4                           | CUSIP: 3138Y7KD3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      175891 | PA      | $169384.55     | 0.00%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AREIT TRUST 2022-CRE7                                                            | AREIT CRE TRUST AREIT 2022 CRE7 A 144A                      | CUSIP: 00217VAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    26120986 | PA      | $26167572.70   | 0.06%             | 2039-06-17      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC 2006-2                                               | MLCC MORTGAGE INVESTORS INC MLCC 2006 2 1A                  | CUSIP: 590219AD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       45927 | PA      | $46548.71      | 0.00%             | 2036-05-25      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| COOPERATIEVE RABOBANK UA (AKA: RABOBANK NEDERLAND)                               | COOPERATIEVE RABOBANK UA SR UNSECURED 144A 08/28 VAR        | CUSIP: 74977RDR2<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |    32000000 | PA      | $32280097.92   | 0.07%             | 2028-08-22      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                      | BANK OF AMERICA CORP SR UNSECURED 10/26 VAR                 | CUSIP: 06051GJK6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    26600000 | PA      | $26549137.34   | 0.06%             | 2026-10-24      | Floating      | 1.20%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB4815 FN 04/27 FIXED 3.5                         | CUSIP: 31417BK55<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1713 | PA      | $1700.85       | 0.00%             | 2027-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q42458 FG 06/46 FIXED 3.5                 | CUSIP: 3132WFWU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      138586 | PA      | $129702.94     | 0.00%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 932842 FN 12/25 FIXED 3.5                         | CUSIP: 31412RLX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3308 | PA      | $3297.58       | 0.00%             | 2025-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 908199 FN 01/37 FIXED 6                           | CUSIP: 31411G7L0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3214 | PA      | $3325.07       | 0.00%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                     | UBS GROUP AG SR UNSECURED 144A 12/27 VAR                    | CUSIP: 225401BC1<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    42600000 | PA      | $43674055.06   | 0.10%             | 2027-12-22      | Floating      | 6.33%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                                                                     | ENBRIDGE INC COMPANY GUAR 11/28 6                           | CUSIP: 29250NBX2<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |    21100000 | PA      | $22204649.36   | 0.05%             | 2028-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 904453 FN 11/36 FIXED 6                           | CUSIP: 31411CZS3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        8130 | PA      | $8410.89       | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL BB4481 GN 07/47 FIXED 5                           | CUSIP: 3617AU6S4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      148836 | PA      | $148553.24     | 0.00%             | 2047-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS7926 FR 08/32 FIXED 3.5                 | CUSIP: 3132A8YX1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       62278 | PA      | $61565.08      | 0.00%             | 2032-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3683 FN 06/39 FIXED 3.5                         | CUSIP: 31418DCV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      192443 | PA      | $185048.71     | 0.00%             | 2039-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CREDIT-BACKED ASSET SERVICING 2007-CB3                                           | CREDIT BASED ASSET SERVICING A CBASS 2007 CB3 A3            | CUSIP: 17311YAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4179303 | PA      | $1461657.34    | 0.00%             | 2037-03-25      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AX7198 FN 12/44 FIXED 4                           | CUSIP: 3138Y87L8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4842 | PA      | $4666.10       | 0.00%             | 2044-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MTGE LOAN TR 2005-1                                                   | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2005 1 M4              | CUSIP: 542514KC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2045176 | PA      | $2014267.00    | 0.00%             | 2035-02-25      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2006-AR3                                           | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR3 2A1B           | CUSIP: 45660L5T2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1163129 | PA      | $796309.00     | 0.00%             | 2036-03-25      | Floating      | 3.82%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-5T2                                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 5T2 A7            | CUSIP: 12668BNA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      776875 | PA      | $334995.12     | 0.00%             | 2036-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| VENTURE 32 CLO LTD                                                               | VENTURE CDO LTD VENTR 2018 32A A1 144A                      | CUSIP: 92325QAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      635107 | PA      | $635977.27     | 0.00%             | 2031-07-18      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| ABILENE DC 3 LLC/ABILENE DC 4 LLC                                                | PROJECT FLASH DELAYED DRAW TERM LOAN 2                      | CUSIP: BA000KJT9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    31583706 | PA      | $31583705.91   | 0.07%             | 2030-04-30      | Floating      | 3.55%                 | No            |                  3 | On Loan: No      |
| BBCMS MORTGAGE TRUST 2022-C16                                                    | BARCLAYS COMMERCIAL MORTGAGE S BBCMS 2022 C16 A5            | CUSIP: 05552YAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5000000 | PA      | $4961651.50    | 0.01%             | 2055-06-15      | Variable      | 4.60%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AT8459 FN 06/28 FIXED 3                           | CUSIP: 3138WWMH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         638 | PA      | $627.94        | 0.00%             | 2028-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 909856 FN 03/37 FIXED 6                           | CUSIP: 31411JZV1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1041 | PA      | $1073.68       | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20251031                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $-480573.16    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR7                                                 | GSR MORTGAGE LOAN TRUST GSR 2005 AR7 6A1                    | CUSIP: 362341XG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2925195 | PA      | $2554221.97    | 0.01%             | 2035-11-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL D97473 FG 12/27 FIXED 6                   | CUSIP: 3128E4JS2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       18477 | PA      | $18892.14      | 0.00%             | 2027-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MTGE LN TR 2007-13                                                | MORGAN STANLEY MORTGAGE LOAN T MSM 2007 13 6A1              | CUSIP: 61756HBN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1332172 | PA      | $685589.90     | 0.00%             | 2037-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 940642 FN 08/37 FIXED 6                           | CUSIP: 31413BP39<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3403 | PA      | $3588.21       | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.70000 12/31/25-9Y* LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-1347902.55   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H02                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H02 FB              | CUSIP: 38382YN90<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    21913676 | PA      | $21963652.59   | 0.05%             | 2073-01-20      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL C90986 FG 06/26 FIXED 7                   | CUSIP: 3128P7CX9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          91 | PA      | $94.78         | 0.00%             | 2026-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 535533 FN 10/30 FIXED VAR                         | CUSIP: 31384V4S8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       24388 | PA      | $25541.42      | 0.00%             | 2030-10-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA4655 FN 07/52 FIXED 4                           | CUSIP: 31418EE55<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4437148 | PA      | $4196052.91    | 0.01%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT ILS SOLD USD 20251113                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $8638.25       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 10                                                        | SEQUOIA MORTGAGE TRUST SEMT 10 1A                           | CUSIP: 81743VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       39249 | PA      | $38155.44      | 0.00%             | 2027-10-20      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT NZD SOLD USD 20251104                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |           1 | NC      | $-5528.24      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QE1796 FR 05/52 FIXED 3                   | CUSIP: 3133BA7H8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      105579 | PA      | $93173.09      | 0.00%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-87                                                        | FANNIE MAE FNR 2012 87 SQ                                   | CUSIP: 3136A7YG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4804820 | PA      | $736533.19     | 0.00%             | 2042-08-25      | Floating      | 1.83%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 937822 FN 06/37 FIXED 6                           | CUSIP: 31412XLB8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2985 | PA      | $3147.56       | 0.00%             | 2037-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL1121 FN 12/26 FIXED VAR                         | CUSIP: 3138EHG71<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       45923 | PA      | $45656.38      | 0.00%             | 2026-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RA7589 FR 03/52 FIXED 3                   | CUSIP: 3133KPNE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    20899310 | PA      | $18415756.01   | 0.04%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RA7041 FR 03/52 FIXED 3                   | CUSIP: 3133KNZE6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    75872089 | PA      | $66854787.02   | 0.15%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2002-82                                                               | FANNIE MAE FNR 2002 82 PE                                   | CUSIP: 31392FW86<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       62055 | PA      | $64594.02      | 0.00%             | 2032-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2019-FL12                 | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2019 FL12 A 144A       | CUSIP: 46651QAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      992338 | PA      | $988835.75     | 0.00%             | 2031-12-15      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2006-EQ2                                           | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2006 EQ2 A3             | CUSIP: 83611XAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2224763 | PA      | $1624529.86    | 0.00%             | 2037-01-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2023-4A                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2023 4A A1 144A         | CUSIP: 21056DAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     3274524 | PA      | $3288513.90    | 0.01%             | 2053-11-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| PROTEUS RMBS DAC 1A                                                              | PROTEUS RMBS DAC PROTE 1A YR 144A                           | CUSIP: ACI1746Z4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |      481000 | PA      | $0.85          | 0.00%             | 2054-10-29      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AX7479 FN 11/44 FIXED 4.5                         | CUSIP: 3138Y9JZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       36184 | PA      | $35690.71      | 0.00%             | 2044-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF8267 FR 03/53 FIXED 5.5                 | CUSIP: 3133BWFG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5093485 | PA      | $5177520.91    | 0.01%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AA8753 FN 06/39 FIXED 5                           | CUSIP: 31416SWP2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       61793 | PA      | $63315.82      | 0.00%             | 2039-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 813599 FN 01/36 FLOATING VAR                      | CUSIP: 31406L3G1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       39629 | PA      | $40714.60      | 0.00%             | 2036-01-01      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| EMPIRE STATE DEVELOPMENT CORPORATION                                             | NEW YORK ST URBAN DEV CORP REV NYSDEV 03/32 FIXED 2.127     | CUSIP: 650036BA3<br>LEI: 54930039Y2EMGXN6LM88 | Long             | DBT              | MUN               | US        |    23000000 | PA      | $20205493.10   | 0.04%             | 2032-03-15      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 257713 FN 05/37 FIXED 6                           | CUSIP: 31371PGW4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        7197 | PA      | $7401.76       | 0.00%             | 2037-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                            | WELLS FARGO + COMPANY WELLS FARGO + COMPANY                 | CUSIP: 95000U3J0<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    22400000 | PA      | $23073212.06   | 0.05%             | 2030-01-23      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| BNPAM-2018-1A                                                                    | BNPP IP EURO CLO BNPAM 2018 1A AR 144A                      | CUSIP: ACI1W1J88<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     3094238 | PA      | $3632871.36    | 0.01%             | 2031-04-15      | Floating      | 2.63%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 817767 FN 06/36 FIXED 6                           | CUSIP: 31406RQU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       10525 | PA      | $10889.67      | 0.00%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS8647 FR 02/32 FIXED 3.5                 | CUSIP: 3132A9TC1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      163830 | PA      | $162025.16     | 0.00%             | 2032-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JSW HYDRO ENERGY LIMITED                                                         | JSW HYDRO ENERGY LTD SR SECURED REGS 05/31 4.125            | CUSIP: Y4S71YAA2<br>LEI: 3358006ZP5KO7VUH2790 | Long             | DBT              | CORP              | IN        |     6532000 | PA      | $6192923.88    | 0.01%             | 2031-05-18      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2024-BA                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2024 BA D 144A          | CUSIP: 21050UAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2445000 | PA      | $2483209.97    | 0.01%             | 2054-11-25      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| NOVASTAR HOME EQUITY LOAN 2006-3                                                 | NOVASTAR HOME EQUITY LOAN NHEL 2006 3 A2D                   | CUSIP: 66988WAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4103605 | PA      | $1895807.83    | 0.00%             | 2036-10-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QA8                                              | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QA8 A1             | CUSIP: 74922QAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       19579 | PA      | $18108.59      | 0.00%             | 2036-09-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BO5339 FN 11/34 FIXED 3.5                         | CUSIP: 3140K04Z8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      430041 | PA      | $424004.20     | 0.00%             | 2034-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q23236 FG 11/43 FIXED 4.5                 | CUSIP: 3132M3HM2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       55882 | PA      | $54998.05      | 0.00%             | 2043-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                       | JAPAN (20 YEAR ISSUE) BONDS 12/44 2                         | CUSIP: ACI2T82B6<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        | 20860000000 | PA      | $129297159.28  | 0.28%             | 2044-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                   | MORGAN STANLEY SR UNSECURED 02/29 VAR                       | CUSIP: 61747YFA8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     7400000 | PA      | $7560281.34    | 0.02%             | 2029-02-01      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | US ULTRA BOND CBT DEC25 XCBT 20251219                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        3136 | NC      | $10603150.92   | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| ADNOC MURBAN RSC LTD                                                             | ADNOC MURBAN RSC LTD ADNOC MURBAN RSC LTD                   | CUSIP: 00723L2A6<br>LEI: 213800OWGH7RAYG61M70 | Long             | DBT              | CORP              | AE        |    13000000 | PA      | $13074346.48   | 0.03%             | 2029-09-11      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| SABINE PASS LIQUEFACTION LLC                                                     | SABINE PASS LIQUEFACTION SR SECURED 05/30 4.5               | CUSIP: 785592AX4<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |    29100000 | PA      | $29214247.18   | 0.06%             | 2030-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BARCLAYS COMMERCIAL MORTGAGE TRUST 2020-C6                                       | BARCLAYS COMMERCIAL MORTGAGE S BBCMS 2020 C6 A4             | CUSIP: 05492TBP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8250000 | PA      | $7650400.73    | 0.02%             | 2053-02-15      | Fixed         | 2.64%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD IDR BOUGHT USD 20251015                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-93108.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 735501 FN 05/35 FIXED VAR                         | CUSIP: 31402RDE6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        7689 | PA      | $8096.52       | 0.00%             | 2035-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20251008                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $12482.98      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL C91177 FG 03/28 FIXED 4.5                 | CUSIP: 3128P7JW4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       13273 | PA      | $13268.18      | 0.00%             | 2028-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INTERNATIONAL CORP (CCI)                                            | CROWN CASTLE 10/25 ZCP                                      | CUSIP: 22823PXP3<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |    28764000 | PA      | $28678976.49   | 0.06%             | 2025-10-23      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 883947 FN 06/36 FIXED 6                           | CUSIP: 31410BBQ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5203 | PA      | $5416.04       | 0.00%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM3462 FN 12/33 FIXED VAR                         | CUSIP: 3140X6Z46<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       44394 | PA      | $43868.98      | 0.00%             | 2033-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SUNTRUST ADJR MRTG LN TR 2007-2                                                  | SUNTRUST ADJUSTABLE RATE MORTG STARM 2007 2 3A3             | CUSIP: 78473TAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      120760 | PA      | $56718.46      | 0.00%             | 2037-04-25      | Floating      | 6.24%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                                                    | BOEING CO SR UNSECURED 02/26 2.75                           | CUSIP: 097023DA0<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    63290000 | PA      | $62936498.14   | 0.14%             | 2026-02-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G03916 FG 02/38 FIXED 6.5                 | CUSIP: 3128M5VH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        6769 | PA      | $7149.09       | 0.00%             | 2038-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BM4751 FN 03/43 FIXED VAR                         | CUSIP: 3140J9H53<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      336281 | PA      | $318663.45     | 0.00%             | 2043-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 555109 GN 08/31 FIXED 7                           | CUSIP: 36213HVA4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         993 | PA      | $997.46        | 0.00%             | 2031-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| RIO OIL FINANCE TRUST SERIES 2018-1                                              | RIO OIL FINANCE TRUST SR SECURED 144A 04/28 8.2             | CUSIP: 76716XAC6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1134100 | PA      | $1173521.32    | 0.00%             | 2028-04-06      | Fixed         | 8.20%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM8873 FN 07/34 FIXED VAR                         | CUSIP: 3140XC2F4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      407235 | PA      | $403065.06     | 0.00%             | 2034-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 512030 FN 11/29 FIXED 8.5                         | CUSIP: 31383SY38<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1918 | PA      | $1933.35       | 0.00%             | 2029-11-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-2077                                                                 | FREDDIE MAC FHR 2077 Z                                      | CUSIP: 3133TEPM0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       99230 | PA      | $101074.72     | 0.00%             | 2028-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AU0809 FN 09/43 FIXED 5                           | CUSIP: 3138WZ3T7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      125725 | PA      | $128052.09     | 0.00%             | 2043-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTGAGE TR 2005-4                                               | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2005 4 3A1              | CUSIP: 007036KD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      118688 | PA      | $117893.04     | 0.00%             | 2035-08-25      | Floating      | 6.97%                 | No            |                  2 | On Loan: No      |
| EQUIFIRST MORTGAGE LOAN TRUST 2004-1                                             | EQUIFIRST MORTGAGE LOAN TRUST EMLT 2004 1 M1                | CUSIP: 29445FAV0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        7892 | PA      | $7933.42       | 0.00%             | 2034-01-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 190322 FN 04/32 FIXED VAR                         | CUSIP: 31368HLB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2840 | PA      | $2936.28       | 0.00%             | 2032-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ZAR BOUGHT USD 20251120                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $-7.75         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2024-B                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2024 B A1A 144A          | CUSIP: 78450CAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    11487257 | PA      | $11826336.63   | 0.03%             | 2052-03-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AP6115 FN 07/43 FIXED 3                           | CUSIP: 3138M9YM7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      197274 | PA      | $181156.13     | 0.00%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 008765 G2 12/25 FLOATING VAR                   | CUSIP: 36202KW27<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         459 | PA      | $458.43        | 0.00%             | 2025-12-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                                               | ALLY FINANCIAL INC ALLY FINANCIAL INC                       | CUSIP: 02005NBU3<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |     8400000 | PA      | $8889165.60    | 0.02%             | 2030-01-03      | Floating      | 6.85%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AK6972 FN 03/27 FIXED 3.5                         | CUSIP: 3138EBXA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         532 | PA      | $527.98        | 0.00%             | 2027-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD5568 FR 05/54 FIXED 5.5                 | CUSIP: 3132DTFH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    29728135 | PA      | $30055702.60   | 0.07%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4305                                                          | FREDDIE MAC FHR 4305 SB                                     | CUSIP: 3137B8A64<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2123250 | PA      | $178862.38     | 0.00%             | 2039-06-15      | Floating      | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 487447 FN 08/27 FLOATING VAR                      | CUSIP: 31382NP89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         798 | PA      | $797.36        | 0.00%             | 2027-08-01      | Floating      | 6.39%                 | No            |                  2 | On Loan: No      |
| FAIRFAX FINANCIAL HOLDINGS LIMITED                                               | FAIRFAX FINL HLDGS LTD SR UNSECURED 04/28 4.85              | CUSIP: 303901BB7<br>LEI: GLS7OQD0WOEDI8YAP031 | Long             | DBT              | CORP              | CA        |     6100000 | PA      | $6182640.06    | 0.01%             | 2028-04-17      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2008-1                                                                | FANNIE MAE FNR 2008 1 NI                                    | CUSIP: 31396YEW8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      126723 | PA      | $9414.47       | 0.00%             | 2037-06-25      | Floating      | 1.78%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDB MTGE LOAN TRUST 2005-1                                              | INDYMAC INDB MORTGAGE LOAN TRU INDB 2005 1 A1               | CUSIP: 45660LYW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      271112 | PA      | $154530.65     | 0.00%             | 2035-11-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $2535711.51    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RJ0052 FR 10/53 FIXED 6.5                 | CUSIP: 3142GQBW1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1399583 | PA      | $1450955.96    | 0.00%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR CO LTD                                                              | NISSAN MOTOR CO SR UNSECURED 144A 09/30 4.81                | CUSIP: 654744AD3<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |    41900000 | PA      | $39498497.73   | 0.09%             | 2030-09-17      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| AEGIS ASSET BACKED SECURITIES TR 2005-5                                          | AEGIS ASSET BACKED SECURITIES AABST 2005 5 M1               | CUSIP: 00764MHE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2229821 | PA      | $2106215.78    | 0.00%             | 2035-12-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.55100 09/17/25-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $270072.48     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CANTOR COMMERCIAL REAL ESTATE LENDING 2019-CF2                                   | CANTOR COMMERCIAL REAL ESTATE CF 2019 CF2 A5                | CUSIP: 12528YAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7900000 | PA      | $7432540.41    | 0.02%             | 2052-11-15      | Fixed         | 2.87%                 | No            |                  2 | On Loan: No      |
| SLC STUDENT LOAN TRUST 2008-2                                                    | SLC STUDENT LOAN TRUST SLCLT 2008 2 A4                      | CUSIP: 78444NAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1249951 | PA      | $1239032.77    | 0.00%             | 2040-06-15      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AU9640 FN 08/43 FIXED 3                           | CUSIP: 3138X9WA3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       25425 | PA      | $23284.47      | 0.00%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 867556 FN 02/36 FIXED 6                           | CUSIP: 31409CZV0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         543 | PA      | $570.63        | 0.00%             | 2036-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT KWD SOLD USD 20260505                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-671.57       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2003-24A                                               | STRUCTURED ASSET SECURITIES CO SASC 2003 24A 3A2            | CUSIP: 86359AG98<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        4561 | PA      | $4489.28       | 0.00%             | 2033-07-25      | Floating      | 6.41%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MTGE LN TR 2006-2                                                 | MORGAN STANLEY MORTGAGE LOAN T MSM 2006 2 4A                | CUSIP: 61748HVQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       86211 | PA      | $84323.68      | 0.00%             | 2036-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL9027 FN 09/46 FIXED VAR                         | CUSIP: 3138ERA59<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2864792 | PA      | $2735525.88    | 0.01%             | 2046-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 2025-RPL1                         | MSRM 2025 RPL1 PT 144A                                      | CUSIP: 990AAXQQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    59224826 | PA      | $53532032.67   | 0.12%             | 2075-11-01      | Fixed         | 4.25%                 | No            |                  3 | On Loan: No      |
| NATWEST GROUP PLC                                                                | NATWEST GROUP PLC SR UNSECURED 03/28 VAR                    | CUSIP: 639057AL2<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    16500000 | PA      | $16812723.18   | 0.04%             | 2028-03-01      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 948914 FN 11/37 FIXED 6                           | CUSIP: 31413LVF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       18724 | PA      | $19513.45      | 0.00%             | 2037-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BNPP AM EURO CLO 2019 BV 19-1A                                                   | BNPP AM EURO CLO BNPAM 2019 1A AR 144A                      | CUSIP: ACI21M4V9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    17303625 | PA      | $20333443.63   | 0.04%             | 2032-07-22      | Floating      | 2.81%                 | No            |                  2 | On Loan: No      |
| CALIFORNIA HEALTH FACILITIES FINANCING AUTHORITY                                 | CALIFORNIA ST HLTH FACS FING A CASMED 06/30 FIXED 2.704     | CUSIP: 13032UVH8<br>LEI: 5493007RI8BUDOGHZ546 | Long             | DBT              | MUN               | US        |     5100000 | PA      | $4795766.13    | 0.01%             | 2030-06-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BA3533 FN 01/46 FIXED 4                           | CUSIP: 3140E74T4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1066777 | PA      | $1025959.89    | 0.00%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SB0031 FR 10/27 FIXED 3.5                 | CUSIP: 3132CWA87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       45548 | PA      | $45375.54      | 0.00%             | 2027-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FS KKR CAPITAL CORP                                                              | FS KKR CAPITAL CORP SR UNSECURED 08/29 6.875                | CUSIP: 302635AN7<br>LEI: 549300TYRSI1T21B1360 | Long             | DBT              | CORP              | US        |      700000 | PA      | $717277.82     | 0.00%             | 2029-08-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD NOK BOUGHT USD 20251104                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |           1 | NC      | $46.10         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 786190 FH 07/27 FLOATING VAR              | CUSIP: 31348S2X1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         152 | PA      | $152.53        | 0.00%             | 2027-07-01      | Floating      | 6.36%                 | No            |                  2 | On Loan: No      |
| ARES LXV CLO LTD                                                                 | ARES CLO LTD ARES 2022 65A A1R 144A                         | CUSIP: 04019FAL1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    14400000 | PA      | $14450400.00   | 0.03%             | 2034-07-25      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2005-10                                            | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2005 10 4A1             | CUSIP: 007036TK2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      857945 | PA      | $599264.38     | 0.00%             | 2036-01-25      | Floating      | 5.91%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 909092 FN 09/37 FIXED 6                           | CUSIP: 31411H7D6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      632062 | PA      | $669571.84     | 0.00%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MTGE SEC CORP 2003-AR24                                          | CREDIT SUISSE FIRST BOSTON MOR CSFB 2003 AR24 3A1           | CUSIP: 22541QUP5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       24519 | PA      | $23815.47      | 0.00%             | 2033-10-25      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ZAR BOUGHT USD 20251120                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $-470.63       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT-BASED ASSET SERV & SEC 2004-CB4                                           | CREDIT BASED ASSET SERVICING A CBASS 2004 CB4 A5            | CUSIP: 12489WJP0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      603857 | PA      | $559637.44     | 0.00%             | 2035-05-25      | Variable      | 6.78%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2006-FM2                                                     | ACE SECURITIES CORP. ACE 2006 FM2 A2D                       | CUSIP: 00442CAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5772156 | PA      | $1301377.51    | 0.00%             | 2036-08-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| GRAY OAK PIPELINE LLC                                                            | GRAY OAK PIPELINE LLC SR UNSECURED 144A 10/27 3.45          | CUSIP: 38937LAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    23200000 | PA      | $22879574.59   | 0.05%             | 2027-10-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| ROUNDSTONE SECURITIES NO 2 DESIGNATED ACTIVITY CO 2A                             | ROUNDSTONE SECURITIES RNST 2A Z 144A                        | CUSIP: ACI2NGCK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |    54756000 | PA      | $20033866.74   | 0.04%             | 2058-06-28      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2006-8F                                                  | GSR MORTGAGE LOAN TRUST GSR 2006 8F 3A8                     | CUSIP: 362611AL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      176288 | PA      | $179139.94     | 0.00%             | 2036-09-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR COMPANY                                                               | FORD MOTOR COMPANY SR UNSECURED 02/32 3.25                  | CUSIP: 345370DA5<br>LEI: 20S05OYHG0MQM4VUIC57 | Long             | DBT              | CORP              | US        |    11800000 | PA      | $10327578.18   | 0.02%             | 2032-02-12      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2004-6                                             | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 6 2A1             | CUSIP: 07384MW65<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      196469 | PA      | $178975.30     | 0.00%             | 2034-09-25      | Floating      | 4.06%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                                 | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 03/27 3.3               | CUSIP: 694308HS9<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     9400000 | PA      | $9277390.82    | 0.02%             | 2027-03-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 356318 FN 10/26 FLOATING VAR                      | CUSIP: 31376HYP2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         286 | PA      | $285.98        | 0.00%             | 2026-10-01      | Floating      | 6.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | MEXICO LA SP BPS                                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $6501.98       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BAYVIEW MSR OPPORTUNITY MASTER FUND TRUST 2021-INV6                              | BAYVIEW OPPORTUNITY MASTER FUN BVINV 2021 6 AF 144A         | CUSIP: 07335UAU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      383648 | PA      | $357124.78     | 0.00%             | 2051-10-25      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                                                          | HYUNDAI CAPITAL AMERICA SR UNSECURED 144A 09/28 2.1         | CUSIP: 44891ACA3<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    33000000 | PA      | $30935211.78   | 0.07%             | 2028-09-15      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AJ3177 FN 10/26 FIXED 3.5                         | CUSIP: 3138AUQ75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3304 | PA      | $3284.52       | 0.00%             | 2026-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-2325                                                                 | FREDDIE MAC FHR 2325 ZG                                     | CUSIP: 3133TU4W5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      104752 | PA      | $106955.43     | 0.00%             | 2031-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BK3714 FN 03/33 FIXED 3                           | CUSIP: 3140HHDU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      175382 | PA      | $169879.14     | 0.00%             | 2033-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZK3704 FR 11/26 FIXED 3                   | CUSIP: 3131X7DH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       88038 | PA      | $87328.67      | 0.00%             | 2026-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3462 FN 09/33 FIXED 3.5                         | CUSIP: 31418CZ49<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       76730 | PA      | $75730.76      | 0.00%             | 2033-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| TOLEDO EDISON CO                                                                 | TOLEDO EDISON COMPANY 1ST MORTGAGE 144A 05/28 2.65          | CUSIP: 889175BF1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    18667000 | PA      | $17726256.75   | 0.04%             | 2028-05-01      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5444 FN 08/54 FIXED 5.5                         | CUSIP: 31418FBN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1956737 | PA      | $1976000.15    | 0.00%             | 2054-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-1                                                  | BEAR STEARNS ALT A TRUST BALTA 2006 1 21A2                  | CUSIP: 07386HB83<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      399737 | PA      | $283084.80     | 0.00%             | 2036-02-25      | Fixed         | 4.51%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 522577 GN 01/30 FIXED 8                           | CUSIP: 36211TQ65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         372 | PA      | $373.11        | 0.00%             | 2030-01-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 253438 FN 09/30 FIXED 8.5                         | CUSIP: 31371JPX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         335 | PA      | $347.88        | 0.00%             | 2030-09-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAP CERT 2007-3                                           | CREDIT SUISSE MORTGAGE TRUST CSMC 2007 3 1A1A               | CUSIP: 12638PAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    15547846 | PA      | $3824687.78    | 0.01%             | 2037-04-25      | Variable      | 5.84%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                                                          | HYUNDAI CAPITAL AMERICA SR UNSECURED 144A 09/26 1.65        | CUSIP: 44891ABZ9<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    73100000 | PA      | $71336806.80   | 0.16%             | 2026-09-17      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H27                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H27 FD              | CUSIP: 38383KHV7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5492359 | PA      | $5576744.52    | 0.01%             | 2073-11-20      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| SLM STUDENT LOAN TRUST 2008-7                                                    | SLM STUDENT LOAN TRUST SLMA 2008 7 A4                       | CUSIP: 78445FAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      172733 | PA      | $169959.75     | 0.00%             | 2049-07-25      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS0765 FN 10/28 FIXED 3.5                         | CUSIP: 3138W9Z78<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       50616 | PA      | $50252.02      | 0.00%             | 2028-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| THAMES WATER SUPER SENIOR ISSUER PLC                                             | THAMES WATER SUPER SEN SR SECURED 144A 10/27 9.75           | CUSIP: ACI2YYK31<br>LEI: 635400LBEYCV7F4FC741 | Long             | DBT              | CORP              | GB        |      416087 | PA      | $620728.16     | 0.00%             | 2027-10-10      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 745729 FN 08/36 FIXED VAR                         | CUSIP: 31403DPN3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       73013 | PA      | $76977.64      | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TWD SOLD USD 20251020                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $-6632.33      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2025-6                                                         | FANNIE MAE FNR 2025 6 FA                                    | CUSIP: 3136BUTN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    29050051 | PA      | $29235131.62   | 0.06%             | 2055-02-25      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20251017                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-101587.59    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| OMEGA HEALTHCARE INVESTORS INC                                                   | OMEGA HLTHCARE INVESTORS COMPANY GUAR 01/26 5.25            | CUSIP: 681936BH2<br>LEI: 549300OJ7ENK42CZ8E73 | Long             | DBT              | CORP              | US        |    33800000 | PA      | $33809215.57   | 0.07%             | 2026-01-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MTGE INV TRUST 2007-SD1                                            | MERRILL LYNCH MORTGAGE INVESTO MLMI 2007 SD1 A1             | CUSIP: 590232AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    13190680 | PA      | $7822734.22    | 0.02%             | 2047-02-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY1                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY1 1A1            | CUSIP: 92925VAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2110301 | PA      | $1887259.77    | 0.00%             | 2037-02-25      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB2446 FN 03/26 FIXED 3.5                         | CUSIP: 31416XWG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          82 | PA      | $81.26         | 0.00%             | 2026-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 913121 FN 03/37 FIXED 6                           | CUSIP: 31411RPE2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       66463 | PA      | $68762.91      | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 990517 FN 09/38 FIXED 6                           | CUSIP: 31415VK61<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         993 | PA      | $1038.13       | 0.00%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OA6                                         | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA6 1A1A          | CUSIP: 12668BD91<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       90640 | PA      | $83108.66      | 0.00%             | 2046-07-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BA3580 FN 12/45 FIXED 4                           | CUSIP: 3140E76S4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       12260 | PA      | $11793.79      | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-HYB6                                                 | COUNTRYWIDE HOME LOANS CWHL 2004 HYB6 A1                    | CUSIP: 12669F6L2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       49728 | PA      | $47944.20      | 0.00%             | 2034-11-20      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 003215 G2 03/32 FIXED 6.5                      | CUSIP: 36202DSC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         595 | PA      | $620.35        | 0.00%             | 2032-03-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SECS-2005-J                                                 | BANC OF AMERICA MORTGAGE SECUR BOAMS 2005 J 2A1             | CUSIP: 05949CKQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       99348 | PA      | $89451.73      | 0.00%             | 2035-11-25      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8324 FR 05/53 FIXED 5.5                 | CUSIP: 3132DWG98<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    31400645 | PA      | $31807157.36   | 0.07%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 844030 FN 11/35 FIXED 6                           | CUSIP: 31407XVX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       75556 | PA      | $77185.97      | 0.00%             | 2035-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC 2004-A                                               | MLCC MORTGAGE INVESTORS INC MLCC 2004 A A2                  | CUSIP: 59020UAS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       79219 | PA      | $76305.60      | 0.00%             | 2029-04-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| SUN COMMUNITIES OPERATING LIMITED PARTNERSHIP                                    | SUN COMMUNITIES OPER LP COMPANY GUAR 07/31 2.7              | CUSIP: 866677AE7<br>LEI: 549300PUNBPJCGT6X741 | Long             | DBT              | CORP              | US        |     1800000 | PA      | $1629452.12    | 0.00%             | 2031-07-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT ZAR SOLD USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $585.14        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MASTR REPERFORMING LOAN TRUST 2005-2                                             | MASTR REPERFORMING LOAN TRUST MARP 2005 2 1A2 144A          | CUSIP: 57643QAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      329620 | PA      | $215786.70     | 0.00%             | 2035-05-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA2680 FN 04/33 FIXED 3                           | CUSIP: 3140Q96S7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       32415 | PA      | $31426.50      | 0.00%             | 2033-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY6919 FN 08/53 FIXED 6                           | CUSIP: 3140NPVM9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      773891 | PA      | $792620.89     | 0.00%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MORTGAGE INV 2005-AR4                                           | STRUCTURED ASSET MORTGAGE INVE SAMI 2005 AR4 A1             | CUSIP: 86359LLZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      989249 | PA      | $838739.86     | 0.00%             | 2035-12-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8288 FR 01/53 FIXED 5                   | CUSIP: 3132DWF57<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       53165 | PA      | $53008.21      | 0.00%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL CQ4427 G2 06/47 FIXED 3                        | CUSIP: 3618A64L2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1240267 | PA      | $1116028.19    | 0.00%             | 2047-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ABN AMRO BANK NV                                                                 | ABN AMRO BANK NV SR UNSECURED 144A 12/29 VAR                | CUSIP: 00084DAW0<br>LEI: BFXS5XCH7N0Y05NIXW11 | Long             | DBT              | CORP              | NL        |     1000000 | PA      | $946296.47     | 0.00%             | 2029-12-13      | Floating      | 2.47%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 889529 FN 03/38 FIXED VAR                         | CUSIP: 31410KHE7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       28694 | PA      | $30253.96      | 0.00%             | 2038-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2011-RR6                                                          | BCAP LLC TRUST BCAP 2011 RR6 9A1 144A                       | CUSIP: 05535YAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1613789 | PA      | $984375.08     | 0.00%             | 2036-05-26      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                                                           | STANDARD CHARTERED PLC STANDARD CHARTERED PLC               | CUSIP: 853254CW8<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |      400000 | PA      | $412297.64     | 0.00%             | 2028-02-08      | Floating      | 6.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 357829 FN 06/35 FIXED 6                           | CUSIP: 31376KPN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         139 | PA      | $142.14        | 0.00%             | 2035-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 896316 FN 07/36 FIXED 6                           | CUSIP: 31410SYM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       83103 | PA      | $86975.63      | 0.00%             | 2036-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS6516 FN 01/46 FIXED 4                           | CUSIP: 3138WGG24<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       36444 | PA      | $35092.19      | 0.00%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080318 G2 09/29 FLOATING VAR                   | CUSIP: 36225CK88<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        7673 | PA      | $7702.36       | 0.00%             | 2029-09-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 544861 FN 12/36 FLOATING VAR                      | CUSIP: 31385HJE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        6120 | PA      | $6069.56       | 0.00%             | 2036-12-01      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOMES 4 RENT LP                                                         | AMERICAN HOMES 4 RENT SR UNSECURED 02/28 4.25               | CUSIP: 02666TAA5<br>LEI: 549300N4PXZ37U8QKI55 | Long             | DBT              | CORP              | US        |     6678000 | PA      | $6663296.91    | 0.01%             | 2028-02-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SECURITIES, INC. 2006-AB4                                         | DEUTSCHE ALT A SECURITIES INC DBALT 2006 AB4 A1B1           | CUSIP: 251513AR8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        4360 | PA      | $3636.99       | 0.00%             | 2036-10-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 660991 FN 07/32 FIXED 8                           | CUSIP: 31391AKC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         214 | PA      | $215.47        | 0.00%             | 2032-07-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20251020                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $279476.48     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 896002 FN 07/36 FIXED 6                           | CUSIP: 31410SNT0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1466 | PA      | $1527.35       | 0.00%             | 2036-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 887598 FN 07/36 FIXED 6                           | CUSIP: 31410FDB8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       11789 | PA      | $12198.25      | 0.00%             | 2036-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| STONEPEAK 2021-1 ABS                                                             | STONEPEAK SALTT 2021 1A AA 144A                             | CUSIP: 78433XAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      179435 | PA      | $173481.28     | 0.00%             | 2033-02-28      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 544260 FN 08/30 FIXED 8.5                         | CUSIP: 31385GTR5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4293 | PA      | $4299.45       | 0.00%             | 2030-08-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 891332 FN 04/36 FLOATING VAR                      | CUSIP: 31410MHH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        7826 | PA      | $7909.19       | 0.00%             | 2036-04-01      | Floating      | 6.15%                 | No            |                  2 | On Loan: No      |
| RBSSP RESECURITIZATION TRUST 2012-7                                              | RBSSP RESECURITIZATION TRUST RBSSP 2012 7 A1 144A           | CUSIP: 74931QAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5318242 | PA      | $3778245.92    | 0.01%             | 2037-10-26      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2005-AR8                                           | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR8 2A1A           | CUSIP: 45660LJJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       33035 | PA      | $31415.17      | 0.00%             | 2035-04-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 535281 FN 04/30 FIXED VAR                         | CUSIP: 31384VUE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       40883 | PA      | $42402.74      | 0.00%             | 2030-04-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 928561 FN 08/37 FIXED 6                           | CUSIP: 31412LTS9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      166546 | PA      | $175598.23     | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 255935 FN 11/25 FIXED 5                           | CUSIP: 31371MHL4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          84 | PA      | $83.71         | 0.00%             | 2025-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| HOST HOTELS & RESORTS LP                                                         | HOST HOTELS + RESORTS LP SR UNSECURED 12/29 3.375           | CUSIP: 44107TAY2<br>LEI: FXB7X4WXVA8QPMNOGS12 | Long             | DBT              | CORP              | US        |     7600000 | PA      | $7228743.72    | 0.02%             | 2029-12-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                        | REPUBLIC OF PERU SR UNSECURED 144A 08/32 6.15               | CUSIP: 715638BY7<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |   323020000 | PA      | $98626670.76   | 0.22%             | 2032-08-12      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $587558.38     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 795134 FN 10/34 FLOATING VAR                      | CUSIP: 31405PLP3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       67187 | PA      | $67936.61      | 0.00%             | 2034-10-01      | Floating      | 6.33%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3360                                                                 | FREDDIE MAC FHR 3360 FC                                     | CUSIP: 31397KE31<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      319357 | PA      | $320005.38     | 0.00%             | 2037-05-15      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMIC 1997-53                                                         | FANNIE MAE FNR 1997 53 PI                                   | CUSIP: 31359QFE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          76 | PA      | $3.02          | 0.00%             | 2027-08-18      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 656423 FN 08/32 FIXED 6.5                         | CUSIP: 31390UG83<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         408 | PA      | $421.00        | 0.00%             | 2032-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| EPR PROPERTIES                                                                   | EPR PROPERTIES COMPANY GUAR 12/26 4.75                      | CUSIP: 26884UAC3<br>LEI: 549300YSSXFHMPOWZ492 | Long             | DBT              | CORP              | US        |     4100000 | PA      | $4110995.22    | 0.01%             | 2026-12-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2010-123                                                              | FANNIE MAE FNR 2010 123 FL                                  | CUSIP: 31398N2W3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1279131 | PA      | $1270986.72    | 0.00%             | 2040-11-25      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK NA                                                           | MORGAN STANLEY BANK NA MORGAN STANLEY BANK NA               | CUSIP: 61690U8D5<br>LEI: G1MLHIS0N32I3QPILB75 | Long             | DBT              | CORP              | US        |    59500000 | PA      | $59848915.14   | 0.13%             | 2028-07-14      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-3156                                                                 | FREDDIE MAC FHR 3156 AZ                                     | CUSIP: 31396R6F9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      149264 | PA      | $154551.44     | 0.00%             | 2036-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3363 FN 05/33 FIXED 3                           | CUSIP: 31418CWZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      118158 | PA      | $115162.20     | 0.00%             | 2033-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20251107                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $27613.12      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2004-W11                                                   | ARGENT SECURITIES INC. ARSI 2004 W11 M3                     | CUSIP: 040104MG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      941159 | PA      | $944141.14     | 0.00%             | 2034-11-25      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AE0368 FN 12/25 FIXED VAR                         | CUSIP: 31419AMS3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       30476 | PA      | $30375.54      | 0.00%             | 2025-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY9003 FN 08/53 FIXED 5.5                         | CUSIP: 3140NSAD6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3769987 | PA      | $3809421.11    | 0.01%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG/NEW YORK BRANCH                                                 | DEUTSCHE BANK NY SUBORDINATED 01/32 VAR                     | CUSIP: 251526CF4<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |      800000 | PA      | $750442.42     | 0.00%             | 2032-01-14      | Floating      | 3.73%                 | Yes           |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AD0577 FN 01/40 FIXED VAR                         | CUSIP: 31418MUB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1490 | PA      | $1526.94       | 0.00%             | 2040-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JPMMT 2021-4                                                                     | JP MORGAN MORTGAGE TRUST JPMMT 2021 4 A12 144A              | CUSIP: 46652VBK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8920840 | PA      | $8793227.65    | 0.02%             | 2051-08-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AH4450 FN 01/26 FIXED 3                           | CUSIP: 3138A55L2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         263 | PA      | $261.61        | 0.00%             | 2026-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE GLOBAL FUNDING                                                        | COREBRIDGE GLOB FUNDING COREBRIDGE GLOB FUNDING             | CUSIP: 00138CBB3<br>LEI: 54930057MDZ7KOVOTV71 | Long             | DBT              | CORP              | US        |     3300000 | PA      | $3337981.45    | 0.01%             | 2027-08-20      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 847995 FN 11/35 FLOATING VAR                      | CUSIP: 31408DC85<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       17227 | PA      | $17522.57      | 0.00%             | 2035-11-01      | Floating      | 6.41%                 | No            |                  2 | On Loan: No      |
| DUTCH MORTGAGE FINANCE BV 2024-1                                                 | DUTCH MORTGAGE FINANCE DMFI 2024 1A X 144A                  | CUSIP: ACI2Q4KZ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | NL        |       82510 | PA      | $96914.67      | 0.00%             | 2067-08-22      | Floating      | 6.53%                 | No            |                  2 | On Loan: No      |
| BRIXMOR OPERATING PARTNERSHIP LP                                                 | BRIXMOR OPERATING PART SR UNSECURED 03/27 3.9               | CUSIP: 11120VAE3<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |     3090000 | PA      | $3077375.65    | 0.01%             | 2027-03-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AZ1338 FN 06/45 FIXED 4                           | CUSIP: 3138YSPY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4380 | PA      | $4214.26       | 0.00%             | 2045-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 928412 FN 06/37 FIXED 6.5                         | CUSIP: 31412LN55<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      307098 | PA      | $324427.06     | 0.00%             | 2037-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDA MTGE LOAN TRUST 2006-AR1                                            | INDYMAC INDA MORTGAGE LOAN TRU INDA 2006 AR1 A3             | CUSIP: 45662BAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      656947 | PA      | $512211.18     | 0.00%             | 2036-08-25      | Floating      | 3.64%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2023-1A                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2023 1A D 144A          | CUSIP: 21055PAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     5586796 | PA      | $5821108.48    | 0.01%             | 2053-11-25      | Fixed         | 9.10%                 | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2007-A1                                              | CHASE MORTGAGE FINANCE CORPORA CHASE 2007 A1 5A1            | CUSIP: 161630AQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       67456 | PA      | $65933.93      | 0.00%             | 2037-02-25      | Floating      | 6.02%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 725979 FN 03/34 FLOATING VAR                      | CUSIP: 31402DQ86<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      253906 | PA      | $259080.59     | 0.00%             | 2034-03-01      | Floating      | 6.67%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2002-W7                                                     | FANNIEMAE WHOLE LOAN FNW 2002 W7 A5                         | CUSIP: 31392DD74<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        6873 | PA      | $7351.34       | 0.00%             | 2029-02-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2024-AWH                              | BAMLL COML MTG SECS TR 2024 04/42 1                         | CUSIP: 05554WAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    26840000 | PA      | $22370246.23   | 0.05%             | 2042-04-20      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2013-RR1                                                          | BCAP LLC TRUST BCAP 2013 RR1 5A2 144A                       | CUSIP: 05490BAW1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5988906 | PA      | $4008339.14    | 0.01%             | 2036-08-26      | Floating      | 2.24%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL CQ5522 G2 10/46 FIXED 3                        | CUSIP: 3618A8D38<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2149833 | PA      | $1934487.23    | 0.00%             | 2046-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                     | BARCLAYS PLC BARCLAYS PLC                                   | CUSIP: 06738ECP8<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    26700000 | PA      | $27223954.93   | 0.06%             | 2028-03-12      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 781163 GN 04/30 FIXED 8.5                         | CUSIP: 36225BJG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4713 | PA      | $4889.78       | 0.00%             | 2030-04-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080096 G2 07/27 FLOATING VAR                   | CUSIP: 36225CDA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        8144 | PA      | $8139.17       | 0.00%             | 2027-07-20      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                                    | FORD MOTOR CREDIT CO LLC SR UNSECURED 02/29 2.9             | CUSIP: 345397B93<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     2000000 | PA      | $1853520.32    | 0.00%             | 2029-02-10      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZM4372 FR 10/47 FIXED 3.5                 | CUSIP: 3131XX2D2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      124185 | PA      | $116226.83     | 0.00%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ZAR BOUGHT USD 20251120                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $-26.61        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AW4831 FN 05/44 FIXED 4                           | CUSIP: 3138XULM2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       17948 | PA      | $17291.14      | 0.00%             | 2044-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | OIS CAD CAONREPO/3.0000 01/10/25-9Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |           1 | NC      | $-365760.58    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 929311 FN 04/38 FIXED 5.5                         | CUSIP: 31412MN46<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1570 | PA      | $1628.27       | 0.00%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 704454 FN 05/33 FLOATING VAR                      | CUSIP: 31401CTK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3812 | PA      | $3871.02       | 0.00%             | 2033-05-01      | Floating      | 6.53%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 435011 GN 01/31 FIXED 8                           | CUSIP: 36207LGU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         561 | PA      | $562.38        | 0.00%             | 2031-01-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2004-2                                             | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 2 21A             | CUSIP: 07384MM82<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         334 | PA      | $313.47        | 0.00%             | 2034-05-25      | Floating      | 6.88%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2003-8                               | BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 8 4A1             | CUSIP: 07384MZV7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      313803 | PA      | $313998.27     | 0.00%             | 2034-01-25      | Floating      | 6.51%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC0330 FN 12/45 FIXED 3                           | CUSIP: 3140EULL1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       63510 | PA      | $57729.55      | 0.00%             | 2045-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL AV6097 GN 10/47 FIXED 3.5                         | CUSIP: 36195GX24<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      521826 | PA      | $481621.54     | 0.00%             | 2047-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY4990 FN 06/53 FIXED 5                           | CUSIP: 3140NMRL3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      643661 | PA      | $639360.85     | 0.00%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                                               | VICI PROPERTIES LP SR UNSECURED 02/28 4.75                  | CUSIP: 925650AB9<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |    18250000 | PA      | $18407158.60   | 0.04%             | 2028-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2023-3A                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2023 3A E 144A          | CUSIP: 210928AK3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     5183339 | PA      | $5266801.42    | 0.01%             | 2053-11-25      | Fixed         | 9.35%                 | No            |                  2 | On Loan: No      |
| SUNTRUST ALTERNATIVE LN TRUST 2005-1F                                            | SUNTRUST ALTERNATIVE LOAN TRUS STALT 2005 1F 1A1            | CUSIP: 86789MAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      837607 | PA      | $728512.38     | 0.00%             | 2035-12-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| NATURE COAST RE LTD                                                              | NATURE COAST RE LTD UNSECURED 144A 04/33 VAR                | CUSIP: 63901CAE1<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |     1100000 | PA      | $1150765.00    | 0.00%             | 2033-04-10      | Floating      | 13.68%                | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AW2882 FN 04/44 FIXED 4                           | CUSIP: 3138XSFY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       13352 | PA      | $12960.21      | 0.00%             | 2044-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BK0414 FN 12/39 FIXED 3                           | CUSIP: 3140HDN83<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      917661 | PA      | $860372.49     | 0.00%             | 2039-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2001-35                                                               | FANNIE MAE FNR 2001 35 ZC                                   | CUSIP: 313920RZ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      206375 | PA      | $209974.45     | 0.00%             | 2031-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2023-2A                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2023 2A R 144A          | CUSIP: 210927AL3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    14846795 | PA      | $6912239.30    | 0.02%             | 2053-11-25      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| FREDDIE MAC REMICS 5499                                                          | FREDDIE MAC FHR 5499 FH                                     | CUSIP: 3137HJWY9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    28450589 | PA      | $28598068.76   | 0.06%             | 2055-02-25      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| EMF-NL BV 2008-APRX                                                              | EMF NL BV EMFNL 2008 APRX A2 REGS                           | CUSIP: B39M0PII2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | NL        |      449112 | PA      | $525715.82     | 0.00%             | 2041-04-17      | Floating      | 2.84%                 | No            |                  2 | On Loan: No      |
| NOVASTAR HOME EQUITY LOAN 2006-4                                                 | NOVASTAR HOME EQUITY LOAN NHEL 2006 4 A2C                   | CUSIP: 66988XAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    11844446 | PA      | $4647010.87    | 0.01%             | 2036-09-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 903261 FN 10/36 FIXED 6                           | CUSIP: 31411BQN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        7409 | PA      | $7666.01       | 0.00%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALT LN TRUST 2005-1CB                                                | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 1CB 2A1           | CUSIP: 12667F2Q7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      130188 | PA      | $58330.07      | 0.00%             | 2035-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080094 G2 07/27 FLOATING VAR                   | CUSIP: 36225CC87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        8557 | PA      | $8544.60       | 0.00%             | 2027-07-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2007-GEL2                                              | STRUCTURED ASSET SECURITIES CO SASC 2007 GEL2 A3 144A       | CUSIP: 86363MAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1047908 | PA      | $1031911.76    | 0.00%             | 2037-05-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QD8395 FR 03/52 FIXED 3                   | CUSIP: 3133B6KG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5037647 | PA      | $4437106.42    | 0.01%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GREENSAIF PIPELINES BIDCO SARL                                                   | GREENSAIF PIPELINES BIDC SR SECURED 144A 02/42 6.51         | CUSIP: 39541EAC7<br>LEI: 549300YWDGUXPB8GRP47 | Long             | DBT              | CORP              | LU        |      800000 | PA      | $868064.41     | 0.00%             | 2042-02-23      | Fixed         | 6.51%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES KG01                | FHLMC MULTIFAMILY STRUCTURED P FHMS KG01 A10                | CUSIP: 3137FMCZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2600000 | PA      | $2503088.64    | 0.01%             | 2029-04-25      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT KRW SOLD USD 20251022                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $-440.15       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 975601 FN 06/38 FIXED 6                           | CUSIP: 31414TKN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1303 | PA      | $1359.02       | 0.00%             | 2038-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2018-RP2                                           | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2018 RP2 C 144A         | CUSIP: 17326UAN4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    17899110 | PA      | $1073.95       | 0.00%             | 2058-02-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BV7554 FN 11/52 FIXED 4                           | CUSIP: 3140MMMC9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2149 | PA      | $2031.78       | 0.00%             | 2052-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 890361 FN 07/41 FIXED VAR                         | CUSIP: 31410LFA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       86728 | PA      | $89901.00      | 0.00%             | 2041-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 356339 FN 12/26 FLOATING VAR                      | CUSIP: 31376HZC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1100 | PA      | $1103.13       | 0.00%             | 2026-12-01      | Floating      | 6.85%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AH0969 FN 12/25 FIXED 3.5                         | CUSIP: 3138A2CF4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1159 | PA      | $1155.20       | 0.00%             | 2025-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2503                                                                 | FREDDIE MAC FHR 2503 PZ                                     | CUSIP: 31392UMD3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      353363 | PA      | $366930.80     | 0.00%             | 2032-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RA6808 FR 02/52 FIXED 3                   | CUSIP: 3133KNR54<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1605672 | PA      | $1423953.30    | 0.00%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                   | MORGAN STANLEY MORGAN STANLEY                               | CUSIP: 61747YFQ3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      800000 | PA      | $835570.98     | 0.00%             | 2030-04-18      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALT MTG SEC 2006-FA8                                               | FIRST HORIZON ALTERNATIVE MORT FHAMS 2006 FA8 1A8           | CUSIP: 32052DAH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       15197 | PA      | $3998.41       | 0.00%             | 2037-02-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 816594 FN 02/35 FLOATING VAR                      | CUSIP: 31406QGB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       50062 | PA      | $51235.10      | 0.00%             | 2035-02-01      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | AT&T INC SNR S* ICE                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $1187275.01    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2018-RPL3                                            | LEGACY MORTGAGE ASSET TRUST LMAT 2018 RPL3 B2 144A          | CUSIP: 52474AAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    15576931 | PA      | $14684718.66   | 0.03%             | 2058-02-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| JPMDB COMMERCIAL MORTGAGE SECURITIES TRUST  2020-COR7                            | JPMDB COMMERCIAL MORTGAGE SECU JPMDB 2020 COR7 A5           | CUSIP: 46652JAW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    10000000 | PA      | $8487817.00    | 0.02%             | 2053-05-13      | Fixed         | 2.18%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 929838 FN 08/38 FIXED 6                           | CUSIP: 31412NBF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       62726 | PA      | $65913.58      | 0.00%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8432 FR 05/54 FIXED 6                   | CUSIP: 3132DWLM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      406609 | PA      | $416112.48     | 0.00%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080032 G2 01/27 FLOATING VAR                   | CUSIP: 36225CBA3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          19 | PA      | $19.09         | 0.00%             | 2027-01-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AJ8216 FN 01/27 FIXED 4                           | CUSIP: 3138E1DW4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4077 | PA      | $4064.85       | 0.00%             | 2027-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL C91129 FG 12/27 FIXED 6                   | CUSIP: 3128P7HE6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         381 | PA      | $389.43        | 0.00%             | 2027-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 749785 GN 11/41 FIXED 3.5                         | CUSIP: 3620C56W2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       25908 | PA      | $24154.26      | 0.00%             | 2041-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA1827 FN 03/44 FIXED 4                           | CUSIP: 31418BA55<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      718253 | PA      | $697230.52     | 0.00%             | 2044-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4100                                                          | FREDDIE MAC FHR 4100 DI                                     | CUSIP: 3137ASXX7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      578305 | PA      | $10666.61      | 0.00%             | 2027-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20251217                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-195.55       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MIZUHO FINANCIAL GROUP INC                                                       | MIZUHO FINANCIAL GROUP SR UNSECURED 07/31 VAR               | CUSIP: 60687YBH1<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |    29200000 | PA      | $26382902.26   | 0.06%             | 2031-07-10      | Floating      | 2.20%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE INTERNATIONAL NV                                                    | ENEL FINANCE INTL NV SR UNSECURED 144A 06/27 4.625          | CUSIP: 29278GAW8<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |    35600000 | PA      | $35854468.80   | 0.08%             | 2027-06-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP OF AMERICA FINANCE LLC                                          | VOLKSWAGEN GROUP AMERICA COMPANY GUAR 144A 03/28 5.05       | CUSIP: 928668CP5<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |    22300000 | PA      | $22595141.62   | 0.05%             | 2028-03-27      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                 | T MOBILE USA INC COMPANY GUAR 04/30 3.875                   | CUSIP: 87264ABF1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    17657000 | PA      | $17319343.78   | 0.04%             | 2030-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TSY INFL IX N/B 02/55 2.375                                 | CUSIP: 912810UH9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    29475682 | PA      | $28806543.08   | 0.06%             | 2055-02-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MB0620 G2 09/55 FIXED 4                        | CUSIP: 3618N5VN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       25145 | PA      | $23658.68      | 0.00%             | 2055-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAP CERT 2007-3                                           | CREDIT SUISSE MORTGAGE TRUST CSMC 2007 3 1A6A               | CUSIP: 12638PAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      884121 | PA      | $245855.14     | 0.00%             | 2037-04-25      | Fixed         | 6.08%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-B                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2006 B 7A1              | CUSIP: 058928AN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       63506 | PA      | $55700.73      | 0.00%             | 2036-03-20      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| MORTGAGEIT TRUST 2006-1                                                          | MORTGAGEIT TRUST MHL 2006 1 1A1                             | CUSIP: 61915RBY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2311113 | PA      | $2211859.43    | 0.00%             | 2036-04-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 735341 FN 12/34 FLOATING VAR                      | CUSIP: 31402Q5A5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1032 | PA      | $1053.92       | 0.00%             | 2034-12-01      | Floating      | 6.54%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20251016                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $-1619063.68   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2005-5                                             | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2005 5 2A1              | CUSIP: 007036LJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       39028 | PA      | $34386.16      | 0.00%             | 2035-09-25      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2023-2A                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2023 2A D 144A          | CUSIP: 210927AE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     5599851 | PA      | $5834900.93    | 0.01%             | 2053-11-25      | Fixed         | 9.10%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AT8815 FN 06/43 FIXED 3                           | CUSIP: 3138WWYM5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      264422 | PA      | $243090.21     | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AZ0972 FN 09/45 FIXED 4                           | CUSIP: 3138YSCJ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        8785 | PA      | $8458.74       | 0.00%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ1588 FN 10/47 FIXED 4                           | CUSIP: 3140H2XS2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4761 | PA      | $4577.49       | 0.00%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 805594 FN 10/34 FIXED 6                           | CUSIP: 31406B7F1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       61508 | PA      | $64047.80      | 0.00%             | 2034-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD3195 FR 06/53 FIXED 5                   | CUSIP: 3132DQRQ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    14123317 | PA      | $14236676.55   | 0.03%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CNH BOUGHT USD 20251016                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $111332.66     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED AIRLINES 2016-1 CLASS AA PASS THROUGH TRUST                               | UNITED AIR 2016 1 AA PTT PASS THRU CE 01/30 3.1             | CUSIP: 90931LAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     3617485 | PA      | $3499334.14    | 0.01%             | 2030-01-07      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3828                                                          | FREDDIE MAC FHR 3828 SY                                     | CUSIP: 3137A7VH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        8956 | PA      | $6162.60       | 0.00%             | 2041-02-15      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-25                                                   | COUNTRYWIDE HOME LOANS CWHL 2004 25 2A1                     | CUSIP: 12669GKF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       65556 | PA      | $61206.70      | 0.00%             | 2035-02-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                      | BANK OF AMERICA CORP SR UNSECURED 04/27 VAR                 | CUSIP: 06051GHT9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     5086000 | PA      | $5066539.85    | 0.01%             | 2027-04-23      | Floating      | 3.56%                 | No            |                  2 | On Loan: No      |
| NOMURA HOLDINGS INC                                                              | NOMURA HOLDINGS INC SR UNSECURED 07/27 VAR                  | CUSIP: 65535HBQ1<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |    12900000 | PA      | $13008310.34   | 0.03%             | 2027-07-02      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD THB BOUGHT USD 20251020                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $5804.06       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA ASSET ACCEPTANCE CORP 2006-AR1                                            | NOMURA ASSET ACCEPTANCE CORPOR NAA 2006 AR1 4A              | CUSIP: 65535VSE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       11226 | PA      | $11.85         | 0.00%             | 2036-02-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 887675 FN 08/36 FIXED 6                           | CUSIP: 31410FFQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      166139 | PA      | $173198.45     | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL AE3798 GN 07/45 FIXED 3.5                         | CUSIP: 36180WGF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       32581 | PA      | $30474.58      | 0.00%             | 2045-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QG0598 FR 04/53 FIXED 5.5                 | CUSIP: 3133C0UX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      993985 | PA      | $1012144.42    | 0.00%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THRU SEC T-42                                              | FHLMC STRUCTURED PASS THROUGH FSPC T 42 A4                  | CUSIP: 31392MGY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1332331 | PA      | $1374980.70    | 0.00%             | 2042-02-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| APIDOS CLO XXIV 2016-24A                                                         | APIDOS CLO LTD APID 2016 24A A1AL 144A                      | CUSIP: 03759CAS9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      739914 | PA      | $740783.73     | 0.00%             | 2030-10-20      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-1                                            | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 1 2A2             | CUSIP: 68400DAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7813186 | PA      | $4591586.08    | 0.01%             | 2037-01-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BA5846 FN 01/46 FIXED 4                           | CUSIP: 3140EAP80<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      213349 | PA      | $210323.10     | 0.00%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G00683 FG 12/25 FIXED 8.5                 | CUSIP: 31283GXL6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |           2 | PA      | $2.04          | 0.00%             | 2025-12-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS6672 FN 02/46 FIXED 4                           | CUSIP: 3138WGMW1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      116269 | PA      | $111847.50     | 0.00%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                            | WELLS FARGO + COMPANY SR UNSECURED 06/28 VAR                | CUSIP: 95000U2S1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    20160000 | PA      | $19601500.46   | 0.04%             | 2028-06-02      | Floating      | 2.39%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 852234 FN 12/35 FIXED 5.5                         | CUSIP: 31408HY74<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       36664 | PA      | $38050.52      | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 008818 G2 02/26 FLOATING VAR                   | CUSIP: 36202KYP4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         804 | PA      | $802.45        | 0.00%             | 2026-02-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| LEHMAN MORTGAGE TRUST 2005-3                                                     | LEHMAN MORTGAGE TRUST LMT 2005 3 4A1                        | CUSIP: 52520MEK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      652327 | PA      | $628770.57     | 0.00%             | 2036-01-25      | Variable      | 5.03%                 | No            |                  2 | On Loan: No      |
| KKR CLO 36A LTD                                                                  | KKR FINANCIAL CLO LTD KKR 36A AR 144A                       | CUSIP: 48255AAJ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    28400000 | PA      | $28400541.30   | 0.06%             | 2034-10-15      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| MOUNTAIN VIEW CLO XVI LTD 2022-1A                                                | MOUNTAIN VIEW CLO MVEW 2022 1A A1R 144A                     | CUSIP: 62432UAN1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     6100000 | PA      | $6110255.38    | 0.01%             | 2034-04-15      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| MF1 2022-FL10 LLC                                                                | MF1 MULTIFAMILY HOUSING MORTGA MF1 2022 FL10 A 144A         | CUSIP: 55285BAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    11654786 | PA      | $11670524.41   | 0.03%             | 2037-09-17      | Floating      | 6.77%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD NZD BOUGHT USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |           1 | NC      | $15719.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 838769 FN 09/35 FLOATING VAR                      | CUSIP: 31407R2A1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       22085 | PA      | $22594.85      | 0.00%             | 2035-09-01      | Floating      | 6.49%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 904864 FN 01/37 FIXED 6                           | CUSIP: 31411DJH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5628 | PA      | $5800.08       | 0.00%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                                               | BANCO SANTANDER SA BANCO SANTANDER SA                       | CUSIP: 05964HAX3<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    15800000 | PA      | $16189409.33   | 0.04%             | 2027-11-07      | Floating      | 6.53%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 811937 FN 04/35 FLOATING VAR                      | CUSIP: 31406KBE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       89641 | PA      | $92010.74      | 0.00%             | 2035-04-01      | Floating      | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 31750R9K5 PIMCO FXVAN PUT AUD USD 0.62250000                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    31603000 | NC      | $250.94        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-5                                             | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 5 2A3               | CUSIP: 12668KAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8131519 | PA      | $8238804.23    | 0.02%             | 2047-09-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                                    | FORD MOTOR CREDIT CO LLC SR UNSECURED 03/28 5.918           | CUSIP: 345397G72<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    13500000 | PA      | $13733863.61   | 0.03%             | 2028-03-20      | Fixed         | 5.92%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                | HSBC HOLDINGS PLC SR UNSECURED 08/27 VAR                    | CUSIP: 404280DZ9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    25600000 | PA      | $25947767.81   | 0.06%             | 2027-08-14      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM3529 FN 06/40 FIXED VAR                         | CUSIP: 3140X64P3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      316161 | PA      | $295274.28     | 0.00%             | 2040-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-3                                                  | BEAR STEARNS ALT A TRUST BALTA 2006 3 31A1                  | CUSIP: 07386HP54<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3305456 | PA      | $1344125.67    | 0.00%             | 2036-05-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES TRUST 2006-W5                                                  | ARGENT SECURITIES INC. ARSI 2006 W5 A2C                     | CUSIP: 04012XAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    17114843 | PA      | $4666983.13    | 0.01%             | 2036-06-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLINES 2020-1 CLASS A PASS THROUGH TRUST                                | UNITED AIR 2020 1 A PTT PASS THRU CE 04/29 5.875            | CUSIP: 90931GAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    26821157 | PA      | $27589610.23   | 0.06%             | 2029-04-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 257101 FN 02/28 FIXED 5                           | CUSIP: 31371NRW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        9623 | PA      | $9692.89       | 0.00%             | 2028-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 907500 FN 12/36 FIXED 6                           | CUSIP: 31411GGH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        6654 | PA      | $6894.22       | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20251008                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-1503.11      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 917061 FN 05/37 FIXED 6                           | CUSIP: 31411WZ26<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      180932 | PA      | $188545.11     | 0.00%             | 2037-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8331 FR 06/53 FIXED 5.5                 | CUSIP: 3132DWHG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    96936635 | PA      | $98114914.49   | 0.22%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NATIONWIDE BUILDING SOCIETY                                                      | NATIONWIDE BLDG SOCIETY SR UNSECURED 144A 07/30 VAR         | CUSIP: 63861VAE7<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |    34800000 | PA      | $34245862.55   | 0.08%             | 2030-07-18      | Floating      | 3.96%                 | No            |                  2 | On Loan: No      |
| OCTAGON INVESTMENT PARTNERS 39 LTD 2018-3A                                       | OCTAGON INVESTMENT PARTNERS 39 OCT39 2018 3A AR 144A        | CUSIP: 67592CAL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2982014 | PA      | $2984287.55    | 0.01%             | 2030-10-20      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                | HSBC HOLDINGS PLC SR UNSECURED 08/27 VAR                    | CUSIP: 404280DY2<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    26300000 | PA      | $26529704.46   | 0.06%             | 2027-08-14      | Floating      | 5.91%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2025-C                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2025 C A1A 144A          | CUSIP: 83208DAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   177223090 | PA      | $178071669.94  | 0.39%             | 2055-03-15      | Fixed         | 4.96%                 | No            |                  2 | On Loan: No      |
| VMWARE LLC                                                                       | VMWARE LLC SR UNSECURED 05/30 4.7                           | CUSIP: 928563AF2<br>LEI: 549300BUDHS3LRWBE814 | Long             | DBT              | CORP              | US        |     9100000 | PA      | $9215708.96    | 0.02%             | 2030-05-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2017-18                                                        | FANNIE MAE FNR 2017 18 AF                                   | CUSIP: 3136AVQC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5843024 | PA      | $5719247.97    | 0.01%             | 2047-03-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| RMAC SECURITIES PLC 2006-NS1X                                                    | RMAC SECURITIES PLC RMACS 2006 NS1X A2A REGS                | CUSIP: 990HDQII6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     4863927 | PA      | $6407467.51    | 0.01%             | 2044-06-12      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE6744 FN 02/47 FIXED 4                           | CUSIP: 3140FSP64<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       50999 | PA      | $48576.91      | 0.00%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 941609 FN 02/26 FIXED 3.5                         | CUSIP: 31413CR68<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4159 | PA      | $4141.60       | 0.00%             | 2026-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QG6246 FR 07/53 FIXED 5                   | CUSIP: 3133C65F2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       91595 | PA      | $91316.09      | 0.00%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / GLP FINANCING II INC                                            | GLP CAPITAL LP / FIN II COMPANY GUAR 01/30 4                | CUSIP: 361841AP4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    19400000 | PA      | $18804119.30   | 0.04%             | 2030-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 908197 FN 12/36 FIXED 6                           | CUSIP: 31411G7J5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         653 | PA      | $673.01        | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-2CB                                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 2CB 1A13          | CUSIP: 02149HAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      475905 | PA      | $243102.71     | 0.00%             | 2037-03-25      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AW7977 FN 09/44 FIXED 4                           | CUSIP: 3138XX2K1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       10298 | PA      | $9927.12       | 0.00%             | 2044-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZK3162 FR 04/26 FIXED 3.5                 | CUSIP: 3131X6QP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        6008 | PA      | $5976.32       | 0.00%             | 2026-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2934                                                                 | FREDDIE MAC FHR 2934 EJ                                     | CUSIP: 31395MCV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      248706 | PA      | $254318.88     | 0.00%             | 2034-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q47088 FG 03/47 FIXED 3.5                 | CUSIP: 3132WL2W5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      399257 | PA      | $376111.04     | 0.00%             | 2047-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 802648 FN 10/34 FLOATING VAR                      | CUSIP: 31405XWH2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       59149 | PA      | $60240.91      | 0.00%             | 2034-10-01      | Floating      | 6.41%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CAD BOUGHT USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |           1 | NC      | $4646043.51    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AU6963 FN 10/28 FIXED 3.5                         | CUSIP: 3138X6WZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       58666 | PA      | $58216.11      | 0.00%             | 2028-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-3305                                                                 | FREDDIE MAC FHR 3305 FJ                                     | CUSIP: 31397GT91<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      119049 | PA      | $116795.98     | 0.00%             | 2037-04-15      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA4942 FN 03/53 FIXED 6                           | CUSIP: 31418EP46<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      311482 | PA      | $319853.74     | 0.00%             | 2053-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL CN6295 G2 03/47 FIXED 3                        | CUSIP: 3617F57G9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1695928 | PA      | $1509311.17    | 0.00%             | 2047-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC4857 FN 03/46 FIXED 4                           | CUSIP: 3140F0MF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       69596 | PA      | $66949.48      | 0.00%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB1493 FN 06/36 FIXED 3.5                         | CUSIP: 3140QLUT1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      340860 | PA      | $331612.52     | 0.00%             | 2036-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QY2186 FR 04/55 FIXED 6.5                 | CUSIP: 31426LNC4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       62655 | PA      | $64817.40      | 0.00%             | 2055-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 870075 FN 08/36 FIXED 6                           | CUSIP: 31409FT81<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      144276 | PA      | $150504.34     | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                                          | BPCE SA 144A 10/27 VAR                                      | CUSIP: 05571AAQ8<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    29050000 | PA      | $29714509.74   | 0.07%             | 2027-10-19      | Floating      | 6.61%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SB8033 FR 02/35 FIXED 3.5                 | CUSIP: 3132D54S8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      603385 | PA      | $589032.68     | 0.00%             | 2035-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 928210 FN 03/37 FIXED 6                           | CUSIP: 31412LGT1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         802 | PA      | $836.09        | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZK2911 FR 01/26 FIXED 3.5                 | CUSIP: 3131X6GU8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       15018 | PA      | $14957.19      | 0.00%             | 2026-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2008-2R                                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2008 2R 3A1            | CUSIP: 021482AE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      976504 | PA      | $448690.84     | 0.00%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CHILEAN GOVT LA SP MYC                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $637622.34     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| THORNBURG MORTGAGE SECURITIES TR 2007-3                                          | THORNBURG MORTGAGE SECURITIES TMST 2007 3 2A1               | CUSIP: 88522XAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4968470 | PA      | $4868683.87    | 0.01%             | 2047-06-25      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2020-H07                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2020 H07 FA              | CUSIP: 38380L8G1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    18939750 | PA      | $18891260.49   | 0.04%             | 2070-04-20      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AT5898 FN 06/43 FIXED 3                           | CUSIP: 3138WTRU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       30950 | PA      | $28472.69      | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-30T1                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 30T1 1A3          | CUSIP: 02146VAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      287810 | PA      | $210794.72     | 0.00%             | 2036-11-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT PLN SOLD USD 20251015                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $160706.38     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2006-M2                                                    | ARGENT SECURITIES INC. ARSI 2006 M2 A2C                     | CUSIP: 04013BAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    19332295 | PA      | $6236818.86    | 0.01%             | 2036-09-25      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20251106                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $27455.03      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 850616 FN 02/36 FLOATING VAR                      | CUSIP: 31408GAR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       46315 | PA      | $47160.81      | 0.00%             | 2036-02-01      | Floating      | 6.91%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS6534 FR 08/26 FIXED 3.5                 | CUSIP: 3132A7HK0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       10986 | PA      | $10932.08      | 0.00%             | 2026-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL C47272 FG 10/29 FIXED 6.5                 | CUSIP: 31298GCH1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3895 | PA      | $4075.35       | 0.00%             | 2029-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-R2                                                   | COUNTRYWIDE HOME LOANS CWHL 2005 R2 1AF1 144A               | CUSIP: 12669GN64<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      427718 | PA      | $413710.36     | 0.00%             | 2035-06-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2021-14                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2021 14 A11 144A             | CUSIP: 46653QBD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    20005565 | PA      | $18696392.79   | 0.04%             | 2052-05-25      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CHF BOUGHT USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |           1 | NC      | $-4402.23      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BK3888 FN 04/48 FIXED 4                           | CUSIP: 3140HHKA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      195994 | PA      | $187555.18     | 0.00%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT NZD SOLD USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |           1 | NC      | $-17767.41     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 13.9271 05/08/25-01/04/27 CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |           1 | NC      | $-1451046.26   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3364 FN 05/33 FIXED 3.5                         | CUSIP: 31418CW26<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5980 | PA      | $5903.13       | 0.00%             | 2033-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZK2622 FR 10/25 FIXED 3.5                 | CUSIP: 3131X54F6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1539 | PA      | $1534.08       | 0.00%             | 2025-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BAYER US FINANCE LLC                                                             | BAYER US FINANCE LLC BAYER US FINANCE LLC                   | CUSIP: 07274EAK9<br>LEI: 54930093Q75GSEM74I71 | Long             | DBT              | CORP              | US        |    36300000 | PA      | $38807472.96   | 0.09%             | 2030-11-21      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317UAGAA3 PIMCO SWAPTION 2.75 PUT EUR 20251017              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -45300000 | NC      | $-101444.11    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 878498 FN 02/36 FIXED 6                           | CUSIP: 31409T7K8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1975 | PA      | $2050.57       | 0.00%             | 2036-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HIGHWOODS REALTY LP                                                              | HIGHWOODS REALTY LP SR UNSECURED 02/30 3.05                 | CUSIP: 431282AS1<br>LEI: JUJNVZX73BIYHLR58F51 | Long             | DBT              | CORP              | US        |      600000 | PA      | $555899.52     | 0.00%             | 2030-02-15      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE WHOLE LOAN                                                            | FANNIEMAE WHOLE LOAN FNW 1998 W2 A8                         | CUSIP: 31359UPD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5708 | PA      | $5758.77       | 0.00%             | 2028-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AU5339 FN 06/43 FIXED 3                           | CUSIP: 3138X44Z0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      180480 | PA      | $165676.94     | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BRAZIL GOVT                                                                      | FED REPUBLIC OF BRAZIL SR UNSECURED 01/56 7.25              | CUSIP: 105756CN8<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |    53215000 | PA      | $53885509.00   | 0.12%             | 2056-01-12      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2023-7                                                | VERUS SECURITIZATION TRUST VERUS 2023 7 A1 144A             | CUSIP: 92539YAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7345947 | PA      | $7467796.89    | 0.02%             | 2068-10-25      | Fixed         | 7.07%                 | No            |                  2 | On Loan: No      |
| MIZUHO FINANCIAL GROUP INC                                                       | MIZUHO FINANCIAL GROUP MIZUHO FINANCIAL GROUP               | CUSIP: 60687YDF3<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |    19800000 | PA      | $20502707.74   | 0.05%             | 2030-07-10      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 841027 FN 11/35 FLOATING VAR                      | CUSIP: 31407ULG0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       68278 | PA      | $69338.95      | 0.00%             | 2035-11-01      | Floating      | 6.58%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS6483 FR 10/26 FIXED 3.5                 | CUSIP: 3132A7FY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        7640 | PA      | $7614.45       | 0.00%             | 2026-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 889506 FN 03/37 FIXED VAR                         | CUSIP: 31410KGP3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         386 | PA      | $407.14        | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BW1734 FN 05/52 FIXED 3                           | CUSIP: 3140MS4U6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      677867 | PA      | $597799.18     | 0.00%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ARES EUROPEAN CLO XII BV 12A                                                     | ARES EURO CLO ARESE 12A AR 144A                             | CUSIP: ACI20RGN4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    14972602 | PA      | $17597470.66   | 0.04%             | 2032-04-20      | Floating      | 2.87%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 250653 FN 08/26 FIXED 8.5                         | CUSIP: 31371FMA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          31 | PA      | $30.94         | 0.00%             | 2026-08-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FREDDIEMAC STRIP-312                                                             | FREDDIEMAC STRIP FHS 312 V1                                 | CUSIP: 3132HTRR9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3353911 | PA      | $3382828.46    | 0.01%             | 2043-09-15      | Floating      | 2.34%                 | No            |                  2 | On Loan: No      |
| RBSSP RESECURITIZATION TRUST 2011-4                                              | RBSSP RESECURITIZATION TRUST RBSSP 2011 4 3A1 144A          | CUSIP: 74930PAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      844701 | PA      | $792397.09     | 0.00%             | 2036-10-27      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 841775 FN 09/35 FLOATING VAR                      | CUSIP: 31407VFQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1636 | PA      | $1684.28       | 0.00%             | 2035-09-01      | Floating      | 6.28%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 920310 FN 05/36 FIXED 6                           | CUSIP: 31412BN32<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       14597 | PA      | $14911.47      | 0.00%             | 2036-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NORTHWESTERN CORPORATION                                                         | NORTHWESTERN CORP 1ST MORTGAGE 144A 03/30 5.073             | CUSIP: 66807TAA0<br>LEI: 3BPWMBHR1R9SHUN7J795 | Long             | DBT              | CORP              | US        |     3200000 | PA      | $3283032.29    | 0.01%             | 2030-03-21      | Fixed         | 5.07%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL BG3077 G2 05/48 FIXED 4                        | CUSIP: 3617GMM25<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2516838 | PA      | $2384396.28    | 0.01%             | 2048-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SNAM SPA                                                                         | SNAM SPA SR UNSECURED 144A 05/30 5                          | CUSIP: 83304JAA5<br>LEI: 8156002278562044AF79 | Long             | DBT              | CORP              | IT        |    14200000 | PA      | $14408952.43   | 0.03%             | 2030-05-28      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AT8008 FN 06/43 FIXED 3                           | CUSIP: 3138WV3S8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      250230 | PA      | $230149.77     | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 783355 FN 02/37 FIXED 6                           | CUSIP: 31405AH89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       18525 | PA      | $19144.17      | 0.00%             | 2037-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4006                                                          | FREDDIE MAC FHR 4006 CZ                                     | CUSIP: 3137ALRU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1402632 | PA      | $1356909.72    | 0.00%             | 2042-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVESTMENT LOAN TRUST 2004-11 2004-11                           | STRUCTURED ASSET INVESTMENT LO SAIL 2004 11 M4              | CUSIP: 86358EPT7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4313436 | PA      | $3624475.66    | 0.01%             | 2035-01-25      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2234                                                                 | FREDDIE MAC FHR 2234 ZP                                     | CUSIP: 3133TNXR0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        9212 | PA      | $9664.00       | 0.00%             | 2030-05-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2005-4                                            | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2005 4 M2              | CUSIP: 68389FJJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8642938 | PA      | $8369247.40    | 0.02%             | 2035-11-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT KRW SOLD USD 20251010                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $-124607.34    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AZ7362 FN 11/45 FIXED 4                           | CUSIP: 3140E0FC4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      410936 | PA      | $395736.49     | 0.00%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 815502 FN 03/35 FIXED 6                           | CUSIP: 31406PAB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1805 | PA      | $1855.09       | 0.00%             | 2035-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP OF AMERICA FINANCE LLC                                          | VOLKSWAGEN GROUP AMERICA COMPANY GUAR 144A 09/26 3.2        | CUSIP: 928668BB7<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |     3700000 | PA      | $3663128.28    | 0.01%             | 2026-09-26      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AQ9970 FN 01/28 FIXED 4                           | CUSIP: 3138MSCG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1885 | PA      | $1874.09       | 0.00%             | 2028-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2010-123                                                              | FANNIE MAE FNR 2010 123 PM                                  | CUSIP: 31398NY24<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      181413 | PA      | $180914.42     | 0.00%             | 2040-07-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| OBX 2023-NQM6 TRUST                                                              | ONSLOW BAY FINANCIAL LLC OBX 2023 NQM6 A1 144A              | CUSIP: 67117VAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5368061 | PA      | $5417196.28    | 0.01%             | 2063-07-25      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZT0717 FR 10/33 FIXED 3.5                 | CUSIP: 3132ACYN4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      583715 | PA      | $575914.00     | 0.00%             | 2033-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                           | CS AT1 CLAIMS US225436AA21 CREDIT SUISSE GROUP AG           | CUSIP: 952NPH004<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | US        |     3700000 | PA      | $481000.00     | 0.00%             | 2060-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 576567 FN 02/31 FIXED 8                           | CUSIP: 31386XQU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      279217 | PA      | $291892.17     | 0.00%             | 2031-02-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AQ9892 FN 02/43 FIXED 3                           | CUSIP: 3138MR7E5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         997 | PA      | $920.38        | 0.00%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2004-AR13                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2004 AR13 A2A           | CUSIP: 92922FB72<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      225622 | PA      | $219590.34     | 0.00%             | 2034-11-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ9182 FN 05/33 FIXED 3                           | CUSIP: 3140HBFY9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      337370 | PA      | $328715.33     | 0.00%             | 2033-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| VASA TRUST 2021-VASA                                                             | VASA TRUST VASA 2021 VASA A 144A                            | CUSIP: 92230AAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7550000 | PA      | $7396630.06    | 0.02%             | 2039-07-15      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20251120                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $140.35        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8190 FR 01/52 FIXED 3                   | CUSIP: 3132DWC35<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2820086 | PA      | $2486923.57    | 0.01%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| LEHMAN ABS MTGE LN TR 2007-1                                                     | LEHMAN ABS MORTGAGE LOAN TRUST LABSM 2007 1 2A2 144A        | CUSIP: 52521MAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2330821 | PA      | $1554751.00    | 0.00%             | 2037-06-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                      | BANK OF AMERICA CORP SR UNSECURED 09/27 VAR                 | CUSIP: 06051GLV9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    48200000 | PA      | $49007470.50   | 0.11%             | 2027-09-15      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| SAUDI ARABIA GOVT                                                                | SAUDI INTERNATIONAL BOND SR UNSECURED 144A 01/30 4.75       | CUSIP: 80413TBF5<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |    13600000 | PA      | $13903061.45   | 0.03%             | 2030-01-16      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| THAMES WATER UTILITIES FINANCE PLC                                               | THAMES WATER UTIL FIN SR SECURED REGS 01/30 0.875           | CUSIP: ACI235LV5<br>LEI: 213800ESMPQ4RQ7G8351 | Long             | DBT              | CORP              | GB        |    13400000 | PA      | $10866599.67   | 0.02%             | 2030-01-31      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA5819 G2 03/49 FIXED 5                        | CUSIP: 36179UPC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       47430 | PA      | $48043.78      | 0.00%             | 2049-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 821213 FN 05/35 FIXED 6                           | CUSIP: 31406VK21<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       31661 | PA      | $32756.19      | 0.00%             | 2035-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD SGD BOUGHT USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $296.74        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST                        | AERCAP IRELAND CAP/GLOBA COMPANY GUAR 04/26 4.45            | CUSIP: 00774MAL9<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |     3900000 | PA      | $3900202.22    | 0.01%             | 2026-04-03      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DA1051 FN 10/53 FIXED 5.5                         | CUSIP: 3140A1EZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      408789 | PA      | $412834.69     | 0.00%             | 2053-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ORACLE CORPORATION SNR S* ICE                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $1196051.13    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A6                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2006 A6 3A1                  | CUSIP: 46628BBC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       27920 | PA      | $15512.55      | 0.00%             | 2036-10-25      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 946272 FN 09/37 FIXED 6                           | CUSIP: 31413HW95<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       78126 | PA      | $81419.60      | 0.00%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| THAMES WATER UTILITIES FINANCE PLC                                               | THAMES WATER UTIL FIN SR SECURED 02/34 6.5                  | CUSIP: 005048II6<br>LEI: 213800ESMPQ4RQ7G8351 | Long             | DBT              | CORP              | GB        |      900000 | PA      | $857705.35     | 0.00%             | 2034-02-09      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 889561 FN 06/38 FIXED VAR                         | CUSIP: 31410KJE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       84374 | PA      | $87494.97      | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| VIRGIN MEDIA SECURED FINANCE PLC                                                 | VIRGIN MEDIA SECURED FIN SR SECURED 144A 01/30 4.25         | CUSIP: ACI1FYMM0<br>LEI: 213800X3RLP4NOTPY579 | Long             | DBT              | CORP              | GB        |     8900000 | PA      | $11160761.83   | 0.02%             | 2030-01-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY DIRECT LENDING FUND                                               | MORGAN STANLEY DIRECT SR UNSECURED 02/27 4.5                | CUSIP: 61774AAD5<br>LEI: 549300QEX22T2J8IB029 | Long             | DBT              | CORP              | US        |    18150000 | PA      | $18129109.35   | 0.04%             | 2027-02-11      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT NOK SOLD USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |           1 | NC      | $1.16          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | US 10YR NOTE (CBT)DEC25 XCBT 20251219                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       40836 | NC      | $21315699.07   | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AJ5341 FN 11/26 FIXED 3.5                         | CUSIP: 3138AW5B5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        8232 | PA      | $8179.37       | 0.00%             | 2026-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 530499 GN 09/30 FIXED 7.5                         | CUSIP: 36212DKL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1334 | PA      | $1334.37       | 0.00%             | 2030-09-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL AN8477 GN 08/45 FIXED 3.5                         | CUSIP: 36186SM21<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       98356 | PA      | $91995.58      | 0.00%             | 2045-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AH6500 FN 03/26 FIXED 3.5                         | CUSIP: 3138A8GJ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        7318 | PA      | $7285.95       | 0.00%             | 2026-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 844719 FN 12/35 FIXED 6                           | CUSIP: 31407YPC7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       29458 | PA      | $30831.00      | 0.00%             | 2035-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB2304 FN 02/26 FIXED 3.5                         | CUSIP: 31416XR28<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        6504 | PA      | $6477.93       | 0.00%             | 2026-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 003123 G2 08/31 FIXED 8                        | CUSIP: 36202DPG0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         540 | PA      | $542.07        | 0.00%             | 2031-08-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOEING CO/THE SNR S* ICE                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $35564.44      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CSAB MTGE BACKED PASS-THRU CERTS 2006-1                                          | CSAB MORTGAGE BACKED TRUST CSAB 2006 1 A6A                  | CUSIP: 22943HAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1238318 | PA      | $291074.26     | 0.00%             | 2036-06-25      | Variable      | 6.67%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                      | BNP PARIBAS 144A 09/28 VAR                                  | CUSIP: 09659W2M5<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    39900000 | PA      | $38054808.14   | 0.08%             | 2028-09-30      | Floating      | 1.90%                 | No            |                  2 | On Loan: No      |
| SYNCHRONY BANK (AKA: GE CAPITAL RETAIL BANK)                                     | SYNCHRONY BANK SR UNSECURED 08/27 5.625                     | CUSIP: 87166FAE3<br>LEI: 549300UATVPGSLE43Z27 | Long             | DBT              | CORP              | US        |    12500000 | PA      | $12767454.88   | 0.03%             | 2027-08-23      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 977164 FN 09/38 FIXED 6                           | CUSIP: 31414VB96<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      288052 | PA      | $301501.46     | 0.00%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2010-74                                                               | FANNIE MAE FNR 2010 74 WF                                   | CUSIP: 31398RW84<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      191202 | PA      | $191198.35     | 0.00%             | 2034-07-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2025-HMST                             | BANC OF AMERICA MERRILL LYNCH BAMLL 2025 HMST A 144A        | CUSIP: 05555XAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    34277923 | PA      | $33235862.86   | 0.07%             | 2050-04-25      | Variable      | 3.11%                 | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 890405 FN 01/27 FIXED VAR                         | CUSIP: 31410LGN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       13175 | PA      | $13117.45      | 0.00%             | 2027-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H15                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H15 FA              | CUSIP: 38384AV34<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    43810557 | PA      | $44494203.71   | 0.10%             | 2073-06-20      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 905323 FN 12/36 FIXED 6                           | CUSIP: 31411DYU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       15848 | PA      | $16396.67      | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 906885 FN 12/36 FIXED 6                           | CUSIP: 31411FRE6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       39761 | PA      | $41137.02      | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-26                                                   | COUNTRYWIDE HOME LOANS CWHL 2005 26 1A2                     | CUSIP: 126694ML9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       11668 | PA      | $6264.82       | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL FUNDING MTG SEC I 2004-S9                                            | RESIDENTIAL FUNDING MTG SEC I RFMSI 2004 S9 1A23            | CUSIP: 76111XRB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      114978 | PA      | $111752.98     | 0.00%             | 2034-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2003-4                                                    | SEQUOIA MORTGAGE TRUST SEMT 2003 4 2A1                      | CUSIP: 81743PBW5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       28938 | PA      | $28897.02      | 0.00%             | 2033-07-20      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 479210 FN 01/29 FIXED 6                           | CUSIP: 31382DKX1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          52 | PA      | $53.60         | 0.00%             | 2029-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 008947 G2 08/26 FLOATING VAR                   | CUSIP: 36202K5G6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2680 | PA      | $2687.62       | 0.00%             | 2026-08-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AJ7689 FN 12/41 FIXED 4                           | CUSIP: 3138E0RK7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       19782 | PA      | $19250.91      | 0.00%             | 2041-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $643455.28     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BM1067 FN 12/31 FIXED VAR                         | CUSIP: 3140J5FH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      263290 | PA      | $260848.43     | 0.00%             | 2031-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AMRIZE FINANCE US LLC                                                            | AMRIZE FINANCE US LLC COMPANY GUAR 144A 04/28 4.7           | CUSIP: 43475RAB2<br>LEI: 529900FB2F1WKLFNGY62 | Long             | DBT              | CORP              | US        |    22000000 | PA      | $22266203.74   | 0.05%             | 2028-04-07      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AH4587 FN 03/26 FIXED 3.5                         | CUSIP: 3138A6CZ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3247 | PA      | $3232.07       | 0.00%             | 2026-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL AM7444 GN 04/45 FIXED 3.5                         | CUSIP: 36184YHV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      383823 | PA      | $359002.61     | 0.00%             | 2045-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2006-HE4                                                     | ACE SECURITIES CORP. ACE 2006 HE4 A2A                       | CUSIP: 00442BAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        8090 | PA      | $3153.27       | 0.00%             | 2036-10-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3932 FN 02/35 FIXED 3.5                         | CUSIP: 31418DLN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      837353 | PA      | $816448.49     | 0.00%             | 2035-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-46CB                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 46CB A12          | CUSIP: 12667G7F4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      529574 | PA      | $340847.96     | 0.00%             | 2035-10-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC 2004-D                                               | MLCC MORTGAGE INVESTORS INC MLCC 2004 D A1                  | CUSIP: 59020UGF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        1620 | PA      | $1650.08       | 0.00%             | 2029-09-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD6471 FN 09/46 FIXED 4                           | CUSIP: 3140FEFM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1194239 | PA      | $1150190.37    | 0.00%             | 2046-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INTERNATIONAL CORP (CCI)                                            | CROWN CASTLE INC SR UNSECURED 09/28 4.8                     | CUSIP: 22822VBB6<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |     4000000 | PA      | $4058152.36    | 0.01%             | 2028-09-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED SEC HOME EQTY LN 2007-HE2                                           | ASSET BACKED SECURITIES CORP H ABSHE 2007 HE2 A2            | CUSIP: 04544TAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      140588 | PA      | $100383.83     | 0.00%             | 2037-05-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL P50049 FG 08/29 FIXED 6.5                 | CUSIP: 31288LBS9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1470 | PA      | $1485.35       | 0.00%             | 2029-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL9109 FN 01/34 FIXED VAR                         | CUSIP: 3138ERDP2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      870257 | PA      | $872528.40     | 0.00%             | 2034-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LIMITED                                                  | AVOLON HOLDINGS FNDG LTD COMPANY GUAR 144A 11/27 2.528      | CUSIP: 05401AAR2<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |     7703000 | PA      | $7407703.34    | 0.02%             | 2027-11-18      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 829987 FN 05/35 FLOATING VAR                      | CUSIP: 31407GCY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5055 | PA      | $5243.29       | 0.00%             | 2035-05-01      | Floating      | 6.97%                 | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED REC 2006-HE1                                            | SECURITIZED ASSET BACKED RECEI SABR 2006 HE1 A2C            | CUSIP: 81376YAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2124581 | PA      | $701928.31     | 0.00%             | 2036-07-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF7557 FR 02/53 FIXED 4                   | CUSIP: 3133BVME2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      329242 | PA      | $312852.56     | 0.00%             | 2053-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                    | CITIGROUP INC SR UNSECURED 05/28 VAR                        | CUSIP: 172967NS6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     2400000 | PA      | $2418530.90    | 0.01%             | 2028-05-24      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 809591 FN 02/35 FLOATING VAR                      | CUSIP: 31406GNG0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       17738 | PA      | $18038.07      | 0.00%             | 2035-02-01      | Floating      | 6.41%                 | No            |                  2 | On Loan: No      |
| PIMCO FUNDS                                                                      | PIMCO SHORT ASSET PORTFOLIO MUTUAL FUND                     | CUSIP: 000000000<br>LEI: 549300F9QJIJF2GM8419 | Long             | STIV             | RF                | US        |   245903970 | PA      | $2412563850.76 | 5.32%             |  |  |  | No            |                  1 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 003029 G2 01/31 FIXED 8.5                      | CUSIP: 36202DLJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         476 | PA      | $499.98        | 0.00%             | 2031-01-20      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 389                                                           | FREDDIEMAC STRIP FHS 389 C35                                | CUSIP: 31325YRN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   307666692 | PA      | $40882288.53   | 0.09%             | 2052-06-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZK5983 FR 09/28 FIXED 3.5                 | CUSIP: 3131X9UG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       37556 | PA      | $37183.92      | 0.00%             | 2028-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 766605 FN 03/34 FIXED 5.5                         | CUSIP: 31404EU61<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       28730 | PA      | $29773.27      | 0.00%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 888292 FN 03/37 FIXED VAR                         | CUSIP: 31410F2Z7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5907 | PA      | $6228.00       | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H18                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 H18 FB              | CUSIP: 38376REZ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       97231 | PA      | $97244.06      | 0.00%             | 2065-07-20      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| NAPA VALLEY UNIFIED SCHOOL DISTRICT                                              | NAPA VLY CA UNIF SCH DIST NPVSCD 08/43 FIXED 6.507          | CUSIP: 6303614J9<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      200000 | PA      | $216358.40     | 0.00%             | 2043-08-01      | Fixed         | 6.51%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AHL2                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AHL2 A1 144A       | CUSIP: 17312TAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7834140 | PA      | $5292514.01    | 0.01%             | 2037-05-25      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2005-W1                                                     | FANNIEMAE WHOLE LOAN FNW 2005 W1 1A1                        | CUSIP: 31394CB35<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      103734 | PA      | $108333.92     | 0.00%             | 2044-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL3615 FN 12/26 FIXED VAR                         | CUSIP: 3138ELAR4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3639 | PA      | $3617.64       | 0.00%             | 2026-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2006-49                                                               | FANNIE MAE FNR 2006 49 PF                                   | CUSIP: 31395DWS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      127443 | PA      | $127073.83     | 0.00%             | 2036-04-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| VMWARE LLC                                                                       | VMWARE LLC SR UNSECURED 08/28 1.8                           | CUSIP: 928563AK1<br>LEI: 549300BUDHS3LRWBE814 | Long             | DBT              | CORP              | US        |     3000000 | PA      | $2815427.88    | 0.01%             | 2028-08-15      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJ RATE MTGE LOAN 2006-2                                             | STRUCTURED ADJUSTABLE RATE MOR SARM 2006 2 5A1              | CUSIP: 863579V47<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      225688 | PA      | $180949.02     | 0.00%             | 2036-03-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 885866 FN 06/36 FIXED 6                           | CUSIP: 31410DFF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       16030 | PA      | $16884.48      | 0.00%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BBCMS MORTGAGE TRUST 2018-C2                                                     | BARCLAYS COMMERCIAL MORTGAGE S BBCMS 2018 C2 A5             | CUSIP: 05491UBD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7000000 | PA      | $7007588.00    | 0.02%             | 2051-12-15      | Fixed         | 4.31%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD IDR BOUGHT USD 20251015                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $222543.21     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 559812 FN 10/40 FLOATING VAR                      | CUSIP: 31386C3V2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       17840 | PA      | $17905.06      | 0.00%             | 2040-10-01      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2004-HE4                                                     | ACE SECURITIES CORP. ACE 2004 HE4 M2                        | CUSIP: 004421JJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      168662 | PA      | $158057.07     | 0.00%             | 2034-12-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5138 FN 09/53 FIXED 5.5                         | CUSIP: 31418EV80<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    39206673 | PA      | $39677923.01   | 0.09%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 821068 FN 03/35 FIXED 6                           | CUSIP: 31406VFH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1189 | PA      | $1222.95       | 0.00%             | 2035-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BA1011 FN 12/46 FIXED 4                           | CUSIP: 3140E5DR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      199501 | PA      | $191729.05     | 0.00%             | 2046-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOAN, INC. 2007-QS4                                         | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QS4 1A4            | CUSIP: 74923HAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      686366 | PA      | $545639.09     | 0.00%             | 2037-03-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2025-NQM1                                    | GS MORTGAGE BACKED SECURITIES GSMBS 2025 NQM1 PT 144A       | CUSIP: 36271LAL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    59444708 | PA      | $61940137.71   | 0.14%             | 2065-04-25      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB3834 FN 05/52 FIXED 3                           | CUSIP: 3140QPHL4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2403076 | PA      | $2120490.86    | 0.00%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD DKK BOUGHT USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |           1 | NC      | $-2029.29      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD2691 FN 07/46 FIXED 4                           | CUSIP: 3140F97D1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       96539 | PA      | $92509.36      | 0.00%             | 2046-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.64159 04/07/25-30Y* LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $2111570.20    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2017-RPL2                                            | LEGACY MORTGAGE ASSET TRUST LMAT 2017 RPL2 XS 144A          | CUSIP: 52473LAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   349962702 | PA      | $2337890.84    | 0.01%             | 2056-12-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 992314 FN 10/38 FIXED 6                           | CUSIP: 31415XK34<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         458 | PA      | $475.96        | 0.00%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 540913 FN 06/31 FIXED 7                           | CUSIP: 31385C3W1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          74 | PA      | $74.44         | 0.00%             | 2031-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| SPECIALTY UNDERWRITING & RESID 2007-AB1                                          | SPECIALTY UNDERWRITING + RESID SURF 2007 AB1 A2D            | CUSIP: 84752CAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1698904 | PA      | $875742.67     | 0.00%             | 2037-03-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA1679 G2 02/44 FIXED 4.5                      | CUSIP: 36179N2L1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5625 | PA      | $5590.00       | 0.00%             | 2044-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE5                                            | MORGAN STANLEY CAPITAL INC MSAC 2007 HE5 A2A                | CUSIP: 61753KAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5488205 | PA      | $2336655.61    | 0.01%             | 2037-03-25      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| KONA SPC LTD                                                                     | KONA SPC LTD COMPANY GUAR 144A 09/26 VAR                    | CUSIP: ACI3000D0<br>LEI: 254900UKS4SVVOMZWX26 | Long             | DBT              | CORP              | KY        |    15200000 | PA      | $17845570.07   | 0.04%             | 2026-09-15      | Floating      | 5.72%                 | No            |                  3 | On Loan: No      |
| FANNIE MAE REMICS 2006-124                                                       | FANNIE MAE FNR 2006 124 FB                                  | CUSIP: 31396PFQ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      154148 | PA      | $152731.88     | 0.00%             | 2037-01-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA4467 FN 11/51 FIXED 3                           | CUSIP: 31418D6D9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      129920 | PA      | $114909.70     | 0.00%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| EMCM MORTGAGE LOAN TRUST 2001-A                                                  | EMC MORTGAGE LOAN TRUST EMCM 2001 A A 144A                  | CUSIP: 268668AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        9126 | PA      | $8991.90       | 0.00%             | 2040-05-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AT9387 FN 07/43 FIXED 3                           | CUSIP: 3138WXND5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      200862 | PA      | $184657.44     | 0.00%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2004-10                              | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 10 22A1           | CUSIP: 07384M4J8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      117712 | PA      | $105633.60     | 0.00%             | 2035-01-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2004-1                                                  | BEAR STEARNS ALT A TRUST BALTA 2004 1 1A2                   | CUSIP: 07386HFG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        9964 | PA      | $9414.59       | 0.00%             | 2034-02-25      | Floating      | 3.25%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-HYB2                                                 | COUNTRYWIDE HOME LOANS CWHL 2004 HYB2 6A                    | CUSIP: 12669FTM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       59026 | PA      | $58465.91      | 0.00%             | 2034-07-20      | Floating      | 6.80%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2241                                                                 | FREDDIE MAC FHR 2241 PH                                     | CUSIP: 3133TPF87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2386 | PA      | $2490.71       | 0.00%             | 2030-07-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOUTH AFRICA EM SP BOA                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $682616.16     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RB5038 FR 03/40 FIXED 3                   | CUSIP: 3133KYS34<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      217253 | PA      | $203290.26     | 0.00%             | 2040-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL CQ8004 G2 09/47 FIXED 3                        | CUSIP: 3618AA3M2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1365500 | PA      | $1215220.86    | 0.00%             | 2047-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| RALI TRUST 2006-QA10                                                             | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QA10 A1            | CUSIP: 74922NAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       12637 | PA      | $10999.64      | 0.00%             | 2036-12-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2024-AWH                              | BAMLL COML MTG SECS TR 2024 04/42 1                         | CUSIP: 05554WAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    10120000 | PA      | $7610939.29    | 0.02%             | 2042-04-20      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL5548 FN 05/38 FLOATING VAR                      | CUSIP: 3138ENEW5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2020281 | PA      | $2097622.97    | 0.00%             | 2038-05-01      | Floating      | 6.54%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL A97301 FG 03/41 FIXED 4.5                 | CUSIP: 312946DE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       38982 | PA      | $39132.54      | 0.00%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECURITIES CORP 2005-5                                          | STRUCTURED ASSET SECURITIES CO SASC 2005 5 1A1              | CUSIP: 863576AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1262711 | PA      | $636772.69     | 0.00%             | 2035-04-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MTGE SEC INC 2004-R5                                                  | AMERIQUEST MORTGAGE SECURITIES AMSI 2004 R5 M1              | CUSIP: 03072SRX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       12363 | PA      | $12331.32      | 0.00%             | 2034-07-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ5923 FN 04/33 FIXED 3                           | CUSIP: 3140H7SM0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      108449 | PA      | $105363.86     | 0.00%             | 2033-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2374                                                                 | FREDDIE MAC FHR 2374 F                                      | CUSIP: 31339G5N7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       20071 | PA      | $19986.62      | 0.00%             | 2031-06-15      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL CQ9331 G2 01/47 FIXED 3                        | CUSIP: 3618ACLL0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2615391 | PA      | $2332748.23    | 0.01%             | 2047-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2835 FN 12/46 FIXED 4                           | CUSIP: 31418CEH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       44263 | PA      | $42579.74      | 0.00%             | 2046-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTG LN 2004-18                                          | STRUCTURED ADJUSTABLE RATE MOR SARM 2004 18 4A1             | CUSIP: 863579FW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        4964 | PA      | $4916.20       | 0.00%             | 2034-12-25      | Floating      | 5.94%                 | No            |                  2 | On Loan: No      |
| WACHOVIA MORTGAGE LN TRUST LLC 2005-B                                            | WACHOVIA MORTGAGE LOAN TRUST, WMLT 2005 B 4A1               | CUSIP: 92977YBR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       55355 | PA      | $53438.17      | 0.00%             | 2035-10-20      | Floating      | 7.28%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ISRAEL GOVT EM SP GST                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $5243.70       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ORACLE CORPORATION                                                               | ORACLE CORP SR UNSECURED 09/45 5.875                        | CUSIP: 68389XDP7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     5700000 | PA      | $5718770.56    | 0.01%             | 2045-09-26      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2009-87                                                               | FANNIE MAE FNR 2009 87 FX                                   | CUSIP: 31398FM57<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       55131 | PA      | $55325.68      | 0.00%             | 2039-11-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2074                                                                 | FREDDIE MAC FHR 2074 Z                                      | CUSIP: 3133TENQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       65549 | PA      | $66951.85      | 0.00%             | 2028-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                     | BARCLAYS PLC BARCLAYS PLC                                   | CUSIP: ACI2NBD64<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |     2900000 | PA      | $3950751.92    | 0.01%             | 2035-03-21      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON COMPANY                                               | SOUTHERN CAL EDISON 1ST MORTGAGE 09/26 4.4                  | CUSIP: 842400JF1<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     3600000 | PA      | $3607098.98    | 0.01%             | 2026-09-06      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 05/51 2.375                                 | CUSIP: 912810SX7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   101270900 | PA      | $65177318.30   | 0.14%             | 2051-05-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5164 FN 10/53 FIXED 5                           | CUSIP: 31418EW22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    29882214 | PA      | $29751147.26   | 0.07%             | 2053-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD2675 FN 07/46 FIXED 4                           | CUSIP: 3140F96M2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3244717 | PA      | $3109296.59    | 0.01%             | 2046-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QS16                                             | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QS16 A10           | CUSIP: 74922LAK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      788917 | PA      | $629811.02     | 0.00%             | 2036-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2003-W-8                                                    | FANNIEMAE WHOLE LOAN FNW 2003 W8 3F2                        | CUSIP: 31393CX40<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      316504 | PA      | $315702.94     | 0.00%             | 2042-05-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE EUROPEAN LOAN FUNDING 2022-1 DAC 22-1A                             | PALMER SQUARE EUROPEAN LOAN FU PSTET 2022 1A A 144A         | CUSIP: ACI23GLP4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     3321230 | PA      | $3902003.82    | 0.01%             | 2031-10-15      | Floating      | 2.75%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF6127 FR 01/53 FIXED 5.5                 | CUSIP: 3133BTYY0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    11364102 | PA      | $11501798.37   | 0.03%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BLACK DIAMOND CLO 2017-2 DAC                                                     | BLACK DIAMOND CLO BLACK 2017 2A A1 144A                     | CUSIP: ACI1XBRF0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |       10777 | PA      | $12658.90      | 0.00%             | 2032-01-20      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 1Q0200 FH 02/36 FLOATING VAR              | CUSIP: 3128S4GH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       14803 | PA      | $15024.10      | 0.00%             | 2036-02-01      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3306 FN 03/48 FIXED 4                           | CUSIP: 31418CU85<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       11030 | PA      | $10625.36      | 0.00%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE6                                            | MORGAN STANLEY CAPITAL INC MSAC 2007 HE6 A1                 | CUSIP: 61755CAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      718522 | PA      | $653987.02     | 0.00%             | 2037-05-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 938578 FN 09/36 FIXED 6                           | CUSIP: 31412YFT4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1750 | PA      | $1839.48       | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ROUNDSTONE SECURITIES NO 2 DESIGNATED ACTIVITY CO 2A                             | ROUNDSTONE SECURITIES RNST 2A R                             | CUSIP: ACI2NGCQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |    19957000 | PA      | $20349508.23   | 0.04%             | 2058-06-28      | Variable      | 1.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RATE MTG LN 2004-1                                         | STRUCTURED ADJUSTABLE RATE MOR SARM 2004 1 4A2              | CUSIP: 86359BGG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      160586 | PA      | $155554.64     | 0.00%             | 2034-02-25      | Floating      | 6.34%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20260105                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $-511.02       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 256750 FN 06/27 FIXED 5                           | CUSIP: 31371NEX9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        6372 | PA      | $6380.12       | 0.00%             | 2027-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 5.5 SINGLE FAMILY MORTGAGE                   | CUSIP: 01F0526B3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   707015000 | PA      | $712425107.06  | 1.57%             | 2054-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA0619 FN 10/47 FIXED 4                           | CUSIP: 3140Q7VM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       52820 | PA      | $50927.49      | 0.00%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NTT FINANCE CORPORATION                                                          | NTT FINANCE CORP SR UNSECURED 144A 07/30 4.876              | CUSIP: 62954WAS4<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |     4800000 | PA      | $4878654.43    | 0.01%             | 2030-07-16      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| CHASEFLEX TRUST 2007-M1                                                          | CHASEFLEX TRUST CFLX 2007 M1 1A3                            | CUSIP: 16165YAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2733482 | PA      | $2444232.93    | 0.01%             | 2037-08-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL AX3359 G2 07/48 FIXED 4                        | CUSIP: 36196EWU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3558591 | PA      | $3371337.56    | 0.01%             | 2048-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 679708 FN 09/41 FLOATING VAR                      | CUSIP: 31391XDM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1177791 | PA      | $1185993.99    | 0.00%             | 2041-09-01      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| NOMURA HOLDINGS INC                                                              | NOMURA HOLDINGS INC SR UNSECURED 01/33 6.181                | CUSIP: 65535HBK4<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |     6000000 | PA      | $6494033.70    | 0.01%             | 2033-01-18      | Fixed         | 6.18%                 | No            |                  2 | On Loan: No      |
| ITC HOLDINGS CORP                                                                | ITC HOLDINGS CORP SR UNSECURED 144A 05/30 2.95              | CUSIP: 465685AQ8<br>LEI: 549300HTO5U9D3SLE207 | Long             | DBT              | CORP              | US        |    20900000 | PA      | $19597151.68   | 0.04%             | 2030-05-14      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 836117 FN 09/35 FIXED 6                           | CUSIP: 31407N4A8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       23635 | PA      | $24142.94      | 0.00%             | 2035-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM3326 FN 10/27 FIXED VAR                         | CUSIP: 3140X6VU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       55242 | PA      | $54993.18      | 0.00%             | 2027-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2004-W10                                                    | FANNIEMAE WHOLE LOAN FNW 2004 W10 A6                        | CUSIP: 31394ALV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      221468 | PA      | $228503.05     | 0.00%             | 2034-08-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL C36445 FG 02/30 FIXED 7                   | CUSIP: 31294DES6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         403 | PA      | $421.04        | 0.00%             | 2030-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QG5830 FR 07/53 FIXED 6                   | CUSIP: 3133C6PP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       98181 | PA      | $100947.32     | 0.00%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2018-1745                                  | WELLS FARGO COMMERCIAL MORTGAG WFCM 2018 1745 A 144A        | CUSIP: 94990DAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      500000 | PA      | $461297.55     | 0.00%             | 2036-06-15      | Variable      | 3.87%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080205 G2 06/28 FLOATING VAR                   | CUSIP: 36225CGP5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       12433 | PA      | $12479.29      | 0.00%             | 2028-06-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-45T1                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 45T1 1A11         | CUSIP: 02149JAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      810268 | PA      | $289130.95     | 0.00%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q23258 FG 11/43 FIXED 4.5                 | CUSIP: 3132M3JB4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       48629 | PA      | $48254.28      | 0.00%             | 2043-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QH3800 FR 11/53 FIXED 6                   | CUSIP: 3133CGGH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      664393 | PA      | $680143.47     | 0.00%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD IDR BOUGHT USD 20251015                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-13369.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INDYMAC INDA MORTGAGE LOAN TR 2005-AR2                                           | INDYMAC INDA MORTGAGE LOAN TRU INDA 2005 AR2 2A1            | CUSIP: 45660LY86<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1483905 | PA      | $1400895.40    | 0.00%             | 2036-01-25      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 830681 FN 06/35 FIXED 6                           | CUSIP: 31407G2N7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4778 | PA      | $4930.49       | 0.00%             | 2035-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC6356 FN 02/46 FIXED 4                           | CUSIP: 3140F2B25<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      387680 | PA      | $373099.94     | 0.00%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 13.2914 05/08/25-01/02/29 CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |           1 | NC      | $-268719.44    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 745281 FN 01/36 FIXED VAR                         | CUSIP: 31403C6S5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       46993 | PA      | $49503.93      | 0.00%             | 2036-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AH0921 FN 12/40 FIXED 4                           | CUSIP: 3138A2AX7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2419 | PA      | $2335.91       | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL BS5196 GN 01/50 FIXED 4                           | CUSIP: 3617MFXZ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1123684 | PA      | $1065285.02    | 0.00%             | 2050-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 848895 FN 01/36 FIXED 6                           | CUSIP: 31408EC83<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       10491 | PA      | $11027.13      | 0.00%             | 2036-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080204 G2 06/28 FLOATING VAR                   | CUSIP: 36225CGN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       37365 | PA      | $37454.42      | 0.00%             | 2028-06-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD SGD BOUGHT USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $16051.34      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ONEOK INC                                                                        | ONEOK INC COMPANY GUAR 11/28 5.65                           | CUSIP: 682680BJ1<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |     6100000 | PA      | $6327732.64    | 0.01%             | 2028-11-01      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                   | MORGAN STANLEY MORGAN STANLEY                               | CUSIP: 61747YFK6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    23841000 | PA      | $24508148.19   | 0.05%             | 2030-01-16      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2941 FN 03/32 FIXED 3.5                         | CUSIP: 31418CHT4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      371392 | PA      | $367225.67     | 0.00%             | 2032-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 829873 FN 07/35 FLOATING VAR                      | CUSIP: 31407F6J4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       20894 | PA      | $21398.38      | 0.00%             | 2035-07-01      | Floating      | 6.54%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SEC INC MTGE LO 2005-6                                            | DEUTSCHE ALT A SECURITIES INC DBALT 2005 6 2A3              | CUSIP: 251510KH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      467665 | PA      | $396692.63     | 0.00%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20260130                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $-149026.90    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2415 FN 10/45 FIXED 4                           | CUSIP: 31418BVH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      117064 | PA      | $112721.56     | 0.00%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL U40194 FG 03/27 FIXED 3                   | CUSIP: 3132GCCE2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         754 | PA      | $744.84        | 0.00%             | 2027-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20251202                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-90310.53     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 897161 FN 10/36 FIXED 6                           | CUSIP: 31410TWW1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        8320 | PA      | $8597.02       | 0.00%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2004-38                                                        | FANNIE MAE FNR 2004 38 FK                                   | CUSIP: 31393YBS3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      238943 | PA      | $237733.43     | 0.00%             | 2034-05-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 1997-66                                                               | FANNIE MAE FNR 1997 66 Z                                    | CUSIP: 31359QH49<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       11743 | PA      | $11936.15      | 0.00%             | 2027-09-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AA8231 FN 07/39 FIXED 5                           | CUSIP: 31416SED9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        6084 | PA      | $6236.78       | 0.00%             | 2039-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| PROTEUS RMBS DAC 1A                                                              | PROTEUS RMBS DAC PROTE 1A CR 144A                           | CUSIP: ACI1745T9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |    15172000 | PA      | $17328191.30   | 0.04%             | 2054-10-29      | Floating      | 3.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM1842 FN 06/34 FIXED VAR                         | CUSIP: 3140X5BL6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      312101 | PA      | $307799.03     | 0.00%             | 2034-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 911402 FN 03/37 FIXED 6                           | CUSIP: 31411LRX1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       13411 | PA      | $13839.28      | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 544444 FN 09/30 FIXED 8                           | CUSIP: 31385GZH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         213 | PA      | $214.82        | 0.00%             | 2030-09-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 895295 FN 09/36 FIXED 6                           | CUSIP: 31410RUU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1388 | PA      | $1417.16       | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL0787 FN 08/26 FIXED VAR                         | CUSIP: 3138EG2V5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      359719 | PA      | $358075.98     | 0.00%             | 2026-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR16                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR16 1A1           | CUSIP: 92925GAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       29130 | PA      | $26753.45      | 0.00%             | 2036-12-25      | Floating      | 4.36%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB2894 FN 02/52 FIXED 3                           | CUSIP: 3140QNGC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    44839026 | PA      | $39526350.84   | 0.09%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD KRW BOUGHT USD 20251020                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $-877.81       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAN TRUST 2006-11                                           | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2006 11 1A             | CUSIP: 542512AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    16796669 | PA      | $11473094.27   | 0.03%             | 2036-12-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                          | GOLDMAN SACHS GROUP INC SR UNSECURED 01/31 VAR              | CUSIP: 38141GC36<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    33200000 | PA      | $34279255.64   | 0.08%             | 2031-01-28      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| EQT CORPORATION                                                                  | EQT CORP SR UNSECURED 07/27 6.5                             | CUSIP: 26884LAT6<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |     5000000 | PA      | $5120002.25    | 0.01%             | 2027-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-HE7                                            | MORGAN STANLEY CAPITAL INC MSAC 2006 HE7 A2C                | CUSIP: 61750MAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8814214 | PA      | $3802371.73    | 0.01%             | 2036-09-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2585                                                                 | FREDDIE MAC FHR 2585 FD                                     | CUSIP: 31393MH61<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1332 | PA      | $1326.96       | 0.00%             | 2032-12-15      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                     | UBS GROUP AG SR UNSECURED 144A 09/29 VAR                    | CUSIP: 225401BE7<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    18900000 | PA      | $19944128.04   | 0.04%             | 2029-09-22      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-3                                            | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 3 2A2             | CUSIP: 68402BAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4933668 | PA      | $2421348.05    | 0.01%             | 2037-04-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2007-W9                                                     | FANNIEMAE WHOLE LOAN FNW 2007 W9 AC                         | CUSIP: 31396W6T8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       15750 | PA      | $15918.81      | 0.00%             | 2037-08-25      | Floating      | 6.65%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 814577 FN 04/35 FIXED 6                           | CUSIP: 31406M6N1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       16816 | PA      | $17559.29      | 0.00%             | 2035-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SPECIALTY UNDERWRITING & RESID 2005-BC3                                          | SPECIALTY UNDERWRITING + RESID SURF 2005 BC3 M3             | CUSIP: 84751PHA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     9348076 | PA      | $9061015.21    | 0.02%             | 2036-06-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-WMC2                                           | MORGAN STANLEY CAPITAL INC MSAC 2006 WMC2 A2FP              | CUSIP: 61749KAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      123882 | PA      | $44764.53      | 0.00%             | 2036-07-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| ISRAEL GOVT                                                                      | STATE OF ISRAEL SR UNSECURED REGS 05/60 3.8                 | CUSIP: ACI1M29S4<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |    47500000 | PA      | $31738130.10   | 0.07%             | 2060-05-13      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AD0440 FN 10/39 FIXED VAR                         | CUSIP: 31418MP22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1158 | PA      | $1220.85       | 0.00%             | 2039-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3115                                                                 | FREDDIE MAC FHR 3115 LZ                                     | CUSIP: 31396HL64<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      255424 | PA      | $260818.93     | 0.00%             | 2036-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| WARWICK FINANCE RESIDENTIAL MORTGAGES 3A                                         | WARWICK FINANCE RESIDENTIAL MO WARW 3A B 144A               | CUSIP: ACI0Y9KJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    23296000 | PA      | $31565758.86   | 0.07%             | 2049-12-21      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| BRIXMOR OPERATING PARTNERSHIP LP                                                 | BRIXMOR OPERATING PART SR UNSECURED 06/26 4.125             | CUSIP: 11120VAC7<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |     8500000 | PA      | $8487579.29    | 0.02%             | 2026-06-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 447858 FN 12/28 FIXED 6                           | CUSIP: 31380RQK4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          38 | PA      | $39.30         | 0.00%             | 2028-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ABN AMRO BANK NV                                                                 | ABN AMRO BANK NV 144A 10/26 VAR                             | CUSIP: 00084DBC3<br>LEI: BFXS5XCH7N0Y05NIXW11 | Long             | DBT              | CORP              | NL        |     5500000 | PA      | $5503270.91    | 0.01%             | 2026-10-13      | Floating      | 6.58%                 | No            |                  2 | On Loan: No      |
| NAVIENT STUDENT LOAN TRUST 2018-BA                                               | NAVIENT STUDENT LOAN TRUST NAVSL 2018 BA A2A 144A           | CUSIP: 63940QAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      652711 | PA      | $651117.64     | 0.00%             | 2059-12-15      | Fixed         | 3.61%                 | No            |                  2 | On Loan: No      |
| DRYDEN XXVII-R EURO CLO BV 2017-27A                                              | DRYDEN LEVERAGED LOAN CDO DRYD 2017 27A AR 144A             | CUSIP: ACI1W43B2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    26985706 | PA      | $31620807.95   | 0.07%             | 2033-04-15      | Floating      | 2.69%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3800 FN 10/39 FIXED 3                           | CUSIP: 31418DGJ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1445329 | PA      | $1355469.38    | 0.00%             | 2039-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CAIXABANK SA (AKA: LA CAIXA)                                                     | CAIXABANK SA SR UNSECURED 144A 03/30 VAR                    | CUSIP: 12803RAG9<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |     3000000 | PA      | $3112738.38    | 0.01%             | 2030-03-15      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC7831 FN 05/46 FIXED 4                           | CUSIP: 3140F3VZ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        9677 | PA      | $9514.70       | 0.00%             | 2046-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2011-RR4                                                          | BCAP LLC TRUST BCAP 2011 RR4 7A1 144A                       | CUSIP: 05533XAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     9402163 | PA      | $5239375.77    | 0.01%             | 2037-04-26      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                      | BNP PARIBAS SR UNSECURED 144A 01/29 VAR                     | CUSIP: 09659W2V5<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    16800000 | PA      | $17138870.11   | 0.04%             | 2029-01-13      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QD8103 FR 03/52 FIXED 2                   | CUSIP: 3133B6AC4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     7115488 | PA      | $5755959.19    | 0.01%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 937612 FN 06/37 FIXED 6                           | CUSIP: 31412XDR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         478 | PA      | $503.70        | 0.00%             | 2037-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | COLOMBIA LA SP CBK                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $115177.83     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-34                                                        | FANNIE MAE FNR 2013 34 WF                                   | CUSIP: 3136ADPU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      749164 | PA      | $710711.35     | 0.00%             | 2043-04-25      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AI4896 FN 06/26 FIXED 4                           | CUSIP: 3138AJNN8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2709 | PA      | $2698.35       | 0.00%             | 2026-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CHF SOLD USD 20251104                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |           1 | NC      | $75284.74      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 885463 FN 06/36 FIXED 5                           | CUSIP: 31410CWY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5281 | PA      | $5324.44       | 0.00%             | 2036-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON COMPANY                                               | SOUTHERN CAL EDISON 1ST MORTGAGE 02/27 4.875                | CUSIP: 842400JA2<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     5100000 | PA      | $5131567.16    | 0.01%             | 2027-02-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| STARWOOD PROPERTY MORTGAGE TRUST 2021-LIH                                        | STARWOOD COMMERCIAL MORTGAGE T STWD 2021 LIH A 144A         | CUSIP: 78486EAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    17500000 | PA      | $17472616.00   | 0.04%             | 2036-11-15      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q55429 FG 04/48 FIXED 4                   | CUSIP: 3132XYA72<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       23532 | PA      | $22623.01      | 0.00%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BZ2346 FN 11/29 FIXED 4.3                         | CUSIP: 3140NWTC9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    11735000 | PA      | $11863023.33   | 0.03%             | 2029-11-01      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 15 YR 4.5 SINGLE FAMILY MORTGAGE                   | CUSIP: 01F0424A8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     6950000 | PA      | $6941918.54    | 0.02%             | 2039-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-2204                                                                 | FREDDIE MAC FHR 2204 Z                                      | CUSIP: 3133TMY83<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       42494 | PA      | $44259.12      | 0.00%             | 2029-12-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| RNHB BV                                                                          | RNHB B.V. GALIBIER DPF221 RR                                | CUSIP: ACI2QBKL0<br>LEI: 724500YGUK3ZCLGPE353 | Long             | DBT              | CORP              | NL        |     1876071 | PA      | $2201479.02    | 0.00%             | 2027-10-28      | Variable      | 0.00%                 | No            |                  3 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-1                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2007 1 TA10             | CUSIP: 05951FAM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      188520 | PA      | $176914.57     | 0.00%             | 2037-01-25      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST SERIES 2024-CES2                                        | JP MORGAN MORTGAGE TRUST JPMMT 2024 CES2 PT 144A            | CUSIP: 46658QAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    37438679 | PA      | $40780735.99   | 0.09%             | 2055-02-25      | Fixed         | 9.60%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QG6218 FR 07/53 FIXED 5                   | CUSIP: 3133C64B2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      779516 | PA      | $775630.47     | 0.00%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL A93655 FG 09/40 FIXED 4.5                 | CUSIP: 312942BY0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       51464 | PA      | $51788.72      | 0.00%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL CL6342 G2 09/46 FIXED 3                        | CUSIP: 3617YEBK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1060269 | PA      | $943587.89     | 0.00%             | 2046-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AV9274 FN 02/29 FIXED 3.5                         | CUSIP: 3138XMJU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      210173 | PA      | $207806.64     | 0.00%             | 2029-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 844773 FN 12/35 FLOATING VAR                      | CUSIP: 31407YQ28<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        6250 | PA      | $6356.76       | 0.00%             | 2035-12-01      | Floating      | 6.27%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE3702 FN 06/47 FIXED 4                           | CUSIP: 3140FPDG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      128587 | PA      | $123697.25     | 0.00%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NTT FINANCE CORPORATION                                                          | NTT FINANCE CORP SR UNSECURED 144A 07/28 VAR                | CUSIP: 62954WAR6<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |     1900000 | PA      | $1920661.34    | 0.00%             | 2028-07-16      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-A1                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2007 A1 3A3                  | CUSIP: 46630GAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1080129 | PA      | $1040897.74    | 0.00%             | 2035-07-25      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB3084 FN 06/31 FIXED 5                           | CUSIP: 31416YNA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      132449 | PA      | $133988.35     | 0.00%             | 2031-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                                | REPUBLIC OF SOUTH AFRICA SR UNSECURED 144A 11/36 7.1        | CUSIP: 836205BF0<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |     4100000 | PA      | $4281956.03    | 0.01%             | 2036-11-19      | Fixed         | 7.10%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 679640 G2 06/48 FIXED 4                        | CUSIP: 36295TBH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      973270 | PA      | $920259.15     | 0.00%             | 2048-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2001-43                                                               | FANNIE MAE FNR 2001 43 PZ                                   | CUSIP: 313920VW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      117022 | PA      | $121245.66     | 0.00%             | 2031-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AK4927 FN 02/32 FIXED 4                           | CUSIP: 3138E9PM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       43466 | PA      | $43010.85      | 0.00%             | 2032-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3736 FN 07/29 FIXED 3.5                         | CUSIP: 31418DEJ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       33147 | PA      | $32902.77      | 0.00%             | 2029-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                            | WELLS FARGO + COMPANY SR UNSECURED 03/28 VAR                | CUSIP: 95000U2V4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    34900000 | PA      | $34593029.37   | 0.08%             | 2028-03-24      | Floating      | 3.53%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3211 FN 12/47 FIXED 4                           | CUSIP: 31418CR97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       14133 | PA      | $13624.48      | 0.00%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 848562 FN 12/35 FIXED 6                           | CUSIP: 31408DWX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1415 | PA      | $1474.21       | 0.00%             | 2035-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CONSUMERS 2023 SECURITIZATION FUNDING LLC                                        | CONSUMERS 23 SECURE FUND SR SECURED 09/31 5.21              | CUSIP: 21071BAB1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     2600000 | PA      | $2682759.30    | 0.01%             | 2031-09-01      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BM3910 FN 11/30 FIXED VAR                         | CUSIP: 3140J8KY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       39204 | PA      | $38983.03      | 0.00%             | 2030-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 730727 FN 08/33 FIXED 5                           | CUSIP: 31402JYY7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         310 | PA      | $311.48        | 0.00%             | 2033-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 954870 FN 11/37 FIXED 5.5                         | CUSIP: 31413TJP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       12284 | PA      | $12768.57      | 0.00%             | 2037-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                             | JPMORGAN CHASE + CO SR UNSECURED 07/29 VAR                  | CUSIP: 46647PDU7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    25600000 | PA      | $26380884.74   | 0.06%             | 2029-07-24      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 481417 FN 01/29 FIXED 6                           | CUSIP: 31382FYN3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         437 | PA      | $448.08        | 0.00%             | 2029-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-2                                            | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 2 3A3             | CUSIP: 68401TAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1088658 | PA      | $540877.43     | 0.00%             | 2037-03-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2004-2                                             | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 2 23A             | CUSIP: 07384MN57<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        1432 | PA      | $1304.10       | 0.00%             | 2034-05-25      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| HOME EQUITY LOAN TRUST 2007-FRE1                                                 | HOME EQUITY LOAN TRUST HELT 2007 FRE1 2AV3                  | CUSIP: 43710XAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2286686 | PA      | $2236474.73    | 0.00%             | 2037-04-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 357140 FN 07/31 FIXED 6                           | CUSIP: 31376JV97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         268 | PA      | $268.82        | 0.00%             | 2031-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BV5657 FN 04/52 FIXED 3                           | CUSIP: 3140MKJB9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2295192 | PA      | $2020974.80    | 0.00%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2021-GR3                                     | GS MORTGAGE BACKED SECURITIES GSMBS 2021 GR3 A2 144A        | CUSIP: 36263TAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    35092564 | PA      | $29142373.91   | 0.06%             | 2052-04-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H02                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H02 FL              | CUSIP: 38382YM75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    39978772 | PA      | $40242419.83   | 0.09%             | 2073-01-20      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H07                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H07 FK              | CUSIP: 38376RRL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    10580770 | PA      | $10636052.38   | 0.02%             | 2066-03-20      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 952633 FN 06/37 FIXED 6                           | CUSIP: 31413QY69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       85608 | PA      | $88573.67      | 0.00%             | 2037-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AT2613 FN 08/43 FIXED 3                           | CUSIP: 3138WP3X0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      110562 | PA      | $101677.82     | 0.00%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| DALLAS FORT WORTH INTERNATIONAL AIRPORT                                          | DALLAS FORT WORTH TX INTERNATI DALAPT 11/28 FIXED 1.946     | CUSIP: 2350366Q8<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     2435000 | PA      | $2306373.80    | 0.01%             | 2028-11-01      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| BLACKROCK EUROPEAN CLO VII DAC 7A                                                | BLACKROCK EUROPEAN CLO DAC BECLO 7A AR 144A                 | CUSIP: ACI1W2WD0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    10959362 | PA      | $12876349.71   | 0.03%             | 2031-10-15      | Floating      | 2.65%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM3297 FN 05/35 FIXED VAR                         | CUSIP: 3140X6UX7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      800995 | PA      | $780460.77     | 0.00%             | 2035-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AX9301 FN 02/45 FIXED 4                           | CUSIP: 3138YBKP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        8293 | PA      | $7982.63       | 0.00%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL3627 FN 04/32 FIXED VAR                         | CUSIP: 3138ELA52<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       43234 | PA      | $43398.01      | 0.00%             | 2032-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.68700 03/01/24-7Y* LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-1335387.21   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-4                                                  | BEAR STEARNS ALT A TRUST BALTA 2005 4 23A2                  | CUSIP: 07386HSZ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      110756 | PA      | $106438.99     | 0.00%             | 2035-05-25      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DA8572 FN 02/54 FIXED 5                           | CUSIP: 3140YWQ22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       83259 | PA      | $83150.66      | 0.00%             | 2054-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL ASSET BACKED 2006-HE5                                          | WASHINGTON MUTUAL ASSET BACKED WMABS 2006 HE5 2A1           | CUSIP: 93934XAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1277825 | PA      | $446576.80     | 0.00%             | 2036-10-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AU5341 FN 06/43 FIXED 3                           | CUSIP: 3138X45B2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3883 | PA      | $3569.10       | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL A16175 FG 08/29 FIXED 6.5                 | CUSIP: 31296Q2G4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1492 | PA      | $1541.48       | 0.00%             | 2029-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERTIFICATES 2007-BC3                                   | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 BC3 1A              | CUSIP: 23246LAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1186576 | PA      | $1116844.15    | 0.00%             | 2047-11-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TRUST 2002-2                                        | RENAISSANCE HOME EQUITY LOAN T RAMC 2002 2 A                | CUSIP: 759950AG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      103750 | PA      | $99936.08      | 0.00%             | 2032-08-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AH9914 FN 04/26 FIXED 3.5                         | CUSIP: 3138ACAQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4437 | PA      | $4416.20       | 0.00%             | 2026-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | STRIPS 11/41 0.00000                                        | CUSIP: 912834KV9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    27800000 | PA      | $12874792.43   | 0.03%             | 2041-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| VENTURE XXVII CLO LTD 2017-27A                                                   | VENTURE CDO LTD VENTR 2017 27A AR 144A                      | CUSIP: 92331LBC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1418053 | PA      | $1418831.78    | 0.00%             | 2030-07-20      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE GRANTOR TRUST 2001-T10                                                 | FANNIEMAE GRANTOR TRUST FNGT 2001 T10 A1                    | CUSIP: 3139216A1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1203 | PA      | $1230.68       | 0.00%             | 2041-12-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TRUST 2005-41                                         | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 41 1A1            | CUSIP: 12667GR62<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      117666 | PA      | $85697.98      | 0.00%             | 2035-09-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 871232 FN 04/36 FIXED 6                           | CUSIP: 31409G4R4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       31619 | PA      | $32595.33      | 0.00%             | 2036-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-HYB3                                                 | COUNTRYWIDE HOME LOANS CWHL 2006 HYB3 3A1B                  | CUSIP: 1266944F2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      536800 | PA      | $500648.61     | 0.00%             | 2036-05-20      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2118                                                                 | FREDDIE MAC FHR 2118 PE                                     | CUSIP: 3133THS81<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      138827 | PA      | $142095.14     | 0.00%             | 2029-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BAIN CAPITAL EURO 2018-2 DAC 18-2A                                               | BAIN CAPITAL EURO CLO BCCE 2018 2A AR 144A                  | CUSIP: ACI1WTQT3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     8584638 | PA      | $10084207.99   | 0.02%             | 2032-01-20      | Floating      | 2.76%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                    | CITIGROUP INC CITIGROUP INC                                 | CUSIP: 172967PF2<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     3800000 | PA      | $3898697.10    | 0.01%             | 2030-02-13      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2217 FN 03/45 FIXED 4                           | CUSIP: 31418BPB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      103146 | PA      | $99416.04      | 0.00%             | 2045-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOLDEN STATE TOBACCO SECURITIZATION                                              | GOLDEN ST TOBACCO SECURITIZATI GLDGEN 06/50 FIXED 3.85      | CUSIP: 38122ND82<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    10050000 | PA      | $9162595.05    | 0.02%             | 2050-06-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2023-5A                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2023 5A A1 144A         | CUSIP: 21056EAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     6377183 | PA      | $6406332.11    | 0.01%             | 2053-11-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QD9155 FR 03/52 FIXED 3                   | CUSIP: 3133B7E46<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       57144 | PA      | $50331.75      | 0.00%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZK2807 FR 12/25 FIXED 3.5                 | CUSIP: 3131X6DL1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        6401 | PA      | $6377.15       | 0.00%             | 2025-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LAS VEGAS SANDS CORP                                                             | LAS VEGAS SANDS CORP LAS VEGAS SANDS CORP                   | CUSIP: 517834AK3<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |    11300000 | PA      | $11774192.07   | 0.03%             | 2029-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2004-HE9                                            | MORGAN STANLEY CAPITAL INC MSAC 2004 HE9 M2                 | CUSIP: 61744CJU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      115429 | PA      | $114127.55     | 0.00%             | 2034-11-25      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| PIMCO FUNDS                                                                      | PIMCO PRV SHORT TERM FLT III MUTUAL FUND                    | CUSIP: 000000000<br>LEI: LWVQWTQCFH3YG7CVH718 | Long             | STIV             | RF                | US        |    39563978 | PA      | $385313580.31  | 0.85%             |  |  |  | No            |                  1 | On Loan: No      |
| RALI SERIES 2005-QO1 TRUST                                                       | RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QO1 A1             | CUSIP: 761118EN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      173027 | PA      | $120480.25     | 0.00%             | 2035-08-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3742 FN 08/39 FIXED 3.5                         | CUSIP: 31418DEQ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      160915 | PA      | $154686.44     | 0.00%             | 2039-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2024-LB1                              | BANC OF AMERICA MERRILL LYNCH 05/56 1                       | CUSIP: 05494AAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     9076000 | PA      | $7527920.29    | 0.02%             | 2056-05-25      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 889643 FN 03/38 FIXED VAR                         | CUSIP: 31410KLY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       20785 | PA      | $21786.95      | 0.00%             | 2038-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-3005711.59   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H11                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 H11 FC              | CUSIP: 38376RBB1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1245842 | PA      | $1245414.56    | 0.00%             | 2065-05-20      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 940717 FN 10/37 FIXED 6                           | CUSIP: 31413BSE2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       60621 | PA      | $63722.92      | 0.00%             | 2037-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080092 G2 07/27 FLOATING VAR                   | CUSIP: 36225CC61<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       12276 | PA      | $12255.55      | 0.00%             | 2027-07-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AI9793 FN 08/26 FIXED 3.5                         | CUSIP: 3138AP3B2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       10377 | PA      | $10323.50      | 0.00%             | 2026-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-5                                                  | BEAR STEARNS ALT A TRUST BALTA 2006 5 2A2                   | CUSIP: 073873AK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       34642 | PA      | $15758.74      | 0.00%             | 2036-08-25      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 965929 FN 12/37 FIXED 6                           | CUSIP: 31414GSS9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       26235 | PA      | $27123.49      | 0.00%             | 2037-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BA6624 FN 01/46 FIXED 4                           | CUSIP: 3140EBLE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2558 | PA      | $2461.76       | 0.00%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NEWGATE FUNDING PLC 2007-3X                                                      | NEWGATE FUNDING PLC NGATE 2007 3X A2B REGS                  | CUSIP: B2NDQDII7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    23602095 | PA      | $27392443.04   | 0.06%             | 2050-12-15      | Floating      | 2.61%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MTGE PROD 2004-RS12                                            | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2004 RS12 MII4          | CUSIP: 76112BGF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       24742 | PA      | $24744.00      | 0.00%             | 2034-12-25      | Floating      | 6.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD NOK BOUGHT USD 20251104                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |           1 | NC      | $-1.16         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA4579 FN 04/52 FIXED 3                           | CUSIP: 31418ECR9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    44680725 | PA      | $39388879.43   | 0.09%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AT6424 FN 06/43 FIXED 3                           | CUSIP: 3138WUD67<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      745911 | PA      | $687227.77     | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $2330081.88    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL3763 FN 05/28 FIXED VAR                         | CUSIP: 3138ELFD0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        7821 | PA      | $7755.33       | 0.00%             | 2028-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BF0336 FN 01/59 FIXED 4                           | CUSIP: 3140FXLS9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    14065121 | PA      | $13351772.01   | 0.03%             | 2059-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| TORO EUROPEAN CLO 7 DAC 7A                                                       | TORO EUROPEAN CLO TCLO 7A ARE 144A                          | CUSIP: ACI227LV2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    17536122 | PA      | $20608716.69   | 0.05%             | 2034-02-15      | Floating      | 2.85%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-17                                                   | COUNTRYWIDE HOME LOANS CWHL 2005 17 1A1                     | CUSIP: 12669G5M9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      105627 | PA      | $105921.28     | 0.00%             | 2035-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS5069 FN 05/45 FIXED 4                           | CUSIP: 3138WET33<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      617010 | PA      | $594252.64     | 0.00%             | 2045-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS5936 FN 10/45 FIXED 4                           | CUSIP: 3138WFS23<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1323627 | PA      | $1274941.18    | 0.00%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BW5124 FN 02/53 FIXED 5.5                         | CUSIP: 3140MWVS2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       29632 | PA      | $30030.03      | 0.00%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20251020                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $625327.02     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TSY INFL IX N/B 02/53 1.5                                   | CUSIP: 912810TP3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   211509400 | PA      | $169458975.32  | 0.37%             | 2053-02-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 002989 G2 10/30 FIXED 8.5                      | CUSIP: 36202DKA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4658 | PA      | $4884.71       | 0.00%             | 2030-10-20      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| CHASEFLEX TRUST 2007-1                                                           | CHASEFLEX TRUST CFLX 2007 1 2A6                             | CUSIP: 16165VAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1260286 | PA      | $414454.91     | 0.00%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2018-RPL2                                            | LEGACY MORTGAGE ASSET TRUST LMAT 2018 RPL2 SA 144A          | CUSIP: 52474EAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      174054 | PA      | $170027.08     | 0.00%             | 2057-07-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 885283 FN 06/36 FIXED 6                           | CUSIP: 31410CRC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       18747 | PA      | $19596.64      | 0.00%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS0517 FN 09/43 FIXED 3                           | CUSIP: 3138W9SF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1237881 | PA      | $1138281.61    | 0.00%             | 2043-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| EAGLE FUNDING LUXCO SA RL                                                        | EAGLE FUNDING LUXCO SARL SR UNSECURED 144A 08/30 5.5        | CUSIP: 26951TAA8<br>LEI: 894500VDP08MVIZ6OA60 | Long             | DBT              | CORP              | LU        |   106950000 | PA      | $108640879.50  | 0.24%             | 2030-08-17      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-1140063.01   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ANTARES HOLDINGS LP                                                              | ANTARES HOLDINGS SR UNSECURED 144A 02/29 6.5                | CUSIP: 03666HAG6<br>LEI: 5493008EAIGV4283RM42 | Long             | DBT              | CORP              | US        |    16200000 | PA      | $16567101.40   | 0.04%             | 2029-02-08      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AW5289 FN 05/29 FIXED 3.5                         | CUSIP: 3138XU2X9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       30144 | PA      | $29801.11      | 0.00%             | 2029-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NTT FINANCE CORPORATION                                                          | NTT FINANCE CORP SR UNSECURED 144A 07/35 5.502              | CUSIP: 62954WAV7<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |     4800000 | PA      | $4967194.27    | 0.01%             | 2035-07-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CNH BOUGHT USD 20251016                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $89152.74      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB3253 FN 07/26 FIXED 3.5                         | CUSIP: 31416YTK4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1454 | PA      | $1445.42       | 0.00%             | 2026-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 813596 FN 11/35 FLOATING VAR                      | CUSIP: 31406L3D8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      119847 | PA      | $122626.54     | 0.00%             | 2035-11-01      | Floating      | 6.47%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BK1531 FN 06/48 FIXED 4                           | CUSIP: 3140HEVZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      914873 | PA      | $878797.81     | 0.00%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR10                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR10 1A1           | CUSIP: 93363EAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2049844 | PA      | $1798848.85    | 0.00%             | 2036-09-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2005-16IP                                          | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 16IP A1            | CUSIP: 45660LUD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       20734 | PA      | $15872.09      | 0.00%             | 2045-07-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSEET MTGE INV INC 2002-AR3                                          | STRUCTURED ASSET MORTGAGE INVE SAMI 2002 AR3 A1             | CUSIP: 86358HNX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      211609 | PA      | $202213.67     | 0.00%             | 2032-09-19      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FS6786 FN 02/54 FIXED VAR                         | CUSIP: 3140XNRG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       31736 | PA      | $32117.14      | 0.00%             | 2054-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2004-A                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2004 A 1A3              | CUSIP: 06051GAX7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       14482 | PA      | $12826.66      | 0.00%             | 2034-09-20      | Floating      | 6.62%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                                 | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 07/28 3.75              | CUSIP: 694308JK4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    12700000 | PA      | $12477199.84   | 0.03%             | 2028-07-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC5380 FN 04/46 FIXED 4                           | CUSIP: 3140F06S8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      342538 | PA      | $329512.23     | 0.00%             | 2046-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $669469.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY3394 FN 06/53 FIXED 5.5                         | CUSIP: 3140NKXY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1228581 | PA      | $1243348.35    | 0.00%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AE0392 FN 12/39 FIXED VAR                         | CUSIP: 31419ANJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       73254 | PA      | $76053.93      | 0.00%             | 2039-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AJ3179 FN 10/26 FIXED 3.5                         | CUSIP: 3138AUQ91<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        9643 | PA      | $9576.14       | 0.00%             | 2026-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC MTG 2142                                                             | FREDDIE MAC FHR 2142 Z                                      | CUSIP: 3133TKDP2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      156275 | PA      | $157622.80     | 0.00%             | 2029-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CSMC TRUST 2018-RPL1                                                             | CREDIT SUISSE MORTGAGE TRUST CSMC 2018 RPL1 B2 144A         | CUSIP: 12653HAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    56803817 | PA      | $38772126.94   | 0.09%             | 2057-07-25      | Variable      | 3.15%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 922277 FN 12/36 FIXED 6                           | CUSIP: 31412DUA4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        6826 | PA      | $7174.98       | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD MXN BOUGHT USD 20251217                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $-23649.77     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G30307 FG 01/27 FIXED 6                   | CUSIP: 3128CUKU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         183 | PA      | $187.46        | 0.00%             | 2027-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SHACKLETON 2014-V-R CLO LTD 2014-5RA                                             | SHACKLETON CLO LTD SHACK 2014 5RA A 144A                    | CUSIP: 81881JAC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      140614 | PA      | $140746.79     | 0.00%             | 2031-05-07      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB6728 FN 07/53 FIXED 5                           | CUSIP: 3140QSPN5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    58253736 | PA      | $58285901.69   | 0.13%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| KKR CLO 9 LTD                                                                    | KKR FINANCIAL CLO LTD KKR 9 AR2 144A                        | CUSIP: 48250LAW9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     3205407 | PA      | $3207070.89    | 0.01%             | 2030-07-15      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                      | BANK OF AMERICA CORP SR UNSECURED 12/28 VAR                 | CUSIP: 06051GHD4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    32648000 | PA      | $32155499.37   | 0.07%             | 2028-12-20      | Floating      | 3.42%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20251020                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $774273.60     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AH0981 FN 12/25 FIXED 3.5                         | CUSIP: 3138A2CT4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          48 | PA      | $47.53         | 0.00%             | 2025-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 888276 FN 11/36 FIXED VAR                         | CUSIP: 31410F2H7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         418 | PA      | $434.65        | 0.00%             | 2036-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 820348 FN 09/35 FIXED 5                           | CUSIP: 31406UL55<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4193 | PA      | $4297.52       | 0.00%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080085 G2 06/27 FLOATING VAR                   | CUSIP: 36225CCX2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        9343 | PA      | $9377.47       | 0.00%             | 2027-06-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2025-C                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2025 C A1B 144A          | CUSIP: 83208DAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    19713468 | PA      | $19750287.25   | 0.04%             | 2055-03-15      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 002755 G2 05/29 FIXED 7                        | CUSIP: 36202DBY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2564 | PA      | $2629.96       | 0.00%             | 2029-05-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QH2235 FR 09/53 FIXED 5.5                 | CUSIP: 3133CEPU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      813951 | PA      | $827381.92     | 0.00%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AK0798 FN 01/27 FIXED 3.5                         | CUSIP: 3138E43G4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       30288 | PA      | $30081.41      | 0.00%             | 2027-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 942786 FN 08/37 FIXED 6                           | CUSIP: 31413D2T3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       29036 | PA      | $30614.97      | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2006-32                                                        | FANNIE MAE FNR 2006 32 FP                                   | CUSIP: 31395B5U3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       22771 | PA      | $22749.39      | 0.00%             | 2036-03-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| OBX 2024-HYB2 TRUST                                                              | ONSLOW BAY FINANCIAL LLC OBX 2024 HYB2 A1 144A              | CUSIP: 67118RAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5547736 | PA      | $5466853.68    | 0.01%             | 2053-04-25      | Variable      | 3.69%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX8767 FN 03/53 FIXED 5.5                         | CUSIP: 3140NDW52<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5656419 | PA      | $5730954.31    | 0.01%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC8948 FN 06/46 FIXED 4                           | CUSIP: 3140F45J1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      948873 | PA      | $912790.31     | 0.00%             | 2046-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ARM LOAN TRUST 2004-12                                                | STRUCTURED ADJUSTABLE RATE MOR SARM 2004 12 3A2             | CUSIP: 863579AQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        1180 | PA      | $1157.35       | 0.00%             | 2034-09-25      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ3524 FN 11/47 FIXED 4                           | CUSIP: 3140H44J0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      490270 | PA      | $471470.56     | 0.00%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2903 FN 02/32 FIXED 3                           | CUSIP: 31418CGM0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       79323 | PA      | $77407.11      | 0.00%             | 2032-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 928482 FN 07/37 FIXED 6                           | CUSIP: 31412LRB8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       99906 | PA      | $105336.70     | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8372 FR 11/53 FIXED 5.5                 | CUSIP: 3132DWJR5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   195491917 | PA      | $197841627.94  | 0.44%             | 2053-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2003-5                                                  | BEAR STEARNS ALT A TRUST BALTA 2003 5 2A1                   | CUSIP: 07386HDL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      198512 | PA      | $193417.95     | 0.00%             | 2033-12-25      | Floating      | 6.14%                 | No            |                  2 | On Loan: No      |
| GREENPOINT MTGE FUNDING TRUST 2006-AR5                                           | GREENPOINT MORTGAGE FUNDING TR GPMF 2006 AR5 A3A2           | CUSIP: 39538AAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      243101 | PA      | $224801.30     | 0.00%             | 2046-10-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QC5962 FR 08/51 FIXED 3                   | CUSIP: 3133AQTT4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       95931 | PA      | $84788.80      | 0.00%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| OWNIT MORTGAGE LN ASSET-BCK CERT 2005-5                                          | OWNIT MORTGAGE LOAN ASSET BACK OWNIT 2005 5 M1              | CUSIP: 69121PBU6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1584122 | PA      | $1568667.93    | 0.00%             | 2036-10-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| MATHER FOUNDATION                                                                | MATHER FOUNDATION UNSECURED 10/31 2.675                     | CUSIP: 576722AA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1050000 | PA      | $939981.07     | 0.00%             | 2031-10-01      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD SEK BOUGHT USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |           1 | NC      | $103.92        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | REVERSE REPO ROYAL BANK OF CAN                              | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | N/A       |    -3339072 | PA      | $-3927927.20   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RA7724 FR 04/52 FIXED 3                   | CUSIP: 3133KPSM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      802447 | PA      | $706929.52     | 0.00%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD JPY BOUGHT USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $1792670.95    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AV1823 FN 12/28 FIXED 3.5                         | CUSIP: 3138XDAZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1731 | PA      | $1714.60       | 0.00%             | 2028-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2024-38                                                        | FANNIE MAE FNR 2024 38 FA                                   | CUSIP: 3136BR4S3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    20045311 | PA      | $20091118.75   | 0.04%             | 2051-01-25      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FS0957 FN 03/52 FIXED VAR                         | CUSIP: 3140XGB32<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      902548 | PA      | $794537.62     | 0.00%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 622633 FN 06/31 FIXED 6                           | CUSIP: 31389DV20<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        8510 | PA      | $8692.97       | 0.00%             | 2031-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                                 | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 03/32 4.4               | CUSIP: 694308KC0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    26200000 | PA      | $25571346.72   | 0.06%             | 2032-03-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| KILROY REALTY LP                                                                 | KILROY REALTY LP COMPANY GUAR 11/33 2.65                    | CUSIP: 49427RAR3<br>LEI: 5493008CT3N3JR7P1552 | Long             | DBT              | CORP              | US        |     4800000 | PA      | $3931490.64    | 0.01%             | 2033-11-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 781205 GN 07/30 FIXED 8.5                         | CUSIP: 36225BKS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         533 | PA      | $555.43        | 0.00%             | 2030-07-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| SMALL BUSINESS ADMIN PART CERTS 2007-20G                                         | SMALL BUSINESS ADMINISTRATION SBAP 2007 20G 1               | CUSIP: 83162CRD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       44759 | PA      | $45315.41      | 0.00%             | 2027-07-01      | Fixed         | 5.82%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL D97898 FG 11/27 FIXED 6                   | CUSIP: 3128E4X31<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         624 | PA      | $638.41        | 0.00%             | 2027-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MEXICO GOVT                                                                      | UNITED MEXICAN STATES SR UNSECURED 03/34 4.5                | CUSIP: ACI30CSR3<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     5500000 | PA      | $6562144.85    | 0.01%             | 2034-03-19      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CAD SOLD USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |           1 | NC      | $-69259.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2662                                                                 | FREDDIE MAC FHR 2662 MT                                     | CUSIP: 31394H4A6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       44419 | PA      | $44502.29      | 0.00%             | 2033-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS6111 FN 11/45 FIXED 4                           | CUSIP: 3138WFYH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2104882 | PA      | $2025280.66    | 0.00%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| YELLOW TULIP BIDCO BV                                                            | YELLOW TULIP BIDCO B.V. GALIBIER BIDCO PPN                  | CUSIP: ACI2QBLH8<br>LEI: 7245007F7OM6G569EP33 | Long             | DBT              | CORP              | NL        |     4377000 | PA      | $2993854.19    | 0.01%             | 2036-07-30      | Variable      | 0.00%                 | No            |                  3 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2024-B                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2024 B R 144A            | CUSIP: 78450CAF1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1595353 | PA      | $2116751.88    | 0.00%             | 2052-03-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AC0769 FN 09/39 FIXED 5                           | CUSIP: 31417J2B5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3395 | PA      | $3480.02       | 0.00%             | 2039-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TREASURY BILL 11/25 0.00000                                 | CUSIP: 912797QP5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1200000 | PA      | $1195179.00    | 0.00%             | 2025-11-06      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2005-6                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2005 6 1A7              | CUSIP: 05946XM75<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      686326 | PA      | $575246.70     | 0.00%             | 2035-10-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD SGD BOUGHT USD 20251104                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $-200979.18    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                                | REPUBLIC OF SOUTH AFRICA SR UNSECURED 01/44 8.75            | CUSIP: BPXR8CII6<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    57990000 | PA      | $2923139.24    | 0.01%             | 2044-01-31      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AR4350 FN 07/43 FIXED 3                           | CUSIP: 3138W1ZQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      259154 | PA      | $238356.32     | 0.00%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BA6899 FN 12/45 FIXED 4                           | CUSIP: 3140EBUZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      240925 | PA      | $231763.59     | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS0317 FN 08/43 FIXED 4                           | CUSIP: 3138W9K74<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3319 | PA      | $3222.03       | 0.00%             | 2043-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                                                        | ONEOK INC COMPANY GUAR 09/33 6.05                           | CUSIP: 682680BL6<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    36100000 | PA      | $38293421.92   | 0.08%             | 2033-09-01      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY1                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY1 3A1            | CUSIP: 92925VAH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      214090 | PA      | $184241.92     | 0.00%             | 2037-02-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2024-RPL6                                    | GS MORTGAGE BACKED SECURITIES GSMBS 2024 RPL6 SA 144A       | CUSIP: 36272QAH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       15067 | PA      | $14785.80      | 0.00%             | 2064-01-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 962062 FN 03/38 FIXED 5                           | CUSIP: 31414CJF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         662 | PA      | $678.86        | 0.00%             | 2038-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORPORATION                                                | CAPITAL ONE FINANCIAL CO SR UNSECURED 05/28 VAR             | CUSIP: 14040HCS2<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    18700000 | PA      | $18895157.88   | 0.04%             | 2028-05-10      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 647903 FN 04/27 FLOATING VAR                      | CUSIP: 31390JX89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         132 | PA      | $132.74        | 0.00%             | 2027-04-01      | Floating      | 6.14%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2003-5                                             | BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 5 1A2             | CUSIP: 07384MWG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        2836 | PA      | $2764.75       | 0.00%             | 2033-08-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS8705 FR 07/33 FIXED 3.5                 | CUSIP: 3132A9U62<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      447606 | PA      | $441776.16     | 0.00%             | 2033-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOLDEN STATE TOBACCO SECURITIZATION                                              | GOLDEN ST TOBACCO SECURITIZATI GLDGEN 06/50 FIXED 4.214     | CUSIP: 38122ND66<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     3900000 | PA      | $2894464.95    | 0.01%             | 2050-06-01      | Fixed         | 4.21%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | COLOMBIA LA SP BRC                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $133508.52     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 960223 FN 11/37 FIXED 6                           | CUSIP: 31414AG89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3237 | PA      | $3412.85       | 0.00%             | 2037-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 922830 FN 12/36 FIXED 6                           | CUSIP: 31412EHF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       84884 | PA      | $87823.85      | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                                               | VICI PROPERTIES LP SR UNSECURED 04/28 4.75                  | CUSIP: 925650AJ2<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |     8500000 | PA      | $8593221.63    | 0.02%             | 2028-04-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD4674 FR 11/53 FIXED 5.5                 | CUSIP: 3132DSFP2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    31458155 | PA      | $31804675.61   | 0.07%             | 2053-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | COLOMBIA LA SP CBK                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $12914.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FIRSTENERGY CORP                                                                 | FIRSTENERGY CORP SR UNSECURED 09/30 2.25                    | CUSIP: 337932AP2<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |     7000000 | PA      | $6293905.45    | 0.01%             | 2030-09-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AZ5678 FN 08/45 FIXED 4                           | CUSIP: 3138YXJY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       40234 | PA      | $38658.94      | 0.00%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL6715 FN 02/45 FIXED VAR                         | CUSIP: 3138EPN91<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3198040 | PA      | $3084064.13    | 0.01%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2104                                                                 | FREDDIE MAC FHR 2104 ZM                                     | CUSIP: 3133THB89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       52466 | PA      | $53556.72      | 0.00%             | 2028-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2025-C                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2025 C D 144A            | CUSIP: 83208DAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    16900000 | PA      | $16336442.46   | 0.04%             | 2055-03-15      | Fixed         | 5.26%                 | No            |                  2 | On Loan: No      |
| BRAZIL GOVT                                                                      | FED REPUBLIC OF BRAZIL SR UNSECURED 05/54 7.125             | CUSIP: 105756CJ7<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |     2450000 | PA      | $2491037.50    | 0.01%             | 2054-05-13      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AU6528 FN 11/43 FIXED 4                           | CUSIP: 3138X6HE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       14351 | PA      | $13953.65      | 0.00%             | 2043-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL C61507 FG 12/31 FIXED 7                   | CUSIP: 31287LU83<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5798 | PA      | $6062.19       | 0.00%             | 2031-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AT5180 FN 05/43 FIXED 3                           | CUSIP: 3138WSXJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      297248 | PA      | $273455.10     | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 735313 FN 02/35 FLOATING VAR                      | CUSIP: 31402Q3W9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      250925 | PA      | $254034.48     | 0.00%             | 2035-02-01      | Floating      | 6.03%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-3                                                    | COUNTRYWIDE HOME LOANS CWHL 2006 3 2A2                      | CUSIP: 126694YN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        5997 | PA      | $862.21        | 0.00%             | 2036-03-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB1146 FN 06/40 FIXED 5                           | CUSIP: 31416WHY1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       21179 | PA      | $21701.01      | 0.00%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FORESEA HOLDING SA                                                               | FORESEA HLDG S A COMMON STOCK                               | CUSIP: 000000000<br>LEI: 254900BAD50AKYGIMV79 | Long             | EC               | CORP              | LU        |      116110 | NS      | $2515716.71    | 0.01%             |  |  |  | No            |                  3 | On Loan: No      |
| SCALELOGIX ABS US ISSUER 25-1A LLC                                               | SCALELOGIX ABS US ISSUER, LLC SCLGX 2025 1A A2 144A         | CUSIP: 80587FAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    19400000 | PA      | $19444317.36   | 0.04%             | 2055-07-25      | Fixed         | 5.67%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 05/45 3                                     | CUSIP: 912810RM2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   477650000 | PA      | $371857985.89  | 0.82%             | 2045-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS8823 FN 02/47 FIXED 4                           | CUSIP: 3138WJYV4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       81507 | PA      | $78406.99      | 0.00%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL AL5331 GN 02/45 FIXED 3.5                         | CUSIP: 36184B4Q7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      163373 | PA      | $152808.89     | 0.00%             | 2045-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD5352 FR 07/50 FIXED 4                   | CUSIP: 3132DS5M0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4654824 | PA      | $4486914.23    | 0.01%             | 2050-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-HYB9                                                 | COUNTRYWIDE HOME LOANS CWHL 2005 HYB9 2A1                   | CUSIP: 126670JV1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       28744 | PA      | $26777.55      | 0.00%             | 2036-02-20      | Floating      | 6.45%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL C90994 FG 10/26 FIXED 6                   | CUSIP: 3128P7C76<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5985 | PA      | $6118.47       | 0.00%             | 2026-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ABN AMRO BANK NV                                                                 | ABN AMRO BANK NV 144A 09/27 VAR                             | CUSIP: 00084DBA7<br>LEI: BFXS5XCH7N0Y05NIXW11 | Long             | DBT              | CORP              | NL        |     1300000 | PA      | $1325443.64    | 0.00%             | 2027-09-18      | Floating      | 6.34%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOMES 4 RENT LP                                                         | AMERICAN HOMES 4 RENT SR UNSECURED 07/31 2.375              | CUSIP: 02666TAC1<br>LEI: 549300N4PXZ37U8QKI55 | Long             | DBT              | CORP              | US        |     2600000 | PA      | $2304631.21    | 0.01%             | 2031-07-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2022-INV1                                    | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2022 INV1 A2 144A        | CUSIP: 64831DAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    34241251 | PA      | $29598010.62   | 0.07%             | 2052-03-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2024-BA                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2024 BA A1 144A         | CUSIP: 21050UAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     4366563 | PA      | $4376192.52    | 0.01%             | 2054-11-25      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES 2016-1 CLASS AA PASS THROUGH TRUST                             | AMER AIRLINE 16 1 AA PTT PASS THRU CE 07/29 3.575           | CUSIP: 02376UAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     5261801 | PA      | $5161667.89    | 0.01%             | 2029-07-15      | Fixed         | 3.58%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 702901 FN 05/33 FIXED 6                           | CUSIP: 31401A3J4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        7324 | PA      | $7534.28       | 0.00%             | 2033-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/2.61740 09/30/22-25Y* LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $22547150.09   | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 622638 FN 03/31 FIXED 5                           | CUSIP: 31389DV79<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       16998 | PA      | $17241.06      | 0.00%             | 2031-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                                                            | ATHENE GLOBAL FUNDING SECURED 144A 03/27 VAR                | CUSIP: 04685A3U3<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |    25000000 | PA      | $25206774.75   | 0.06%             | 2027-03-25      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECUR TR 2007-A5                                               | RESIDENTIAL ASSET SECURITIZATI RAST 2007 A5 2A3             | CUSIP: 76114HAK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      111043 | PA      | $55566.45      | 0.00%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SECURITIES 2005-A                                           | BANC OF AMERICA MORTGAGE SECUR BOAMS 2005 A 2A2             | CUSIP: 05949AH94<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      132893 | PA      | $129847.37     | 0.00%             | 2035-02-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DA4230 FN 12/53 FIXED 5.5                         | CUSIP: 3140A4VY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      294082 | PA      | $297049.02     | 0.00%             | 2053-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MARRIOTT INTERNATIONAL INC                                                       | MARRIOTT INTERNATIONAL SR UNSECURED 10/35 5.25              | CUSIP: 571903BX0<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |    10000000 | PA      | $10093812.60   | 0.02%             | 2035-10-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2007-FM1                                                             | GSAMP TRUST GSAMP 2007 FM1 A2B                              | CUSIP: 3622MAAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4966733 | PA      | $2458936.80    | 0.01%             | 2036-12-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-8128022.64   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 326                                                           | FREDDIEMAC STRIP FHS 326 F2                                 | CUSIP: 3132HT3R5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1283001 | PA      | $1279804.19    | 0.00%             | 2044-03-15      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2001-63                                                               | FANNIE MAE FNR 2001 63 FA                                   | CUSIP: 31392AVF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        8919 | PA      | $8920.27       | 0.00%             | 2031-12-18      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8385 FR 12/53 FIXED 6.5                 | CUSIP: 3132DWJ61<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      448994 | PA      | $465104.83     | 0.00%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| KOREA NATIONAL OIL CORP (KNOC)                                                   | KOREA NATIONAL OIL CORP SR UNSECURED 144A 04/29 4.875       | CUSIP: 50065LAH3<br>LEI: 988400ZTQ08W926ONT36 | Long             | DBT              | CORP              | KR        |     1700000 | PA      | $1740176.83    | 0.00%             | 2029-04-03      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2005-6A                                            | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2005 6A 1A1             | CUSIP: 007036PA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        7055 | PA      | $6080.07       | 0.00%             | 2035-11-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.62330 03/01/24-7Y* LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-176081.03    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOFI ALTERNATIVE TRUST 2018-A                                                    | SOFI ALTERNATIVE TRUST SAT 2018 A P1 144A                   | CUSIP: 834012AA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    42374907 | PA      | $40672880.51   | 0.09%             | 2050-05-16      | Variable      | 4.64%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2006-AR14                                           | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR14 1A3A          | CUSIP: 45668GAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      243189 | PA      | $232389.75     | 0.00%             | 2046-11-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3312 FN 03/33 FIXED 3                           | CUSIP: 31418CVE1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      130614 | PA      | $127326.23     | 0.00%             | 2033-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2001-HYB1                                                 | COUNTRYWIDE HOME LOANS CWHL 2001 HYB1 2A1                   | CUSIP: 12669B2X9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       14369 | PA      | $14252.84      | 0.00%             | 2031-06-19      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB2893 FN 02/52 FIXED 3                           | CUSIP: 3140QNGB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   163023993 | PA      | $143641041.96  | 0.32%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AJ5222 FN 11/26 FIXED 3.5                         | CUSIP: 3138AWYU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1109 | PA      | $1100.57       | 0.00%             | 2026-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED P/T SECURITIES E3                                               | FHLMC STRUCTURED PASS THROUGH FSPC E3 A                     | CUSIP: 3133TCE95<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       27739 | PA      | $27238.59      | 0.00%             | 2032-08-15      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2023-D                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2023 D R 144A            | CUSIP: 78450PAF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |         852 | PA      | $277176.54     | 0.00%             | 2053-09-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 942040 FN 07/37 FIXED 6                           | CUSIP: 31413DBH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       11452 | PA      | $12074.73      | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-3                                             | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 3 M2                | CUSIP: 126670WD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2035628 | PA      | $2019426.51    | 0.00%             | 2036-06-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| LOGICOR FINANCING SARL                                                           | LOGICOR FINANCING SARL COMPANY GUAR REGS 11/28 3.25         | CUSIP: ACI167F39<br>LEI: 254900IS16Q1A2TQFN22 | Long             | DBT              | CORP              | LU        |    10900000 | PA      | $12867179.78   | 0.03%             | 2028-11-13      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QG5482 FR 06/53 FIXED 6                   | CUSIP: 3133C6CT4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5245501 | PA      | $5378249.78    | 0.01%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AE0710 FN 12/25 FIXED VAR                         | CUSIP: 31419AYG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2063 | PA      | $2056.07       | 0.00%             | 2025-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                     | UBS GROUP AG SR UNSECURED REGS 03/29 VAR                    | CUSIP: ACI2B33K5<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     2600000 | PA      | $3404946.57    | 0.01%             | 2029-03-01      | Floating      | 7.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 900130 FN 09/36 FIXED 6                           | CUSIP: 31410XA71<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       45075 | PA      | $47312.29      | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CSMC TRUST 2018-RPL4                                                             | CREDIT SUISSE MORTGAGE TRUST CSMC 2018 RPL4 SA 144A         | CUSIP: 12653MAL0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |        7194 | PA      | $6898.31       | 0.00%             | 2058-04-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| GE CAPITAL FUNDING LLC                                                           | GE CAPITAL FUNDING LLC COMPANY GUAR 05/32 4.55              | CUSIP: 36166NAK9<br>LEI: 549300XAGH9TOLX5XM67 | Long             | DBT              | CORP              | US        |     8000000 | PA      | $8093441.20    | 0.02%             | 2032-05-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | VERIZON COMMUNICATIONS INC SNR S* ICE                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $82462.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2005-W5                                                    | ARGENT SECURITIES INC. ARSI 2005 W5 A2D                     | CUSIP: 040104QP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7433919 | PA      | $6929832.38    | 0.02%             | 2036-01-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2006-NC2                                               | MASTR ASSET BACKED SECURITIES MABS 2006 NC2 A4              | CUSIP: 55275BAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3868558 | PA      | $1368180.12    | 0.00%             | 2036-08-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | TRS SOFRINDX/IBXXLLTR 12/22/25 MYC                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $-2603.57      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EQUINIX INC                                                                      | EQUINIX INC SR UNSECURED 03/28 1.55                         | CUSIP: 29444UBL9<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              | CORP              | US        |    38144000 | PA      | $35870341.06   | 0.08%             | 2028-03-15      | Fixed         | 1.55%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BM4703 FN 02/48 FIXED VAR                         | CUSIP: 3140J9GM7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      130008 | PA      | $120876.13     | 0.00%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G30304 FG 02/26 FIXED 4.5                 | CUSIP: 3128CUKR6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          37 | PA      | $36.96         | 0.00%             | 2026-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CPPIB CAPITAL INC                                                                | CPPIB CAPITAL INC COMPANY GUAR REGS 06/34 4.3               | CUSIP: 12593CAY7<br>LEI: 549300KW9NB55HTDK075 | Long             | DBT              | CORP              | CA        |    67100000 | PA      | $50899557.19   | 0.11%             | 2034-06-02      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT ILS SOLD USD 20251113                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $11564.17      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GMAC MORTGAGE CORP LOAN TRUST 2006-AR1                                           | GMAC MORTGAGE CORPORATION LOAN GMACM 2006 AR1 2A1           | CUSIP: 36185MDQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1003743 | PA      | $970084.71     | 0.00%             | 2036-04-19      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZA2653 FR 08/26 FIXED 3.5                 | CUSIP: 31329K5N0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         276 | PA      | $274.82        | 0.00%             | 2026-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS8518 FR 02/29 FIXED 3.5                 | CUSIP: 3132A9PB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       30940 | PA      | $30666.51      | 0.00%             | 2029-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD0883 FR 02/52 FIXED 3                   | CUSIP: 3132DM6U4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3303940 | PA      | $2912481.42    | 0.01%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-103                                                       | FANNIE MAE FNR 2012 103 LF                                  | CUSIP: 3136A8YX2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2547098 | PA      | $2515318.69    | 0.01%             | 2042-09-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| INDYMAC ARM TRUST 2001-H2                                                        | INDYMAC ARM TRUST INARM 2001 H2 A2                          | CUSIP: 45660UAT6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       55743 | PA      | $54008.58      | 0.00%             | 2032-01-25      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 852652 FN 03/36 FIXED 6                           | CUSIP: 31408JH53<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5900 | PA      | $6201.65       | 0.00%             | 2036-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20251003                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $1328497.30    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080578 G2 02/32 FLOATING VAR                   | CUSIP: 36225CUC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       69394 | PA      | $70436.03      | 0.00%             | 2032-02-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                                                        | ONEOK INC ONEOK INC                                         | CUSIP: 682680CB7<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    45425000 | PA      | $45493871.57   | 0.10%             | 2027-09-24      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 796269 GN 07/42 FIXED 3.5                         | CUSIP: 36177Q6F5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       69807 | PA      | $65534.91      | 0.00%             | 2042-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | OIS CAD CAONREPO/3.0000 01/13/25-8Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |           1 | NC      | $-706794.18    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG / STAMFORD BRANCH                                                         | UBS AG STAMFORD CT SR UNSECURED 02/28 7.5                   | CUSIP: 22550L2M2<br>LEI: BFM8T61CT2L1QCEMIK50 | Long             | DBT              | CORP              | CH        |    22400000 | PA      | $24121505.18   | 0.05%             | 2028-02-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| HSI ASSET SECURI CORP TRUS 2005-I1                                               | HSI ASSET SECURITIZATION CORPO HASC 2005 I1 2A4             | CUSIP: 40430HCN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1721472 | PA      | $1611989.04    | 0.00%             | 2035-11-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 754031 FN 12/33 FLOATING VAR                      | CUSIP: 31403NVY0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      105061 | PA      | $107394.24     | 0.00%             | 2033-12-01      | Floating      | 6.43%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 995903 FN 03/39 FIXED VAR                         | CUSIP: 31416CKQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1840 | PA      | $1912.10       | 0.00%             | 2039-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB5583 FN 11/52 FIXED 5.5                         | CUSIP: 3140QRFZ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    12514241 | PA      | $12677851.06   | 0.03%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL FUNDING MTGE SEC 2007-SA3                                            | RESIDENTIAL FUNDING MTG SEC I RFMSI 2007 SA3 2A1            | CUSIP: 74958TAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3083096 | PA      | $2243913.39    | 0.00%             | 2037-07-27      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| KILROY REALTY LP                                                                 | KILROY REALTY LP COMPANY GUAR 11/32 2.5                     | CUSIP: 49427RAQ5<br>LEI: 5493008CT3N3JR7P1552 | Long             | DBT              | CORP              | US        |    10600000 | PA      | $8818105.87    | 0.02%             | 2032-11-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC8105 FN 07/46 FIXED 4                           | CUSIP: 3140F4AF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       88716 | PA      | $85342.28      | 0.00%             | 2046-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC0992 FN 12/45 FIXED 4                           | CUSIP: 3140EVC62<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       30209 | PA      | $29032.35      | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080141 G2 12/27 FLOATING VAR                   | CUSIP: 36225CEP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1300 | PA      | $1314.72       | 0.00%             | 2027-12-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES 2017-2 CLASS AA PASS THROUGH TRUST                             | AMER AIRLINE 17 2 AA PTT PASS THRU CE 04/31 3.35            | CUSIP: 02376AAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     9723393 | PA      | $9390821.77    | 0.02%             | 2031-04-15      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3247 FN 01/33 FIXED 3                           | CUSIP: 31418CTD6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      268777 | PA      | $260316.27     | 0.00%             | 2033-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| DOMINION ENERGY INC                                                              | DOMINION RESOURCES                                          | CUSIP: 2574P0X33<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |     2900000 | PA      | $2898983.26    | 0.01%             | 2025-10-03      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2017-RPL2                                            | LEGACY MORTGAGE ASSET TRUST LMAT 2017 RPL2 A1 144A          | CUSIP: 52473LAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   150615091 | PA      | $143937089.38  | 0.32%             | 2056-12-25      | Variable      | 3.05%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2080                                                                 | FREDDIE MAC FHR 2080 C                                      | CUSIP: 3133TG2F5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       35324 | PA      | $35865.86      | 0.00%             | 2028-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20251208                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $17803.34      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CENTERPOINT ENERGY HOUSTON ELECTRIC LLC                                          | CENTERPOINT ENER HOUSTON GENL REF MOR 10/28 5.2             | CUSIP: 15189XBD9<br>LEI: 549300S8SEQBOJLKHW63 | Long             | DBT              | CORP              | US        |     6600000 | PA      | $6812967.88    | 0.02%             | 2028-10-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 826128 FN 07/35 FLOATING VAR                      | CUSIP: 31407BYZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       28729 | PA      | $29346.51      | 0.00%             | 2035-07-01      | Floating      | 6.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CHILEAN GOVT LA SP BRC                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $776739.95     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A3                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2006 A3 3A4                  | CUSIP: 46628KAK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      917066 | PA      | $747947.53     | 0.00%             | 2036-05-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AZ3297 FN 11/45 FIXED 4                           | CUSIP: 3138YUUX7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       80137 | PA      | $76359.42      | 0.00%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-8F                                                  | GSR MORTGAGE LOAN TRUST GSR 2005 8F 3A4                     | CUSIP: 362341WA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7506690 | PA      | $2559145.49    | 0.01%             | 2035-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-7                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 7 2A5A             | CUSIP: 17307GC22<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5143202 | PA      | $4567717.91    | 0.01%             | 2035-09-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS6957 FR 10/28 FIXED 3.5                 | CUSIP: 3132A7WS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       39447 | PA      | $39143.68      | 0.00%             | 2028-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BDS 2021-FL10 LTD                                                                | BDS LTD BDS 2021 FL10 A 144A                                | CUSIP: 07335YAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     8025417 | PA      | $8036159.38    | 0.02%             | 2036-12-16      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL LNG INC                                                           | VENTURE GLOBAL LNG INC SR SECURED 144A 02/32 9.875          | CUSIP: 92332YAD3<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |     1400000 | PA      | $1525087.48    | 0.00%             | 2032-02-01      | Fixed         | 9.88%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 942320 FN 08/37 FIXED 6                           | CUSIP: 31413DK97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       60482 | PA      | $63577.80      | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QD8832 FR 03/52 FIXED 3                   | CUSIP: 3133B6Y53<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4988704 | PA      | $4392714.44    | 0.01%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LOAN TRUST 2008-R3                                         | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2008 R3 3A1 144A       | CUSIP: 466308AE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    11511847 | PA      | $9090796.30    | 0.02%             | 2037-05-26      | Variable      | 5.84%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2023-D                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2023 D C 144A            | CUSIP: 78450PAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2644000 | PA      | $2806517.69    | 0.01%             | 2053-09-15      | Fixed         | 7.54%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2018-RP2                                           | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2018 RP2 M1 144A        | CUSIP: 17326UAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1730000 | PA      | $1680238.80    | 0.00%             | 2058-02-25      | Variable      | 3.08%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 2733                                                          | FREDDIE MAC FHR 2733 FB                                     | CUSIP: 31394NT81<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       73088 | PA      | $73251.67      | 0.00%             | 2033-10-15      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL1006 FN 09/26 FIXED VAR                         | CUSIP: 3138EHDL3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       32667 | PA      | $32494.36      | 0.00%             | 2026-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| TOBACCO SETTLEMENT FINANCE AUTHORITY                                             | TOBACCO SETTLEMENT FIN AUTH WV TOBGEN 06/35 FIXED 3.501     | CUSIP: 88880LAS2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     9935000 | PA      | $8498321.51    | 0.02%             | 2035-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AV1739 FN 11/43 FIXED 4                           | CUSIP: 3138XC4Z2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      227596 | PA      | $220338.29     | 0.00%             | 2043-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL C91112 FG 10/27 FIXED 6                   | CUSIP: 3128P7GV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2159 | PA      | $2207.11       | 0.00%             | 2027-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MORTGAGE INV 2005-AR4                                           | STRUCTURED ASSET MORTGAGE INVE SAMI 2005 AR4 A3             | CUSIP: 86359LMB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      767677 | PA      | $651866.09     | 0.00%             | 2035-12-25      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QG8243 FR 08/53 FIXED 5.5                 | CUSIP: 3133C9EQ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4200804 | PA      | $4244647.42    | 0.01%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL C91211 FG 08/28 FIXED 6                   | CUSIP: 3128P7KY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        6254 | PA      | $6395.22       | 0.00%             | 2028-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FIRST AMERICAN FINANCIAL CORPORATION                                             | FIRST AMERICAN FINANCIAL SR UNSECURED 05/30 4               | CUSIP: 31847RAG7<br>LEI: 549300B6VEZK3N0A1P55 | Long             | DBT              | CORP              | US        |     8290000 | PA      | $8019538.00    | 0.02%             | 2030-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AJ1500 FN 10/26 FIXED 4                           | CUSIP: 3138ASU26<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2455 | PA      | $2447.64       | 0.00%             | 2026-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AW7396 FN 01/27 FIXED 3.5                         | CUSIP: 3138XXGE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      122254 | PA      | $121550.89     | 0.00%             | 2027-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.84200 03/04/25-5Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-1015608.14   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-24                                                   | COUNTRYWIDE HOME LOANS CWHL 2005 24 A1                      | CUSIP: 126694JR0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      252202 | PA      | $128436.31     | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THRU SEC T-32                                              | FHLMC STRUCTURED PASS THROUGH FSPC T 32 A1                  | CUSIP: 3133TSQG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       43321 | PA      | $42990.82      | 0.00%             | 2031-08-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 893143 FN 08/36 FIXED 6                           | CUSIP: 31410PHU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         599 | PA      | $624.72        | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG/NEW YORK BRANCH                                                 | DEUTSCHE BANK NY 11/26 VAR                                  | CUSIP: 251526CE7<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    22800000 | PA      | $22717527.61   | 0.05%             | 2026-11-24      | Floating      | 2.13%                 | Yes           |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G30315 FG 01/27 FIXED 6                   | CUSIP: 3128CUK47<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         354 | PA      | $362.39        | 0.00%             | 2027-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CITICORP MORTGAGE SECURITIES 2007-3                                              | CITICORP MORTGAGE SECURITIES, CMSI 2007 3 1A4               | CUSIP: 17312FAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3131100 | PA      | $3008684.22    | 0.01%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| THAMES WATER SUPER SENIOR ISSUER PLC                                             | THAMES WATER SUPER SEN SR SECURED 144A 10/27 9.75           | CUSIP: ACI2ZHVB7<br>LEI: 635400LBEYCV7F4FC741 | Long             | DBT              | CORP              | GB        |     1469592 | PA      | $2213286.99    | 0.00%             | 2027-10-10      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB4108 FN 07/52 FIXED 3                           | CUSIP: 3140QPR66<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2782519 | PA      | $2449826.83    | 0.01%             | 2052-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 256675 FN 04/27 FIXED 5                           | CUSIP: 31371NCL7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       12028 | PA      | $12039.59      | 0.00%             | 2027-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR4                                                 | GSR MORTGAGE LOAN TRUST GSR 2005 AR4 6A1                    | CUSIP: 362341FR5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        3307 | PA      | $3156.26       | 0.00%             | 2035-07-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| WEC ENERGY GROUP INC                                                             | WEC ENERGY GROUP INC SR UNSECURED 10/30 1.8                 | CUSIP: 92939UAE6<br>LEI: 549300IGLYTZUK3PVP70 | Long             | DBT              | CORP              | US        |     5538000 | PA      | $4905900.99    | 0.01%             | 2030-10-15      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                             | JPMORGAN CHASE + CO SR UNSECURED 10/29 VAR                  | CUSIP: 46647PDX1<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     5000000 | PA      | $5277485.20    | 0.01%             | 2029-10-23      | Floating      | 6.09%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TSY INFL IX N/B 02/50 0.25                                  | CUSIP: 912810SM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   144870991 | PA      | $85799938.59   | 0.19%             | 2050-02-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SB8003 FR 08/34 FIXED 3.5                 | CUSIP: 3132D53L4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       95470 | PA      | $93200.69      | 0.00%             | 2034-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HIGHWOODS REALTY LP                                                              | HIGHWOODS REALTY LP SR UNSECURED 04/29 4.2                  | CUSIP: 431282AR3<br>LEI: JUJNVZX73BIYHLR58F51 | Long             | DBT              | CORP              | US        |     3600000 | PA      | $3530317.21    | 0.01%             | 2029-04-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BM5490 FN 11/31 FIXED VAR                         | CUSIP: 3140JAC48<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1302300 | PA      | $1292465.51    | 0.00%             | 2031-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2022-LTV2                                    | GS MORTGAGE BACKED SECURITIES GSMBS 2022 LTV2 A1 144A       | CUSIP: 36268SAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    97997365 | PA      | $84616843.84   | 0.19%             | 2052-12-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AU1629 FN 07/43 FIXED 3                           | CUSIP: 3138X0Y36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      253233 | PA      | $232911.54     | 0.00%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3530                                                                 | FREDDIE MAC FHR 3530 GZ                                     | CUSIP: 31398CYE2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      101819 | PA      | $99868.64      | 0.00%             | 2039-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 831349 FN 02/36 FIXED 6                           | CUSIP: 31407HTE6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      397492 | PA      | $419071.38     | 0.00%             | 2036-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 500995 GN 03/30 FIXED 8                           | CUSIP: 36210SRQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         190 | PA      | $191.61        | 0.00%             | 2030-03-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AT2725 FN 05/43 FIXED 3                           | CUSIP: 3138WQA36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        8195 | PA      | $7540.19       | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| LUMINENT MORTGAGE TRUST 2006-1                                                   | LUMINENT MORTGAGE TRUST LUM 2006 1 A1                       | CUSIP: 550279AM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4775592 | PA      | $4215881.12    | 0.01%             | 2036-04-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RB5022 FR 11/39 FIXED 3                   | CUSIP: 3133KYSK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    17368335 | PA      | $16271952.26   | 0.04%             | 2039-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL3764 FN 05/28 FIXED VAR                         | CUSIP: 3138ELFE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       62972 | PA      | $62510.29      | 0.00%             | 2028-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 253974 FN 08/31 FIXED 7                           | CUSIP: 31371KCK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1408 | PA      | $1412.38       | 0.00%             | 2031-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL D98131 FG 04/29 FIXED 4.5                 | CUSIP: 3128E5A82<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        6916 | PA      | $6925.38       | 0.00%             | 2029-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II TBA 30 YR 5.5 JUMBOS                                | CUSIP: 21H0526A1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    95100000 | PA      | $95822620.20   | 0.21%             | 2054-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                                 | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 03/26 2.95              | CUSIP: 694308HP5<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     4050000 | PA      | $4022575.26    | 0.01%             | 2026-03-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2005-5                                             | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2005 5 1A1              | CUSIP: 007036LG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      818874 | PA      | $704374.03     | 0.00%             | 2035-09-25      | Floating      | 3.77%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB3586 FN 05/52 FIXED 3                           | CUSIP: 3140QN6Y3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3442731 | PA      | $3034232.63    | 0.01%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080311 G2 08/29 FLOATING VAR                   | CUSIP: 36225CKZ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       61975 | PA      | $62242.44      | 0.00%             | 2029-08-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| BBCMS TRUST 2018-CBM                                                             | BARCLAYS COMMERCIAL MORTGAGE S BBCMS 2018 CBM A 144A        | CUSIP: 05549RAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    10923000 | PA      | $10674653.58   | 0.02%             | 2037-07-15      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AA0893 FN 12/38 FIXED 5                           | CUSIP: 31416H7F6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       37096 | PA      | $37773.05      | 0.00%             | 2038-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | VERIZON COMMUNICATIONS INC SNR S* ICE                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $53748.08      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS NZD 4.25000 12/21/22-5Y LCH                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | NZ        |           1 | NC      | $1701776.01    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AD7047 FN 05/40 FIXED 5                           | CUSIP: 31418UZM9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        7097 | PA      | $7226.21       | 0.00%             | 2040-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD4977 FR 11/53 FIXED 5                   | CUSIP: 3132DSQ62<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    13317004 | PA      | $13265455.66   | 0.03%             | 2053-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 804565 FN 01/35 FLOATING VAR                      | CUSIP: 31406AZ62<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      428481 | PA      | $435203.26     | 0.00%             | 2035-01-01      | Floating      | 6.18%                 | No            |                  2 | On Loan: No      |
| BARCLAYS MORTGAGE LOAN TRUST 2025-NQM6                                           | BARC 2025 NQM6 SA 144A BARC 2025 NQM6 SA 144A               | CUSIP: 990AAWTE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       11000 | PA      | $11012.66      | 0.00%             | 2075-10-01      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BA2981 FN 11/45 FIXED 4                           | CUSIP: 3140E7J35<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2420 | PA      | $2328.15       | 0.00%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS7613 FR 07/30 FIXED 3.5                 | CUSIP: 3132A8N62<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       33936 | PA      | $33620.05      | 0.00%             | 2030-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZK2808 FR 12/25 FIXED 3.5                 | CUSIP: 3131X6DM9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       42062 | PA      | $41913.87      | 0.00%             | 2025-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 831540 FN 06/36 FIXED 6                           | CUSIP: 31407HZD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         394 | PA      | $414.42        | 0.00%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| TBW MTGE BACKED PASS THRU CERT 2006-4                                            | TBW MORTGAGE BACKED PASS THROU TBW 2006 4 A6                | CUSIP: 872224AG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5583478 | PA      | $142822.01     | 0.00%             | 2036-09-25      | Variable      | 6.47%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 831541 FN 06/36 FIXED 6                           | CUSIP: 31407HZE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       19671 | PA      | $20738.52      | 0.00%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AC5504 FN 11/39 FIXED 5                           | CUSIP: 31417SDJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       12588 | PA      | $12867.28      | 0.00%             | 2039-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| EPR PROPERTIES                                                                   | EPR PROPERTIES SR UNSECURED 11/31 3.6                       | CUSIP: 26884UAG4<br>LEI: 549300YSSXFHMPOWZ492 | Long             | DBT              | CORP              | US        |    15100000 | PA      | $13945684.12   | 0.03%             | 2031-11-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-7                                             | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 7 2A3               | CUSIP: 12669VAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      294609 | PA      | $293315.28     | 0.00%             | 2047-10-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AH6297 FN 05/26 FIXED 3.5                         | CUSIP: 3138A77K8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1254 | PA      | $1247.83       | 0.00%             | 2026-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 735883 FN 03/33 FIXED VAR                         | CUSIP: 31402RRC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       35551 | PA      | $36901.74      | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NORVESTOR SPV III SCSP                                                           | PROJECT FENNO EUR DELAYED DRAW TERM LOAN A                  | CUSIP: BA000MLQ8<br>LEI: N/A                  | Long             | LON              | CORP              | LU        |    14950382 | PA      | $17552505.66   | 0.04%             | 2028-07-10      | Floating      | 4.37%                 | Yes           |                  3 | On Loan: No      |
| N/A                                                                              | SOLD CNH BOUGHT USD 20251016                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $442355.17     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LUMINENT MORTGAGE TRUST 2006-2                                                   | LUMINENT MORTGAGE TRUST LUM 2006 2 A1A                      | CUSIP: 550279BA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       35159 | PA      | $25336.24      | 0.00%             | 2046-02-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 516714 GN 09/30 FIXED 9                           | CUSIP: 36211MAP5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2570 | PA      | $2595.86       | 0.00%             | 2030-09-15      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS0416 FN 09/43 FIXED 4                           | CUSIP: 3138W9PA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      243790 | PA      | $236961.00     | 0.00%             | 2043-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MASTER ADJUSTABLE RATE MTGE TR 2003-6                                            | MASTR ADJUSTABLE RATE MORTGAGE MARM 2003 6 2A1              | CUSIP: 576433GC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        4120 | PA      | $3837.39       | 0.00%             | 2033-12-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AZ3054 FN 07/45 FIXED 4                           | CUSIP: 3138YUMC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       24830 | PA      | $23893.52      | 0.00%             | 2045-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H32                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 H32 FA              | CUSIP: 38376RMP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     7595749 | PA      | $7611252.24    | 0.02%             | 2065-12-20      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| ACCREDITED MORTGAGE LN TR 2004-4                                                 | ACCREDITED MORTGAGE LOAN TRUST ACCR 2004 4 M1               | CUSIP: 004375CG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      278460 | PA      | $276993.99     | 0.00%             | 2035-01-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AT9221 FN 07/43 FIXED 3                           | CUSIP: 3138WXG76<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       64075 | PA      | $58799.68      | 0.00%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BGCLO 19A                                                                        | BIRCH GROVE CLO LTD. BGCLO 19A A1RR 144A                    | CUSIP: 09075JAU3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    27450000 | PA      | $27587302.70   | 0.06%             | 2037-07-17      | Floating      | 5.91%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 934577 FN 10/38 FIXED 5.5                         | CUSIP: 31412TXE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2796 | PA      | $2896.71       | 0.00%             | 2038-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 725187 FN 07/33 FLOATING VAR                      | CUSIP: 31402CUL4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         356 | PA      | $360.44        | 0.00%             | 2033-07-01      | Floating      | 6.39%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 555952 FN 11/33 FIXED VAR                         | CUSIP: 31385XTH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3306 | PA      | $3388.52       | 0.00%             | 2033-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THROUGH SECURITIES T-66                                    | FHLMC STRUCTURED PASS THROUGH FSPC T 66 2A1                 | CUSIP: 31396FQ22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1057132 | PA      | $1027305.45    | 0.00%             | 2036-01-25      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                   | MORGAN STANLEY MORGAN STANLEY                               | CUSIP: 61747YFS9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     3100000 | PA      | $3177823.58    | 0.01%             | 2030-07-19      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| FIRST NATIONWIDE TRUST 2001-3                                                    | FIRST NATIONWIDE TRUST FNT 2001 3 1A1                       | CUSIP: 22540A3S5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       35612 | PA      | $35599.35      | 0.00%             | 2031-08-21      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AZ5277 FN 06/45 FIXED 4                           | CUSIP: 3138YW2K2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      385027 | PA      | $372058.62     | 0.00%             | 2045-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE FIRST BOSTON MORTGAGE SECURITIES CORP 2002-P1A                     | CREDIT SUISSE FIRST BOSTON MOR CSFB 2002 P1A A 144A         | CUSIP: 22540VK43<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      110851 | PA      | $107028.33     | 0.00%             | 2032-03-25      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080826 G2 02/34 FLOATING VAR                   | CUSIP: 36225C4L7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        9785 | PA      | $9955.86       | 0.00%             | 2034-02-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL CS8781 G2 09/47 FIXED 3                        | CUSIP: 3618B2XJ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2851302 | PA      | $2537556.36    | 0.01%             | 2047-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BRITISH AIRWAYS 2019-1 CLASS A PASS THROUGH TRUST                                | BRITISH AIR 19 1 A PTT PASS THRU CE 144A 12/30 3.35         | CUSIP: 11043XAB9<br>LEI: 635400GSHSFIWYIDXC76 | Long             | DBT              | CORP              | US        |     3295702 | PA      | $3178778.57    | 0.01%             | 2030-12-15      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL BP2004 GN 09/49 FIXED 4                           | CUSIP: 3617L8GM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1760755 | PA      | $1669239.47    | 0.00%             | 2049-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2018-RP2                                           | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2018 RP2 B5 144A        | CUSIP: 17326UAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1518674 | PA      | $585909.66     | 0.00%             | 2058-02-25      | Variable      | 3.08%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 782798 GN 11/39 FIXED 6                           | CUSIP: 36241LDB9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3892 | PA      | $4103.06       | 0.00%             | 2039-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H17                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 H17 FL              | CUSIP: 38376REV4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2679622 | PA      | $2679680.47    | 0.01%             | 2065-06-20      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 885680 FN 10/36 FIXED 6                           | CUSIP: 31410C6R8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        8968 | PA      | $9243.50       | 0.00%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD IDR BOUGHT USD 20251015                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $218716.82     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL A84999 FG 03/39 FIXED 4.5                 | CUSIP: 312931RU4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      151366 | PA      | $152649.09     | 0.00%             | 2039-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 922275 FN 12/36 FIXED 6                           | CUSIP: 31412DT81<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       11905 | PA      | $12483.42      | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AT9282 FN 07/43 FIXED 3                           | CUSIP: 3138WXJ40<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        7297 | PA      | $6736.37       | 0.00%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                     | BROADCOM INC SR UNSECURED 144A 11/35 3.137                  | CUSIP: 11135FBP5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    98238000 | PA      | $85027932.21   | 0.19%             | 2035-11-15      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 679661 G2 07/48 FIXED 4                        | CUSIP: 36295TB60<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1237381 | PA      | $1169977.61    | 0.00%             | 2048-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3295 FN 02/28 FIXED 3.5                         | CUSIP: 31418CUV4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       77530 | PA      | $77031.31      | 0.00%             | 2028-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 05/41 2.25                                  | CUSIP: 912810SY5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   196500000 | PA      | $145678652.84  | 0.32%             | 2041-05-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT NOK SOLD USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |           1 | NC      | $-45.37        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR14                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR14 2A1           | CUSIP: 92922F4F2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      387026 | PA      | $362133.48     | 0.00%             | 2035-12-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AA4281 FN 04/39 FIXED 6                           | CUSIP: 31416MXK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       32728 | PA      | $33913.18      | 0.00%             | 2039-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 816338 FN 11/34 FLOATING VAR                      | CUSIP: 31406P4X4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       60063 | PA      | $60867.95      | 0.00%             | 2034-11-01      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2007-6                                                    | GSAA HOME EQUITY TRUST GSAA 2007 6 1A1                      | CUSIP: 36245RAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2449750 | PA      | $1434330.12    | 0.00%             | 2047-05-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL CP4682 G2 02/47 FIXED 3                        | CUSIP: 3617FUFX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1977944 | PA      | $1760286.67    | 0.00%             | 2047-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| KIMCO REALTY OP LLC                                                              | KIMCO REALTY OP LLC COMPANY GUAR 03/28 1.9                  | CUSIP: 49446RAX7<br>LEI: 549300EA7I6T15IBYS12 | Long             | DBT              | CORP              | US        |     3524000 | PA      | $3352632.60    | 0.01%             | 2028-03-01      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BO5326 FN 11/49 FIXED 3                           | CUSIP: 3140K04L9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      893016 | PA      | $798177.73     | 0.00%             | 2049-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 008874 G2 05/26 FLOATING VAR                   | CUSIP: 36202K2F1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         734 | PA      | $733.64        | 0.00%             | 2026-05-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 782487 GN 12/38 FIXED 5                           | CUSIP: 36241KXQ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      192869 | PA      | $197706.76     | 0.00%             | 2038-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE6                                            | MORGAN STANLEY CAPITAL INC MSAC 2007 HE6 A4                 | CUSIP: 61755CAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1287492 | PA      | $1171862.99    | 0.00%             | 2037-05-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 255934 FN 11/35 FIXED 6                           | CUSIP: 31371MHK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4695 | PA      | $4950.00       | 0.00%             | 2035-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 677522 GN 10/37 FIXED 5                           | CUSIP: 36295QVP2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2198 | PA      | $2234.96       | 0.00%             | 2037-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB6220 FN 05/53 FIXED 4.5                         | CUSIP: 3140QR4E0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    14022202 | PA      | $13689427.64   | 0.03%             | 2053-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS6515 FN 01/46 FIXED 4                           | CUSIP: 3138WGGZ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       26201 | PA      | $25226.52      | 0.00%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT KWD SOLD USD 20260518                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $3220.51       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 903877 FN 10/36 FIXED 6                           | CUSIP: 31411CFS5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       38422 | PA      | $39423.82      | 0.00%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BA2030 FN 02/46 FIXED 4                           | CUSIP: 3140E6HG0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      598602 | PA      | $573967.59     | 0.00%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AH7039 FN 03/41 FIXED 5                           | CUSIP: 3138A8ZD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       17614 | PA      | $18019.67      | 0.00%             | 2041-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ZAR BOUGHT USD 20251009                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $-581.15       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANCO BTG PACTUAL SA/CAYMAN ISLANDS BRANCH                                       | BANCO BTG PACTUAL/CAYMAN SR UNSECURED 144A 01/26 2.75       | CUSIP: 05971AAG6<br>LEI: 2549002JHJ73KGETOK78 | Long             | DBT              | CORP              | BR        |     7600000 | PA      | $7546900.32    | 0.02%             | 2026-01-11      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 830083 FN 07/35 FIXED 6                           | CUSIP: 31407GFY9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       27821 | PA      | $28843.98      | 0.00%             | 2035-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3868                                                          | FREDDIE MAC FHR 3868 FA                                     | CUSIP: 3137AAED1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5331 | PA      | $5287.56       | 0.00%             | 2041-05-15      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 082860 G2 06/41 FLOATING VAR                   | CUSIP: 36225FFA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1563 | PA      | $1578.63       | 0.00%             | 2041-06-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AZ2680 FN 11/45 FIXED 4                           | CUSIP: 3138YT6S8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       92318 | PA      | $88932.31      | 0.00%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 932837 FN 12/25 FIXED 3                           | CUSIP: 31412RLS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         399 | PA      | $398.02        | 0.00%             | 2025-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ0662 FN 03/33 FIXED 3                           | CUSIP: 3140H1WY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      347975 | PA      | $339215.46     | 0.00%             | 2033-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A6                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2006 A6 1A3                  | CUSIP: 46628BAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      554862 | PA      | $395997.72     | 0.00%             | 2036-10-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BV8973 FN 06/52 FIXED 3                           | CUSIP: 3140MN6K7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      662353 | PA      | $589472.30     | 0.00%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS6489 FN 01/46 FIXED 4                           | CUSIP: 3138WGF74<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5561007 | PA      | $5351854.51    | 0.01%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL A48133 FG 12/35 FIXED 7.5                 | CUSIP: 3128K9BA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       13649 | PA      | $13870.42      | 0.00%             | 2035-12-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT NOK SOLD USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |           1 | NC      | $203.34        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 440744 FN 12/28 FIXED 6                           | CUSIP: 31380HS99<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         445 | PA      | $454.27        | 0.00%             | 2028-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2007-3F                                                  | GSR MORTGAGE LOAN TRUST GSR 2007 3F 1A2                     | CUSIP: 3622MWBF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         944 | PA      | $1486.99       | 0.00%             | 2037-05-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA7988 G2 04/52 FIXED 3                        | CUSIP: 36179W2V9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    76172461 | PA      | $68073819.35   | 0.15%             | 2052-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZK3030 FR 03/26 FIXED 3.5                 | CUSIP: 3131X6LK4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4548 | PA      | $4525.46       | 0.00%             | 2026-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJ RATE MTGE LOAN 2006-4                                             | STRUCTURED ADJUSTABLE RATE MOR SARM 2006 4 2A1              | CUSIP: 86360BAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      948656 | PA      | $841851.38     | 0.00%             | 2036-05-25      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2023-2A                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2023 2A A1 144A         | CUSIP: 210927AA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     9299533 | PA      | $9340984.43    | 0.02%             | 2053-11-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2023-3A                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2023 3A B 144A          | CUSIP: 210928AC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     9568793 | PA      | $9920924.40    | 0.02%             | 2053-11-25      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2024-BA                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2024 BA C 144A          | CUSIP: 21050UAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1943000 | PA      | $1974756.78    | 0.00%             | 2054-11-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | TRS SOFRINDX/IBXXLLTR 12/22/25 MYC                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $-24719.23     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS3294 FN 09/44 FIXED 4                           | CUSIP: 3138WCUU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       52499 | PA      | $50633.02      | 0.00%             | 2044-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S                                                                  | DANSKE BANK A/S DANSKE BANK A/S                             | CUSIP: 23636ABG5<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |     3700000 | PA      | $3764273.26    | 0.01%             | 2028-03-01      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DA6085 FN 12/53 FIXED 5.5                         | CUSIP: 3140A6XP6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5562043 | PA      | $5630184.45    | 0.01%             | 2053-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A5                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2006 A5 3A2                  | CUSIP: 46629CAH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      402235 | PA      | $311959.55     | 0.00%             | 2036-08-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| MF1 2021-FL6 LTD                                                                 | MF1 MULTIFAMILY HOUSING MORTGA MF1 2021 FL6 A 144A          | CUSIP: 55283TAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      369590 | PA      | $370153.22     | 0.00%             | 2036-07-16      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | TRS SOFRINDX/IBXXLLTR 12/22/25 MYC                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $-1301.79      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 008865 G2 05/26 FLOATING VAR                   | CUSIP: 36202KZ65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1951 | PA      | $1951.54       | 0.00%             | 2026-05-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 797873 FN 02/35 FIXED 6                           | CUSIP: 31405SMW1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2927 | PA      | $2991.48       | 0.00%             | 2035-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BK0831 FN 02/48 FIXED 4                           | CUSIP: 3140HD4R2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       54230 | PA      | $52142.05      | 0.00%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 882040 FN 05/36 FIXED 6                           | CUSIP: 31409X4Z9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2241 | PA      | $2348.32       | 0.00%             | 2036-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2002-21                                                               | FANNIE MAE FNR 2002 21 FC                                   | CUSIP: 31392CRC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         262 | PA      | $262.65        | 0.00%             | 2032-04-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE TRUST 2005-A7                                                     | JP MORGAN MORTGAGE TRUST JPMMT 2005 A7 1A4                  | CUSIP: 466247WL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1964984 | PA      | $1903752.12    | 0.00%             | 2035-10-25      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080072 G2 05/27 FLOATING VAR                   | CUSIP: 36225CCJ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2786 | PA      | $2795.58       | 0.00%             | 2027-05-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| TRIAXX PRIME CDO 2007-1A                                                         | TRIAXX PRIME CDO TRIAX 2007 1A A1T 144A                     | CUSIP: 896006AA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    13597686 | PA      | $125425.06     | 0.00%             | 2039-10-02      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SECS-2005-J                                                 | BANC OF AMERICA MORTGAGE SECUR BOAMS 2005 J 2A4             | CUSIP: 05949CKT2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        8572 | PA      | $7717.72       | 0.00%             | 2035-11-25      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE GRANTOR TRUST 2001-T5                                                 | FANNIEMAE GRANTOR TRUST FNGT 2001 T5 A3                     | CUSIP: 31359SY20<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        6066 | PA      | $6262.78       | 0.00%             | 2041-06-19      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| NTT FINANCE CORPORATION                                                          | NTT FINANCE CORP SR UNSECURED 144A 07/33 3.678              | CUSIP: ACI2YN4M1<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |     5100000 | PA      | $6083446.00    | 0.01%             | 2033-07-16      | Fixed         | 3.68%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL BG9231 G2 05/48 FIXED 4                        | CUSIP: 3617GUHG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      353760 | PA      | $334640.59     | 0.00%             | 2048-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 889365 FN 01/38 FIXED VAR                         | CUSIP: 31410KCA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      283955 | PA      | $298471.07     | 0.00%             | 2038-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL C65842 FG 04/32 FIXED 7                   | CUSIP: 31287RP37<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1119 | PA      | $1169.32       | 0.00%             | 2032-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QE7891 FR 08/52 FIXED 4.5                 | CUSIP: 3133BHXU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      928848 | PA      | $906302.02     | 0.00%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3771 FN 09/39 FIXED 3                           | CUSIP: 31418DFM9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      122689 | PA      | $115103.11     | 0.00%             | 2039-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2005-12                              | BEAR STEARNS ADJUSTABLE RATE M BSARM 2005 12 23A1           | CUSIP: 07387AGE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1776472 | PA      | $1639646.27    | 0.00%             | 2036-02-25      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 05/48 3.125                                 | CUSIP: 912810SC3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   154300000 | PA      | $119021957.42  | 0.26%             | 2048-05-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H15                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 H15 FB              | CUSIP: 38376RCZ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      444646 | PA      | $444709.98     | 0.00%             | 2065-06-20      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | VOLKSWAGEN INTERNATIONAL FINA SNR SE ICE                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | NL        |           1 | NC      | $81130.23      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THRU SEC T-61                                              | FHLMC STRUCTURED PASS THROUGH FSPC T 61 1A1                 | CUSIP: 31395A3J2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      539532 | PA      | $523001.59     | 0.00%             | 2044-07-25      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AW3664 FN 04/29 FIXED 3.5                         | CUSIP: 3138XTCA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      372434 | PA      | $368483.10     | 0.00%             | 2029-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2007-QS9                                          | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QS9 A33            | CUSIP: 75116FBH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      222769 | PA      | $184142.97     | 0.00%             | 2037-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 3.00000 03/18/26-30Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $-5314777.48   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2127 FN 12/44 FIXED 4                           | CUSIP: 31418BLH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      126225 | PA      | $121712.95     | 0.00%             | 2044-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR ACCEPTANCE CORPORATION                                              | NISSAN MOTOR ACCEPTANCE SR UNSECURED 144A 09/28 2.45        | CUSIP: 65480CAD7<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |      500000 | PA      | $459168.50     | 0.00%             | 2028-09-15      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2004-5                                             | COUNTRYWIDE ASSET BACKED CERTI CWL 2004 5 1A                | CUSIP: 1266716B7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1108275 | PA      | $1085085.17    | 0.00%             | 2034-10-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| ACREC 2021-FL1 LTD                                                               | ACREC 2021 FL1 LTD. ACREC 2021 FL1 A 144A                   | CUSIP: 00500RAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     7745500 | PA      | $7739921.71    | 0.02%             | 2036-10-16      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| RMAC SECURITIES PLC 2007-NS1X                                                    | RMAC SECURITIES PLC RMACS 2007 NS1X A2A REGS                | CUSIP: B1ZPGKII4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     8212532 | PA      | $10918642.27   | 0.02%             | 2044-06-12      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| CROSS 2023-H1 MORTGAGE TRUST                                                     | CROSS MORTGAGE TRUST CROSS 2023 H1 A1 144A                  | CUSIP: 22758CAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5181133 | PA      | $5226513.78    | 0.01%             | 2068-03-25      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 901720 FN 10/36 FIXED 6                           | CUSIP: 31410YYR9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       99521 | PA      | $103653.56     | 0.00%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RIPON MORTGAGES PLC 25-1A                                                        | RIPON MORTGAGES RIPON 2025 1A X 144A                        | CUSIP: ACI2V5FD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     1151461 | PA      | $1544639.08    | 0.00%             | 2056-08-28      | Floating      | 6.98%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD KRW BOUGHT USD 20251022                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $327818.93     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-42737.90     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE TRUST-2006-17XS                                          | MORGAN STANLEY MORTGAGE LOAN T MSM 2006 17XS A6             | CUSIP: 61751DAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2315877 | PA      | $538292.66     | 0.00%             | 2046-10-25      | Variable      | 6.08%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-4                                            | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 4 2A2             | CUSIP: 68403FAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      893801 | PA      | $508525.69     | 0.00%             | 2037-04-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-H25                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 H25 FB              | CUSIP: 38375UZ78<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1680463 | PA      | $1702100.30    | 0.00%             | 2067-11-20      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 870025 FN 05/36 FIXED 6                           | CUSIP: 31409FSN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       17849 | PA      | $18404.63      | 0.00%             | 2036-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 520775 GN 07/30 FIXED 9                           | CUSIP: 36211RQ44<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2422 | PA      | $2446.76       | 0.00%             | 2030-07-15      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AZ3349 FN 06/45 FIXED 4                           | CUSIP: 3138YUWK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       31676 | PA      | $30494.59      | 0.00%             | 2045-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.75000 09/02/25-7Y* LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-7634183.46   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 538583 GN 11/30 FIXED 8.5                         | CUSIP: 36212NJ40<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         992 | PA      | $1006.73       | 0.00%             | 2030-11-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 190314 FN 07/31 FIXED VAR                         | CUSIP: 31368HK36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       21710 | PA      | $22405.30      | 0.00%             | 2031-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2007-4F                                                  | GSR MORTGAGE LOAN TRUST GSR 2007 4F 3A2                     | CUSIP: 362669AL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      124460 | PA      | $78892.74      | 0.00%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL BE6839 G2 03/48 FIXED 4                        | CUSIP: 3617G1S41<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4423962 | PA      | $4185719.46    | 0.01%             | 2048-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT MXN SOLD USD 20251217                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $1052359.36    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL AK9821 GN 02/45 FIXED 3.5                         | CUSIP: 36183T4E6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      254403 | PA      | $238920.34     | 0.00%             | 2045-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                             | JPMORGAN CHASE + CO SR UNSECURED 10/30 VAR                  | CUSIP: 46647PEQ5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    25000000 | PA      | $25299445.50   | 0.06%             | 2030-10-22      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA1530 FN 04/43 FIXED 3.5                         | CUSIP: 3140Q8VY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      450722 | PA      | $424110.57     | 0.00%             | 2043-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2023-1A                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2023 1A R 144A          | CUSIP: 21055PAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    14761412 | PA      | $6693388.24    | 0.01%             | 2053-11-25      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 735269 FN 02/35 FIXED VAR                         | CUSIP: 31402Q2A8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       21774 | PA      | $22919.44      | 0.00%             | 2035-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOLDEN STATE TOBACCO SECURITIZATION                                              | GOLDEN ST TOBACCO SECURITIZATI GLDGEN 06/36 FIXED 3.487     | CUSIP: 38122ND41<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     7235000 | PA      | $6163623.11    | 0.01%             | 2036-06-01      | Fixed         | 3.49%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 1G0371 FH 11/35 FLOATING VAR              | CUSIP: 3128NCMU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      293631 | PA      | $299953.16     | 0.00%             | 2035-11-01      | Floating      | 6.87%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AV7118 FN 03/29 FIXED 3.5                         | CUSIP: 3138XJ4C8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      162993 | PA      | $160841.14     | 0.00%             | 2029-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS5600 FN 08/45 FIXED 4                           | CUSIP: 3138WFGJ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1779280 | PA      | $1713100.20    | 0.00%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                                                | NATWEST GROUP PLC SR UNSECURED 05/28 VAR                    | CUSIP: 780097BP5<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    25900000 | PA      | $25450624.90   | 0.06%             | 2028-05-22      | Floating      | 3.07%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                                                              | GLOBAL PAYMENTS INC SR UNSECURED 08/29 3.2                  | CUSIP: 37940XAB8<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |     1000000 | PA      | $949929.19     | 0.00%             | 2029-08-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 837370 FN 10/35 FIXED 6                           | CUSIP: 31407QJP2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       26689 | PA      | $27670.94      | 0.00%             | 2035-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2006-76                                                               | FANNIE MAE FNR 2006 76 QF                                   | CUSIP: 31396KBZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       56285 | PA      | $55961.09      | 0.00%             | 2036-08-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3218 FN 12/32 FIXED 3                           | CUSIP: 31418CSG0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1112636 | PA      | $1077614.47    | 0.00%             | 2032-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BK1935 FN 03/33 FIXED 3                           | CUSIP: 3140HFEH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      260467 | PA      | $252056.54     | 0.00%             | 2033-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-5                                            | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 5 2A2             | CUSIP: 68403HAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3092375 | PA      | $1671668.22    | 0.00%             | 2037-05-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL BF3083 G2 07/48 FIXED 4                        | CUSIP: 3617G9M81<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1462563 | PA      | $1383790.73    | 0.00%             | 2048-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 745849 FN 04/34 FLOATING VAR                      | CUSIP: 31403DTE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        9784 | PA      | $10121.62      | 0.00%             | 2034-04-01      | Floating      | 6.59%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 918653 FN 06/37 FIXED 6                           | CUSIP: 31411YTJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1860 | PA      | $1912.77       | 0.00%             | 2037-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AU4405 FN 10/43 FIXED 3                           | CUSIP: 3138X33P5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5608 | PA      | $5155.76       | 0.00%             | 2043-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8382 FR 12/53 FIXED 5                   | CUSIP: 3132DWJ38<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1309937 | PA      | $1303178.73    | 0.00%             | 2053-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR5                                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR5 A6             | CUSIP: 92922FM21<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4883581 | PA      | $4841652.46    | 0.01%             | 2035-05-25      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-I                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2006 I 6A1              | CUSIP: 05951VAV1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      545337 | PA      | $487235.57     | 0.00%             | 2046-12-20      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20251016                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $-52373.69     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4989                                                          | FREDDIE MAC FHR 4989 FB                                     | CUSIP: 3137FUKQ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5347733 | PA      | $5275245.19    | 0.01%             | 2040-10-15      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-SD3                              | BEAR STEARNS ASSET BACKED SECU BSABS 2006 SD3 21A1          | CUSIP: 073888AN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        1068 | PA      | $1062.16       | 0.00%             | 2036-07-25      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS7122 FR 08/27 FIXED 3.5                 | CUSIP: 3132A74F5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2258 | PA      | $2246.28       | 0.00%             | 2027-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS0107 FN 08/28 FIXED 3                           | CUSIP: 3138W9DM9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       25115 | PA      | $24673.82      | 0.00%             | 2028-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 786604 FH 11/28 FLOATING VAR              | CUSIP: 31295KKR4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       20433 | PA      | $20469.00      | 0.00%             | 2028-11-01      | Floating      | 6.49%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT DKK SOLD USD 20251104                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |           1 | NC      | $2057.10       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TENNESSEE GAS PIPELINE COMPANY LLC                                               | TENNESSEE GAS PIPELINE COMPANY GUAR 144A 03/30 2.9          | CUSIP: 880451AZ2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     4635000 | PA      | $4342617.99    | 0.01%             | 2030-03-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2007-BR5                                | SECURITIZED ASSET BACKED RECEI SABR 2007 BR5 A2A            | CUSIP: 81379EAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      360101 | PA      | $279408.00     | 0.00%             | 2037-05-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QE5203 FR 06/52 FIXED 4                   | CUSIP: 3133BEX81<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3830258 | PA      | $3622740.05    | 0.01%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-7                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2006 7 1A12             | CUSIP: 05951KAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       51274 | PA      | $44727.05      | 0.00%             | 2036-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GSC CAPITAL CORP MORTGAGE TRUST 2006-2                                           | GSC CAPITAL CORP MORTGAGE TRUS GSCC 2006 2 A1               | CUSIP: 362480AD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       64572 | PA      | $62180.46      | 0.00%             | 2036-05-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 13.0166 08/12/25-01/02/29 CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |           1 | NC      | $1331630.77    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MB0304 G2 04/55 FIXED 3.5                      | CUSIP: 3618N5KS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3415013 | PA      | $3115921.87    | 0.01%             | 2055-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN 2006-FF14                                                | FIRST FRANKLIN MTG LOAN ASSET FFML 2006 FF14 A6             | CUSIP: 32027LAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6000000 | PA      | $4974802.20    | 0.01%             | 2036-10-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8408 FR 03/54 FIXED 5.5                 | CUSIP: 3132DWKV4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    24819224 | PA      | $25076024.13   | 0.06%             | 2054-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2024-BA                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2024 BA R 144A          | CUSIP: 21050UAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     4226161 | PA      | $2108299.31    | 0.00%             | 2054-11-25      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| AMERICAN TOWER CORP (AKA: AMERICAN TOWER REIT INC)                               | AMERICAN TOWER CORP SR UNSECURED 02/29 5.2                  | CUSIP: 03027XCG3<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |     5300000 | PA      | $5455693.07    | 0.01%             | 2029-02-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TR 2005-3                                                     | BEAR STEARNS ALT A TRUST BALTA 2005 3 4A3                   | CUSIP: 07386HSN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         962 | PA      | $939.97        | 0.00%             | 2035-04-25      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QG8413 FR 08/53 FIXED 6                   | CUSIP: 3133C9K28<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      245265 | PA      | $251579.40     | 0.00%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY2024 FN 05/53 FIXED 5.5                         | CUSIP: 3140NJHA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1380302 | PA      | $1398916.27    | 0.00%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | MEXICO LA SP MYC                                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $81039.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC5640 FN 06/46 FIXED 4                           | CUSIP: 3140F1HS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1180576 | PA      | $1136664.93    | 0.00%             | 2046-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-A1                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2007 A1 1A1                  | CUSIP: 46630GAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        3369 | PA      | $3367.72       | 0.00%             | 2035-07-25      | Floating      | 5.91%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MTGE PROD 2006-RZ4                                             | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2006 RZ4 M1             | CUSIP: 75156XAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4904671 | PA      | $4806112.07    | 0.01%             | 2036-10-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080312 G2 08/29 FLOATING VAR                   | CUSIP: 36225CK21<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         573 | PA      | $575.33        | 0.00%             | 2029-08-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| BAYER US FINANCE II LLC                                                          | BAYER US FINANCE II LLC COMPANY GUAR 144A 12/25 4.25        | CUSIP: 07274NAJ2<br>LEI: 529900XWNEXYNJ3X6T40 | Long             | DBT              | CORP              | US        |    22600000 | PA      | $22581708.01   | 0.05%             | 2025-12-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2006-W1                                                     | FANNIEMAE WHOLE LOAN FNW 2006 W1 1A2                        | CUSIP: 31395B5H2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        9794 | PA      | $10151.05      | 0.00%             | 2045-12-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 986946 FN 09/38 FIXED 6                           | CUSIP: 31415RL36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2350 | PA      | $2446.85       | 0.00%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 844000 FN 11/35 FLOATING VAR                      | CUSIP: 31407XUZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       28437 | PA      | $28715.35      | 0.00%             | 2035-11-01      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 552114 GN 10/31 FIXED 7.5                         | CUSIP: 36213EK39<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1596 | PA      | $1624.40       | 0.00%             | 2031-10-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| ONSLOW BAY MORTGAGE LOAN TRUST 2021-INV2                                         | ONSLOW BAY FINANCIAL LLC OBX 2021 INV2 A3 144A              | CUSIP: 67114KAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    57764944 | PA      | $47987071.60   | 0.11%             | 2051-10-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS8711 FR 08/33 FIXED 3.5                 | CUSIP: 3132A9VC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      336809 | PA      | $332371.98     | 0.00%             | 2033-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 082793 G2 04/41 FLOATING VAR                   | CUSIP: 36225FC72<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      549512 | PA      | $561852.10     | 0.00%             | 2041-04-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2006-S3                                              | CHASE MORTGAGE FINANCE CORPORA CHASE 2006 S3 1A1            | CUSIP: 16162XAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1054174 | PA      | $441563.21     | 0.00%             | 2036-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 347028 FN 06/26 FIXED 8                           | CUSIP: 31375WPM7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          25 | PA      | $24.80         | 0.00%             | 2026-06-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 894072 FN 10/36 FIXED 6                           | CUSIP: 31410QJR3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         151 | PA      | $157.00        | 0.00%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AW3485 FN 05/29 FIXED 3.5                         | CUSIP: 3138XS2T3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1880 | PA      | $1863.25       | 0.00%             | 2029-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BARROW FUNDING PLC 1A                                                            | BARROW FUNDING PLC BARRO 1A F                               | CUSIP: ACI2P7X77<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     2470000 | PA      | $3363932.38    | 0.01%             | 2062-11-16      | Floating      | 9.98%                 | No            |                  2 | On Loan: No      |
| ROCHESTER GAS AND ELECTRIC CORPORATION                                           | ROCHESTER GAS + ELECTRIC 1ST MORTGAGE 144A 12/30 1.85       | CUSIP: 771367CE7<br>LEI: 549300DD8M80WFTQO509 | Long             | DBT              | CORP              | US        |      600000 | PA      | $520110.41     | 0.00%             | 2030-12-01      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMIC 2000-26                                                         | FANNIE MAE FNR 2000 26 FP                                   | CUSIP: 31358SGW5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       24765 | PA      | $24703.99      | 0.00%             | 2030-08-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT                                                 | DEUTSCHE BANK AG REGS 01/27 1.625                           | CUSIP: ACI1J0CL3<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |      400000 | PA      | $464543.32     | 0.00%             | 2027-01-20      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3336 FN 04/38 FIXED 3.5                         | CUSIP: 31418CV68<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      222557 | PA      | $214591.56     | 0.00%             | 2038-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                      | BNP PARIBAS 144A 01/33 VAR                                  | CUSIP: 09659W3A0<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |     2800000 | PA      | $2940708.85    | 0.01%             | 2033-01-13      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-11                                                   | COUNTRYWIDE HOME LOANS CWHL 2004 11 2A1                     | CUSIP: 12669FA86<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      247175 | PA      | $236159.62     | 0.00%             | 2034-07-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| NOVASTAR HOME EQUITY LOAN 2007-1                                                 | NOVASTAR HOME EQUITY LOAN NHEL 2007 1 A2B                   | CUSIP: 669971AC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3508129 | PA      | $1115697.35    | 0.00%             | 2037-03-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2005-HE1                                                             | GSAMP TRUST GSAMP 2005 HE1 M2                               | CUSIP: 36242DRX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      786876 | PA      | $714025.11     | 0.00%             | 2034-12-25      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CAD BOUGHT USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |           1 | NC      | $24566.67      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 884977 FN 06/36 FIXED 6                           | CUSIP: 31410CFS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         255 | PA      | $263.54        | 0.00%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC8111 FN 07/46 FIXED 4                           | CUSIP: 3140F4AM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      296395 | PA      | $285123.09     | 0.00%             | 2046-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZI5482 FR 10/32 FIXED 5.5                 | CUSIP: 3131WJCT8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5323 | PA      | $5437.44       | 0.00%             | 2032-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| STWD 2022-FL3 LTD                                                                | STARWOOD COMMERCIAL MORTGAGE T STWD 2022 FL3 A 144A         | CUSIP: 78485KAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    59432754 | PA      | $59287809.54   | 0.13%             | 2038-11-15      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 728868 FN 07/33 FIXED 5                           | CUSIP: 31402GW58<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       71568 | PA      | $72603.11      | 0.00%             | 2033-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE TRUST 2005-A5                                                     | JP MORGAN MORTGAGE TRUST JPMMT 2005 A5 3A3                  | CUSIP: 466247SL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       18664 | PA      | $18711.53      | 0.00%             | 2035-08-25      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL1743 FN 09/40 FIXED VAR                         | CUSIP: 3138EH5D0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5232 | PA      | $5516.44       | 0.00%             | 2040-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NATIONAL FUEL GAS COMPANY                                                        | NATIONAL FUEL GAS CO SR UNSECURED 03/31 2.95                | CUSIP: 636180BR1<br>LEI: 8JB38FFW1Y3C1HM8E841 | Long             | DBT              | CORP              | US        |    10900000 | PA      | $9952706.07    | 0.02%             | 2031-03-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD JPY BOUGHT USD 20251104                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $-1347092.91   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2001-62                                                               | FANNIE MAE FNR 2001 62 PZ                                   | CUSIP: 31392AAY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      725897 | PA      | $757536.95     | 0.00%             | 2031-11-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL0238 FN 03/26 FIXED VAR                         | CUSIP: 3138EGHQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       21240 | PA      | $21169.65      | 0.00%             | 2026-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 725057 FN 01/34 FIXED VAR                         | CUSIP: 31402CQJ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       34435 | PA      | $35710.48      | 0.00%             | 2034-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AQ1374 FN 11/42 FIXED 4                           | CUSIP: 3138MGQ40<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4336 | PA      | $4207.13       | 0.00%             | 2042-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AT0181 FN 03/43 FIXED 3                           | CUSIP: 3138WMFX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       13391 | PA      | $12314.49      | 0.00%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUST RT MTGE TR 2000-                                             | BEAR STEARNS ADJUSTABLE RATE M BSARM 2000 2 A1              | CUSIP: 07384MAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      304985 | PA      | $303436.84     | 0.00%             | 2030-11-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 901565 FN 10/36 FIXED 6                           | CUSIP: 31410YTW4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         900 | PA      | $935.39        | 0.00%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                             | JPMORGAN CHASE + CO SR UNSECURED 01/27 VAR                  | CUSIP: 46647PBA3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     6500000 | PA      | $6492893.16    | 0.01%             | 2027-01-29      | Floating      | 3.96%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD INR BOUGHT USD 20251119                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $1780.64       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTGE INVEST 2006-AR6                                            | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR6 1A3            | CUSIP: 86360UAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      341623 | PA      | $274352.23     | 0.00%             | 2046-07-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| IMPAC SECURED ASSETS CMN OWNER TRUST 2005-1                                      | IMPAC SECURED ASSETS CORP. IMSA 2005 1 4A                   | CUSIP: 45254TRR7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      258857 | PA      | $248430.45     | 0.00%             | 2035-07-25      | Floating      | 6.31%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080095 G2 07/27 FLOATING VAR                   | CUSIP: 36225CC95<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       50885 | PA      | $51139.79      | 0.00%             | 2027-07-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AE7758 FN 11/25 FIXED 3.5                         | CUSIP: 31419JTQ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       30004 | PA      | $29905.39      | 0.00%             | 2025-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CPI PROPERTY GROUP SA                                                            | CPI PROPERTY GROUP SA SR UNSECURED REGS 01/31 1.5           | CUSIP: ACI1V7SM5<br>LEI: 222100CO2ZOTEPGJO223 | Long             | DBT              | CORP              | LU        |     2786000 | PA      | $2724834.44    | 0.01%             | 2031-01-27      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| HUNDRED ACRE WOOD TRUST 2021-INV2                                                | HUNDRED ACRE WOOD TRUST HAWT 2021 INV2 A11 144A             | CUSIP: 44555PAN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4586043 | PA      | $4266929.53    | 0.01%             | 2051-10-25      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS4243 FN 11/43 FIXED 3                           | CUSIP: 3138WDWD9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      568068 | PA      | $527724.46     | 0.00%             | 2043-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC 2005-3                                               | MLCC MORTGAGE INVESTORS INC MLCC 2005 3 1A                  | CUSIP: 59020UL37<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      833848 | PA      | $810760.64     | 0.00%             | 2035-11-25      | Floating      | 5.94%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2023-1A                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2023 1A E 144A          | CUSIP: 21055PAF1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     5190238 | PA      | $5273731.24    | 0.01%             | 2053-11-25      | Fixed         | 9.35%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II TBA 30 YR 3 JUMBOS                                  | CUSIP: 21H0306B5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   516400000 | PA      | $461067538.60  | 1.02%             | 2055-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-2614371.61   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 937937 FN 06/37 FIXED 6                           | CUSIP: 31412XPW8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4511 | PA      | $4667.02       | 0.00%             | 2037-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 844532 FN 11/35 FLOATING VAR                      | CUSIP: 31407YHH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      270728 | PA      | $275622.82     | 0.00%             | 2035-11-01      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC TRUST 2006-A8                                              | RESIDENTIAL ASSET SECURITIZATI RAST 2006 A8 1A5             | CUSIP: 761119AE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       67429 | PA      | $46278.97      | 0.00%             | 2036-08-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD AUD BOUGHT USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |           1 | NC      | $463062.82     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAD TR 2006-2                                               | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2006 2 1A              | CUSIP: 542514TQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1439010 | PA      | $1255759.40    | 0.00%             | 2046-03-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 735207 FN 04/34 FIXED VAR                         | CUSIP: 31402QYC9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       11669 | PA      | $12090.05      | 0.00%             | 2034-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| ABILENE DC 7 LLC/ABILENE DC 8 LLC                                                | PROJECT FLASH TERM LOAN 1                                   | CUSIP: BA000KZ61<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    31932717 | PA      | $31932716.61   | 0.07%             | 2030-04-30      | Floating      | 1.18%                 | No            |                  3 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON COMPANY                                               | SOUTHERN CAL EDISON 1ST MORTGAGE 03/30 5.25                 | CUSIP: 842400JJ3<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     7500000 | PA      | $7650221.10    | 0.02%             | 2030-03-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 008880 G2 06/26 FLOATING VAR                   | CUSIP: 36202K2M6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         448 | PA      | $448.10        | 0.00%             | 2026-06-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2021-HTL5                   | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2021 HTL5 A 144A       | CUSIP: 46654PAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2231000 | PA      | $2229793.25    | 0.00%             | 2038-11-15      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| LAS VEGAS SANDS CORP                                                             | LAS VEGAS SANDS CORP LAS VEGAS SANDS CORP                   | CUSIP: 517834AJ6<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |    31300000 | PA      | $31947548.80   | 0.07%             | 2027-06-01      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2010-109                                                       | FANNIE MAE FNR 2010 109 Q                                   | CUSIP: 31398NSK1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2899358 | PA      | $2853075.44    | 0.01%             | 2040-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2005-79                                                               | FANNIE MAE FNR 2005 79 NF                                   | CUSIP: 31394FHD0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        9965 | PA      | $9908.46       | 0.00%             | 2035-09-25      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3540 FN 12/33 FIXED 3.5                         | CUSIP: 31418C5A8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       90427 | PA      | $89221.28      | 0.00%             | 2033-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AT1307 FN 06/43 FIXED 3                           | CUSIP: 3138WNNZ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       33041 | PA      | $30330.45      | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 758900 FN 12/33 FLOATING VAR                      | CUSIP: 31403VDD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       70635 | PA      | $72065.48      | 0.00%             | 2033-12-01      | Floating      | 6.60%                 | No            |                  2 | On Loan: No      |
| CATAMARAN CLO LTD 2014-1A                                                        | CATAMARAN CLO LTD CRMN 2014 1A A1AR 144A                    | CUSIP: 14889DAJ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1351035 | PA      | $1352724.03    | 0.00%             | 2030-04-22      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 643225 FN 03/32 FIXED 6                           | CUSIP: 31390DSN5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         212 | PA      | $216.20        | 0.00%             | 2032-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE8087 FN 02/47 FIXED 4                           | CUSIP: 3140FT6Z9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       98097 | PA      | $94365.84      | 0.00%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JAMESTOWN CLO XI LTD 2018-11A                                                    | JAMESTOWN CLO LTD JTWN 2018 11A A1 144A                     | CUSIP: 47049QAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      949876 | PA      | $951001.66     | 0.00%             | 2031-07-14      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL BC7361 GN 10/47 FIXED 3.5                         | CUSIP: 3617BBFA4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      442684 | PA      | $408984.61     | 0.00%             | 2047-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G08023 FG 11/34 FIXED 6.5                 | CUSIP: 3128MJAZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1028 | PA      | $1085.69       | 0.00%             | 2034-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BV7526 FN 02/52 FIXED 3                           | CUSIP: 3140MMLG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      271226 | PA      | $238891.88     | 0.00%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZA5451 FR 05/48 FIXED 3.5                 | CUSIP: 31329PBU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      545126 | PA      | $504830.40     | 0.00%             | 2048-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 889466 FN 05/38 FIXED VAR                         | CUSIP: 31410KFF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      162607 | PA      | $171446.52     | 0.00%             | 2038-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| THORNBURG MORTGAGE SECURITIES TR 2007-1                                          | THORNBURG MORTGAGE SECURITIES TMST 2007 1 A2B               | CUSIP: 88522EAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4882383 | PA      | $3447736.09    | 0.01%             | 2037-03-25      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE-2006-61                                                               | FANNIE MAE FNR 2006 61 SE                                   | CUSIP: 31395N3P0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      191615 | PA      | $18778.02      | 0.00%             | 2036-07-25      | Floating      | 2.08%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 934433 FN 09/38 FIXED 6                           | CUSIP: 31412TSW4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       54673 | PA      | $57601.80      | 0.00%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080074 G2 05/27 FLOATING VAR                   | CUSIP: 36225CCL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       15476 | PA      | $15512.66      | 0.00%             | 2027-05-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 004245 G2 09/38 FIXED 6                        | CUSIP: 36202EWE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       45022 | PA      | $48120.83      | 0.00%             | 2038-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BIG COMMERCIAL MORTGAGE TRUST 2022-BIG                                           | BIG COMMERCIAL MORTGAGE TRUST BIG 2022 BIG A 144A           | CUSIP: 05551UAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7111906 | PA      | $7093882.19    | 0.02%             | 2039-02-15      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD INR BOUGHT USD 20251017                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $12048.17      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G08064 FG 04/35 FIXED 6.5                 | CUSIP: 3128MJCA6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         487 | PA      | $514.03        | 0.00%             | 2035-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2007-AA2                                                          | BCAP LLC TRUST BCAP 2007 AA2 12A1                           | CUSIP: 05530NAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       24813 | PA      | $23929.12      | 0.00%             | 2047-05-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2003-60                                                   | COUNTRYWIDE HOME LOANS CWHL 2003 60 1A1                     | CUSIP: 12669FJC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        1903 | PA      | $1908.49       | 0.00%             | 2034-02-25      | Floating      | 6.74%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM3387 FN 03/35 FIXED VAR                         | CUSIP: 3140X6XR7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       91509 | PA      | $90231.15      | 0.00%             | 2035-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 31750R5C7 PIMCO FXVAN PUT EUR USD 1.11000000                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |   247628000 | NC      | $78205.78      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PACIFICORP                                                                       | PACIFICORP 1ST MORTGAGE 03/51 3.3                           | CUSIP: 695114CX4<br>LEI: SGY07Y7FNYBNLM6Z1M11 | Long             | DBT              | CORP              | US        |      100000 | PA      | $66004.58      | 0.00%             | 2051-03-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS7011 FR 08/29 FIXED 3.5                 | CUSIP: 3132A7YG0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       51948 | PA      | $51451.24      | 0.00%             | 2029-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| DESARROLLADORA HOMEX SA DE CV (AKA: HOMEX)                                       | DESARROLLADORA HOMEX SAB DE COMMON STOCK                    | CUSIP: B01RQ2907<br>LEI: N/A                  | Long             | EC               | CORP              | MX        |      775108 | NS      | $42.32         | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 891805 FN 06/36 FIXED 6                           | CUSIP: 31410MYA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2344 | PA      | $2464.14       | 0.00%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20251202                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $130823.71     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD KWD BOUGHT USD 20290702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $163997.75     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BA2921 FN 12/45 FIXED 4                           | CUSIP: 3140E7G79<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      173164 | PA      | $166866.89     | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-72                                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 72 A1             | CUSIP: 12668A3N3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      201438 | PA      | $185728.96     | 0.00%             | 2036-01-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS7442 FR 03/26 FIXED 2                   | CUSIP: 3132A8HT9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1503 | PA      | $1491.83       | 0.00%             | 2026-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2343                                                                 | FREDDIE MAC FHR 2343 CZ                                     | CUSIP: 313399K48<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       68468 | PA      | $71811.73      | 0.00%             | 2031-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| NOVASTAR HOME EQUITY LOAN 2006-6                                                 | NOVASTAR HOME EQUITY LOAN NHEL 2006 6 A2B                   | CUSIP: 66988RAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3402224 | PA      | $1122527.53    | 0.00%             | 2037-01-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2004-4                                                   | GSR MORTGAGE LOAN TRUST GSR 2004 4 2A2                      | CUSIP: 36228FD45<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       30561 | PA      | $29750.44      | 0.00%             | 2032-04-25      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD JPY BOUGHT USD 20251104                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $-82661.21     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | EURO-BUND OPTION  NOV25C 130.5 EXP 10/24/2025               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |       -1149 | NC      | $-121408.58    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| STRUCTURED ADJ RATE MTG LN 2006-3                                                | STRUCTURED ADJUSTABLE RATE MOR SARM 2006 3 4A               | CUSIP: 863579Y69<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1691201 | PA      | $881841.71     | 0.00%             | 2036-04-25      | Floating      | 4.06%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY0849 FN 05/53 FIXED 5.5                         | CUSIP: 3140NG5K2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      273736 | PA      | $277936.56     | 0.00%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AE7095 FN 12/25 FIXED 3.5                         | CUSIP: 31419H3D2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         685 | PA      | $682.10        | 0.00%             | 2025-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP OF AMERICA FINANCE LLC                                          | VOLKSWAGEN GROUP AMERICA COMPANY GUAR 144A 03/32 5.65       | CUSIP: 928668CR1<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |    12200000 | PA      | $12601887.76   | 0.03%             | 2032-03-25      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA9961 G2 10/54 FIXED 3.5                      | CUSIP: 36180AB69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    24421560 | PA      | $22288654.02   | 0.05%             | 2054-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT KRW SOLD USD 20251010                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $-33654.82     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DBGS 2021-W52 MORTGAGE TRUST                                                     | DBGS MORTGAGE TRUST DBGS 2021 W52 A 144A                    | CUSIP: 23308LAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4080000 | PA      | $4051134.82    | 0.01%             | 2036-10-15      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY7306 FN 09/53 FIXED 5.5                         | CUSIP: 3140NQDL9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5619759 | PA      | $5689544.54    | 0.01%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES CORP TRUST 2018-LUAU                                      | GS MORTGAGE SECURITIES TRUST GSMS 2018 LUAU A 144A          | CUSIP: 36256AAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2850000 | PA      | $2834448.69    | 0.01%             | 2032-11-15      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT KRW SOLD USD 20251022                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $-114.30       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 811801 FN 02/35 FLOATING VAR                      | CUSIP: 31406J3J0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3508 | PA      | $3583.66       | 0.00%             | 2035-02-01      | Floating      | 6.67%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                   | MORGAN STANLEY MORGAN STANLEY                               | CUSIP: 61747YFH3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    33800000 | PA      | $35930145.63   | 0.08%             | 2029-11-01      | Floating      | 6.41%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL0774 FN 09/41 FIXED VAR                         | CUSIP: 3138EG2G8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       65170 | PA      | $67590.42      | 0.00%             | 2041-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF7073 FR 02/53 FIXED 5.5                 | CUSIP: 3133BU2E6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4237484 | PA      | $4292034.43    | 0.01%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 783748 GN 04/43 FIXED 3.5                         | CUSIP: 3622A2EV0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      120447 | PA      | $112735.81     | 0.00%             | 2043-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-7758938.74   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AH5604 FN 02/41 FIXED 4                           | CUSIP: 3138A7GN2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       28777 | PA      | $28155.11      | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 002379 G2 02/27 FIXED 8                        | CUSIP: 36202CUC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          42 | PA      | $42.01         | 0.00%             | 2027-02-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 914984 FN 04/37 FIXED 6                           | CUSIP: 31411URD5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      369376 | PA      | $388275.81     | 0.00%             | 2037-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB6396 FN 03/53 FIXED 5.5                         | CUSIP: 3140QSDA6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5280510 | PA      | $5349005.11    | 0.01%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 253267 FN 05/30 FIXED 8.5                         | CUSIP: 31371JJL9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2759 | PA      | $2899.11       | 0.00%             | 2030-05-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2007-4                                             | BEAR STEARNS ADJUSTABLE RATE M BSARM 2007 4 22A1            | CUSIP: 07401CAV5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7177980 | PA      | $6323279.08    | 0.01%             | 2047-06-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BT3145 FN 07/51 FIXED 3                           | CUSIP: 3140LRP77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1056006 | PA      | $930298.11     | 0.00%             | 2051-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                      | BANK OF AMERICA CORP SR UNSECURED 01/29 VAR                 | CUSIP: 06051GMK2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     8000000 | PA      | $8149315.36    | 0.02%             | 2029-01-24      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TSY INFL IX N/B 02/45 0.75                                  | CUSIP: 912810RL4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   190404452 | PA      | $142124834.64  | 0.31%             | 2045-02-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AX7497 FN 12/29 FIXED 3.5                         | CUSIP: 3138Y9KK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       56221 | PA      | $55470.09      | 0.00%             | 2029-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AES CORPORATION                                                                  | AES CORP/THE SR UNSECURED 144A 07/30 3.95                   | CUSIP: 00130HCC7<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |    18167000 | PA      | $17563401.79   | 0.04%             | 2030-07-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-14                                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 14 2A1            | CUSIP: 12667GCB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       40160 | PA      | $38599.91      | 0.00%             | 2035-05-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FS3932 FN 08/50 FIXED VAR                         | CUSIP: 3140XKLN8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5209904 | PA      | $5007050.23    | 0.01%             | 2050-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BK3601 FN 03/48 FIXED 3.5                         | CUSIP: 3140HHAB1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       33754 | PA      | $31641.68      | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AX2491 FN 10/44 FIXED 4                           | CUSIP: 3138Y3XV8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       26581 | PA      | $25639.29      | 0.00%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MEXICO GOVT                                                                      | UNITED MEXICAN STATES SR UNSECURED 05/37 6.875              | CUSIP: 91087BBC3<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    11400000 | PA      | $12323400.00   | 0.03%             | 2037-05-13      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.89900 03/11/25-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-719102.21    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H05                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H05 GF              | CUSIP: 38382YY64<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     8061291 | PA      | $8077150.04    | 0.02%             | 2073-02-20      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QH1220 FR 09/53 FIXED 5.5                 | CUSIP: 3133CDK94<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5407293 | PA      | $5466022.76    | 0.01%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AJ7533 FN 01/27 FIXED 3.5                         | CUSIP: 3138E0LP2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       57413 | PA      | $56991.33      | 0.00%             | 2027-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 11/42 2.75                                  | CUSIP: 912810QY7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   420200000 | PA      | $325572930.74  | 0.72%             | 2042-11-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3239 FN 01/48 FIXED 4                           | CUSIP: 31418CS54<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      134026 | PA      | $128880.22     | 0.00%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2004-4                                             | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2004 4 5M1              | CUSIP: 007036DW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2248136 | PA      | $1975998.04    | 0.00%             | 2035-03-25      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 970320 FN 02/38 FIXED 5.5                         | CUSIP: 31414MPD2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2036 | PA      | $2110.90       | 0.00%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| DUTCH MORTGAGE FINANCE BV 2024-1                                                 | DUTCH MORTGAGE FINANCE DMFI 2024 1A C                       | CUSIP: ACI2Q4LQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | NL        |     4302000 | PA      | $5082891.85    | 0.01%             | 2067-08-22      | Floating      | 3.48%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G08669 FG 09/45 FIXED 4                   | CUSIP: 3128MJW71<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3174 | PA      | $3060.03       | 0.00%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVESTORS INC 2006-FM1                                    | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 FM1 A2D            | CUSIP: 59021AAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2096663 | PA      | $998075.52     | 0.00%             | 2037-04-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM3613 FN 05/35 FIXED VAR                         | CUSIP: 3140X7AP4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      288868 | PA      | $281998.00     | 0.00%             | 2035-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RC1907 FR 02/36 FIXED 3.5                 | CUSIP: 3133L8DL6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       40776 | PA      | $39604.85      | 0.00%             | 2036-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2014-21                                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2014 21 WI               | CUSIP: 38378Y3A5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     8278329 | PA      | $904049.02     | 0.00%             | 2044-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ9315 FN 02/48 FIXED 3                           | CUSIP: 3140HBK56<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      263346 | PA      | $237417.49     | 0.00%             | 2048-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| RIPON HOLDCO FINANCING SARL                                                      | RIPONSPVASSETS 3MSONIA  + 0BP                               | CUSIP: 967BVF000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     8063465 | PA      | $10628116.44   | 0.02%             | 2056-08-20      | Floating      | 0.00%                 | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE7327 FN 04/47 FIXED 3                           | CUSIP: 3140FTD99<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       23933 | PA      | $21656.33      | 0.00%             | 2047-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD NOK BOUGHT USD 20251104                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |           1 | NC      | $0.00          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2003-A2                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2003 A2 3A1                  | CUSIP: 466247AZ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        1140 | PA      | $1107.28       | 0.00%             | 2033-11-25      | Floating      | 5.94%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN 2006-FF5                                                 | FIRST FRANKLIN MTG LOAN ASSET FFML 2006 FF5 2A3             | CUSIP: 32027EAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1633506 | PA      | $1606184.01    | 0.00%             | 2036-04-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL C55867 FG 02/30 FIXED 7.5                 | CUSIP: 31298SQU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          35 | PA      | $34.84         | 0.00%             | 2030-02-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 928481 FN 07/37 FIXED 6                           | CUSIP: 31412LRA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       40807 | PA      | $43024.39      | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 903247 FN 10/36 FIXED 6                           | CUSIP: 31411BP80<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       21131 | PA      | $22211.56      | 0.00%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD IDR BOUGHT USD 20251015                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $4293.06       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-80                                                               | FANNIE MAE FNR 2007 80 FA                                   | CUSIP: 31396XEH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1497921 | PA      | $1494717.89    | 0.00%             | 2037-08-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 694376 FN 03/33 FLOATING VAR                      | CUSIP: 31400QMZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       10935 | PA      | $11126.34      | 0.00%             | 2033-03-01      | Floating      | 6.57%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 795297 FN 07/44 FLOATING VAR                      | CUSIP: 31405PRS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       67200 | PA      | $67667.25      | 0.00%             | 2044-07-01      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| CHEVY CHASE MORTGAGE FUND CORP 2005-2A                                           | CHEVY CHASE MORTGAGE FUNDING C CCMFC 2005 2A A1 144A        | CUSIP: 16678RDK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      259351 | PA      | $249307.60     | 0.00%             | 2036-05-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G04626 FG 05/31 FIXED 6                   | CUSIP: 3128M6PK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         182 | PA      | $186.80        | 0.00%             | 2031-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AX7244 FN 11/29 FIXED 3.5                         | CUSIP: 3138Y9BN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       78458 | PA      | $77561.23      | 0.00%             | 2029-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| EMPIRE STATE DEVELOPMENT CORPORATION                                             | NEW YORK ST URBAN DEV CORP REV NYSDEV 03/34 FIXED 2.277     | CUSIP: 650036BC9<br>LEI: 54930039Y2EMGXN6LM88 | Long             | DBT              | MUN               | US        |    19000000 | PA      | $16239594.50   | 0.04%             | 2034-03-15      | Fixed         | 2.28%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA8266 G2 09/52 FIXED 3.5                      | CUSIP: 36179XFF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    49572359 | PA      | $45408698.11   | 0.10%             | 2052-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY IXIS REAL ESTATE CAPITAL TRUST 2006-1                             | MORGAN STANLEY IXIS REAL ESTAT MSIX 2006 1 A3               | CUSIP: 61749QAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7675880 | PA      | $3002660.09    | 0.01%             | 2036-07-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $1802455.79    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AH6772 FN 03/41 FIXED 5                           | CUSIP: 3138A8Q25<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       24904 | PA      | $25123.87      | 0.00%             | 2041-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 505334 GN 01/30 FIXED 7.5                         | CUSIP: 36210XLP0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         307 | PA      | $308.34        | 0.00%             | 2030-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUND CORP 2006-5                                                 | BANC OF AMERICA FUNDING CORPOR BAFC 2006 5 3A4              | CUSIP: 05950NBH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      374650 | PA      | $351173.78     | 0.00%             | 2036-09-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| INDYMAC IMJA MORTGAGE LN TR 2007-A3                                              | INDYMAC IMJA MORTGAGE LOAN TRU IMJA 2007 A3 A1              | CUSIP: 456669AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      887914 | PA      | $348610.75     | 0.00%             | 2037-11-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AX7220 FN 11/29 FIXED 3.5                         | CUSIP: 3138Y9AW8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      329945 | PA      | $325888.55     | 0.00%             | 2029-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| OMEGA HEALTHCARE INVESTORS INC                                                   | OMEGA HLTHCARE INVESTORS COMPANY GUAR 02/31 3.375           | CUSIP: 681936BM1<br>LEI: 549300OJ7ENK42CZ8E73 | Long             | DBT              | CORP              | US        |    21990000 | PA      | $20418633.08   | 0.04%             | 2031-02-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AR4430 FN 03/43 FIXED 3                           | CUSIP: 3138W14Q7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       48590 | PA      | $44726.69      | 0.00%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZA2710 FR 04/27 FIXED 3                   | CUSIP: 31329LAK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       28651 | PA      | $28402.01      | 0.00%             | 2027-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TR 2006-WF2                                              | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 WF2 A2E            | CUSIP: 17309BAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1970617 | PA      | $707654.70     | 0.00%             | 2036-05-25      | Variable      | 6.85%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 984832 FN 07/38 FIXED 5.5                         | CUSIP: 31415PA99<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       24877 | PA      | $25807.13      | 0.00%             | 2038-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 885395 FN 06/36 FIXED 6                           | CUSIP: 31410CUU4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         541 | PA      | $556.50        | 0.00%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2009-12                                                               | FANNIE MAE FNR 2009 12 LK                                   | CUSIP: 31397NKP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         363 | PA      | $410.34        | 0.00%             | 2039-03-25      | Variable      | 14.03%                | No            |                  2 | On Loan: No      |
| UNITED AIRLINES 2014-1 CLASS A PASS THROUGH TRUST                                | UNITED AIR 2014 1 A PTT PASS THRU CE 10/27 4                | CUSIP: 90932PAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1775682 | PA      | $1772398.83    | 0.00%             | 2027-10-11      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 778753 GN 01/42 FIXED 3.5                         | CUSIP: 36176W5N7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       34093 | PA      | $32018.48      | 0.00%             | 2042-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 735060 FN 11/34 FIXED VAR                         | CUSIP: 31402QTR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         248 | PA      | $257.99        | 0.00%             | 2034-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 255844 FN 09/35 FIXED 6                           | CUSIP: 31371MER4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       53865 | PA      | $56788.44      | 0.00%             | 2035-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                     | BARCLAYS PLC BARCLAYS PLC                                   | CUSIP: 06738ECR4<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    16500000 | PA      | $17146405.16   | 0.04%             | 2030-03-12      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| NOVASTAR HOME EQUITY LOAN 2006-5                                                 | NOVASTAR HOME EQUITY LOAN NHEL 2006 5 A2C                   | CUSIP: 66988YAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7873498 | PA      | $2438343.75    | 0.01%             | 2036-11-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL0484 FN 05/40 FIXED VAR                         | CUSIP: 3138EGRE6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       46393 | PA      | $48184.94      | 0.00%             | 2040-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3283 FN 02/33 FIXED 3                           | CUSIP: 31418CUH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      270921 | PA      | $264102.80     | 0.00%             | 2033-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UNIVERSITY OF CALIFORNIA                                                         | UNIV OF CALIFORNIA CA REVENUES UNVHGR 05/12 FIXED 4.858     | CUSIP: 91412GHA6<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     6770000 | PA      | $5755119.46    | 0.01%             | 2112-05-15      | Fixed         | 4.86%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS1867 FN 03/29 FIXED 3.5                         | CUSIP: 3138WBCD5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       12646 | PA      | $12516.20      | 0.00%             | 2029-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CHASEFLEX TRUST 2005-2                                                           | CHASEFLEX TRUST CFLX 2005 2 3A2                             | CUSIP: 16165TBC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1296913 | PA      | $549255.69     | 0.00%             | 2035-06-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| THORNBURG MORTGAGE SECURITIES TR 2006-4                                          | THORNBURG MORTGAGE SECURITIES TMST 2006 4 A2B               | CUSIP: 88522AAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    17427395 | PA      | $13977577.77   | 0.03%             | 2036-07-25      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| BARROW FUNDING PLC 1A                                                            | BARROW FUNDING PLC BARRO 1A A 144A                          | CUSIP: ACI2P7WZ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |   145029411 | PA      | $195335687.36  | 0.43%             | 2062-11-16      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| ALASKA AIRLINES 2020-1 CLASS A PASS THROUGH TRUST                                | ALASKA AIRLINES 2020 TR PASS THRU CE 144A 02/29 4.8         | CUSIP: 01166VAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    11441839 | PA      | $11468371.25   | 0.03%             | 2029-02-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-A                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2006 A 3A2              | CUSIP: 058927AG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      838403 | PA      | $756812.44     | 0.00%             | 2036-02-20      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| AEGIS ASSET BACKED SECURITIES TRUST 2005-2                                       | AEGIS ASSET BACKED SECURITIES AABST 2005 2 M3               | CUSIP: 00764MFD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1155020 | PA      | $1111467.97    | 0.00%             | 2035-06-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AU0163 FN 06/43 FIXED 3                           | CUSIP: 3138WZFD9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        8044 | PA      | $7431.99       | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 736997 FN 11/33 FIXED 6                           | CUSIP: 31402SX28<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3313 | PA      | $3384.74       | 0.00%             | 2033-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ABU DHABI GOVT                                                                   | ABU DHABI GOVT INT L SR UNSECURED 144A 04/30 3.125          | CUSIP: 29135LAH3<br>LEI: 213800FER4348CINTA77 | Long             | DBT              | NUSS              | AE        |     1600000 | PA      | $1556521.02    | 0.00%             | 2030-04-16      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CAN 10YR BOND FUT DEC25 XMOD 20251218                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |        5710 | NC      | $10422329.17   | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A6                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2006 A6 1A2                  | CUSIP: 46628BAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      410938 | PA      | $286741.95     | 0.00%             | 2036-10-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317UAM1A0 PIMCO SWAPTION 3.85 PUT USD 20251027              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -64000000 | NC      | $-108742.40    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FS3097 FN 10/52 FIXED VAR                         | CUSIP: 3140XJNP4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    30272826 | PA      | $28989216.46   | 0.06%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM3340 FN 05/35 FIXED VAR                         | CUSIP: 3140X6WA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      686708 | PA      | $675614.76     | 0.00%             | 2035-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2005-A8                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2005 A8 2A3                  | CUSIP: 466247YP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      401673 | PA      | $327473.85     | 0.00%             | 2035-11-25      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AE4704 FN 09/30 FIXED 4.5                         | CUSIP: 31419FGN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2082 | PA      | $2086.10       | 0.00%             | 2030-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8362 FR 09/53 FIXED 5.5                 | CUSIP: 3132DWJF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     6369787 | PA      | $6437985.47    | 0.01%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AI0589 FN 05/41 FIXED 5.5                         | CUSIP: 3138ADUP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        7509 | PA      | $7770.99       | 0.00%             | 2041-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 780840 G2 07/28 FIXED 8.5                      | CUSIP: 36225A4Z0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         485 | PA      | $488.56        | 0.00%             | 2028-07-20      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR ACCEPTANCE CORPORATION                                              | NISSAN MOTOR ACCEPTANCE SR UNSECURED 144A 03/28 2.75        | CUSIP: 654740BT5<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |     8550000 | PA      | $8028889.47    | 0.02%             | 2028-03-09      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 002947 G2 07/30 FIXED 8.5                      | CUSIP: 36202DHY0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         233 | PA      | $244.10        | 0.00%             | 2030-07-20      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2107                                                                 | FREDDIE MAC FHR 2107 G                                      | CUSIP: 3133TGZG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       44890 | PA      | $44992.00      | 0.00%             | 2028-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2023-1A                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2023 1A C 144A          | CUSIP: 21055PAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     9581530 | PA      | $9962769.63    | 0.02%             | 2053-11-25      | Fixed         | 7.40%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH6165 FN 07/47 FIXED 4                           | CUSIP: 3140GUZ75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       15758 | PA      | $15163.67      | 0.00%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT EUR SOLD USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $17212.91      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | CDX ITRAXX XOV42 5Y 35-100% SP GST                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |           1 | NC      | $17420171.39   | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS3892 FN 11/44 FIXED 4                           | CUSIP: 3138WDKE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       12212 | PA      | $11770.22      | 0.00%             | 2044-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | AES CORPORATION SNR S* ICE                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $126455.92     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC6502 FN 05/46 FIXED 4                           | CUSIP: 3140F2GL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      147630 | PA      | $142338.03     | 0.00%             | 2046-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2083                                                                 | FREDDIE MAC FHR 2083 ZA                                     | CUSIP: 3133TEWF7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       63654 | PA      | $64502.26      | 0.00%             | 2028-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                      | BNP PARIBAS 144A 04/32 VAR                                  | CUSIP: 09659W2P8<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |     5800000 | PA      | $5272024.03    | 0.01%             | 2032-04-19      | Floating      | 2.87%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL2940 FN 11/27 FIXED VAR                         | CUSIP: 3138EKHS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       20679 | PA      | $20544.82      | 0.00%             | 2027-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-5447412.20   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL C91284 FG 01/30 FIXED 4.5                 | CUSIP: 3128P7M91<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       13488 | PA      | $13587.90      | 0.00%             | 2030-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 802714 FN 09/34 FLOATING VAR                      | CUSIP: 31405XYK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       28722 | PA      | $29206.00      | 0.00%             | 2034-09-01      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AK3670 FN 12/41 FIXED 4                           | CUSIP: 3138E8CG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       11892 | PA      | $11567.32      | 0.00%             | 2041-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD9464 FN 11/46 FIXED 4                           | CUSIP: 3140FHQS9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      100403 | PA      | $96568.70      | 0.00%             | 2046-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-18CB                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 18CB 2A25         | CUSIP: 02151NBH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4283160 | PA      | $2517886.91    | 0.01%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL BC3794 GN 10/47 FIXED 3.5                         | CUSIP: 3617B7GB0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      298389 | PA      | $274291.40     | 0.00%             | 2047-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PROTEUS RMBS DAC 1A                                                              | PROTEUS RMBS DAC PROTE 1A ER 144A                           | CUSIP: ACI1747N0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |     9482000 | PA      | $10779452.94   | 0.02%             | 2054-10-29      | Floating      | 6.47%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AE5293 FN 09/39 FIXED 5                           | CUSIP: 31419F3B0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        6648 | PA      | $6744.65       | 0.00%             | 2039-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 994013 FN 10/39 FIXED 4                           | CUSIP: 31416AGW4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       84426 | PA      | $82576.28      | 0.00%             | 2039-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ0639 FN 03/48 FIXED 4                           | CUSIP: 3140H1V98<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      236571 | PA      | $227475.61     | 0.00%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 781703 GN 02/34 FIXED 5                           | CUSIP: 36225B3L0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2962 | PA      | $3023.23       | 0.00%             | 2034-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                 | T MOBILE USA INC COMPANY GUAR 02/26 1.5                     | CUSIP: 87264ABZ7<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    21400000 | PA      | $21180584.30   | 0.05%             | 2026-02-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT NOK SOLD USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |           1 | NC      | $-0.01         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20251015                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-225461.13    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIES 2006-KS4                                            | RESIDENTIAL ASSET SECURITIES C RASC 2006 KS4 M2             | CUSIP: 75406EAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    10265074 | PA      | $10178460.95   | 0.02%             | 2036-06-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 373358 FN 03/27 FIXED 7.5                         | CUSIP: 31377CWT6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         176 | PA      | $176.48        | 0.00%             | 2027-03-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT GBP SOLD USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $6647.90       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOFI CONSUMER LOAN PROGRAM 2025-A TRUST                                          | SOFI CONSUMER LOAN PROGRAM TRU SCLP 2025 A B 144A           | CUSIP: 83407UAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     3796000 | PA      | $3850272.66    | 0.01%             | 2034-03-27      | Fixed         | 5.25%                 | No            |                  3 | On Loan: No      |
| NEW CENTURY HOME EQUITY LOAN TRUST 2003-2                                        | NEW CENTURY HOME EQUITY LOAN T NCHET 2003 2 M2              | CUSIP: 64352VCS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1077281 | PA      | $940616.63     | 0.00%             | 2033-01-25      | Floating      | 7.27%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZK2700 FR 11/25 FIXED 3.5                 | CUSIP: 3131X57M8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         745 | PA      | $742.39        | 0.00%             | 2025-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 844552 FN 12/35 FIXED 6                           | CUSIP: 31407YH51<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         918 | PA      | $956.90        | 0.00%             | 2035-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 844435 FN 11/35 FIXED 6                           | CUSIP: 31407YEG0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        9696 | PA      | $9995.54       | 0.00%             | 2035-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF8552 FR 03/53 FIXED 5.5                 | CUSIP: 3133BWQD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       78054 | PA      | $79166.86      | 0.00%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 725690 FN 08/34 FIXED VAR                         | CUSIP: 31402DF70<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3409 | PA      | $3552.05       | 0.00%             | 2034-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QG7630 FR 08/53 FIXED 5.5                 | CUSIP: 3133C8PP4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      844681 | PA      | $852909.04     | 0.00%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE TRUST-2005-3AR                                           | MORGAN STANLEY MORTGAGE LOAN T MSM 2005 3AR 2A2             | CUSIP: 61745M4P5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      126500 | PA      | $113206.00     | 0.00%             | 2035-07-25      | Floating      | 3.58%                 | No            |                  2 | On Loan: No      |
| WARWICK FINANCE RESIDENTIAL MORTGAGES 3A                                         | WARWICK FINANCE RESIDENTIAL MO WARW 3A C 144A               | CUSIP: ACI0Y9KH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    11648000 | PA      | $15688887.10   | 0.03%             | 2049-12-21      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G04614 FG 02/34 FIXED 6                   | CUSIP: 3128M6N79<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        7043 | PA      | $7305.70       | 0.00%             | 2034-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 004772 G2 08/40 FIXED 5                        | CUSIP: 36202FJR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       69891 | PA      | $71524.84      | 0.00%             | 2040-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| NYO COMMERCIAL MORTGAGE TRUST 2021-1290                                          | NYO COMMERCIAL MORTGAGE TRUST NYO 2021 1290 A 144A          | CUSIP: 62955HAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   114370000 | PA      | $114070133.30  | 0.25%             | 2038-11-15      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QG3358 FR 05/53 FIXED 5                   | CUSIP: 3133C3WT9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2093521 | PA      | $2099468.31    | 0.00%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 872489 FN 06/36 FIXED 6                           | CUSIP: 31409JKA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         249 | PA      | $262.09        | 0.00%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 887378 FN 07/36 FIXED 6                           | CUSIP: 31410E2K3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1829 | PA      | $1886.17       | 0.00%             | 2036-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-D                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2006 D 5A1              | CUSIP: 058933AN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      252103 | PA      | $217122.26     | 0.00%             | 2036-05-20      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 877000 FN 06/35 FLOATING VAR                      | CUSIP: 31409SKM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       49133 | PA      | $50648.10      | 0.00%             | 2035-06-01      | Floating      | 6.26%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 783386 GN 09/40 FIXED 5                           | CUSIP: 36241LXP6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4380 | PA      | $4488.82       | 0.00%             | 2040-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 901486 FN 11/36 FIXED 6                           | CUSIP: 31410YRF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       23334 | PA      | $24085.92      | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FS0124 FN 01/52 FIXED VAR                         | CUSIP: 3140XFD65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1512583 | PA      | $1331725.24    | 0.00%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A1                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2006 A1 2A4                  | CUSIP: 466247E90<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4546939 | PA      | $3154246.46    | 0.01%             | 2036-02-25      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-51                                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 51 2A1            | CUSIP: 12668ACP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        4881 | PA      | $4564.03       | 0.00%             | 2035-11-20      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2021-12                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2021 12 A13 144A             | CUSIP: 46592WBM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7633556 | PA      | $6351331.63    | 0.01%             | 2052-02-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 684200 FN 01/33 FIXED 6                           | CUSIP: 31400DDD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         456 | PA      | $466.15        | 0.00%             | 2033-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                                                | NATWEST GROUP PLC SR UNSECURED 05/29 VAR                    | CUSIP: 780097BG5<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    14600000 | PA      | $14835898.92   | 0.03%             | 2029-05-18      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-ADV TRUST                                                              | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 ADV A 144A           | CUSIP: 12660WAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4800000 | PA      | $4372926.24    | 0.01%             | 2038-07-15      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| DIGITAL REALTY TRUST LP                                                          | DIGITAL REALTY TRUST LP COMPANY GUAR 07/28 4.45             | CUSIP: 25389JAT3<br>LEI: CD4SPTZ3YBTHY0C1AH38 | Long             | DBT              | CORP              | US        |    43490000 | PA      | $43832070.16   | 0.10%             | 2028-07-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| SAUDI ARABIA GOVT                                                                | SAUDI INTERNATIONAL BOND SR UNSECURED 144A 01/28 5.125      | CUSIP: 80413TBJ7<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |    37900000 | PA      | $38733856.47   | 0.09%             | 2028-01-13      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                     | ROMANIA SR UNSECURED 144A 09/34 6.25                        | CUSIP: ACI2TMX47<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     5700000 | PA      | $6906235.62    | 0.02%             | 2034-09-10      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 538254 GN 10/31 FIXED 7.5                         | CUSIP: 36212M5P0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         960 | PA      | $960.50        | 0.00%             | 2031-10-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 756459 FN 10/33 FIXED 5                           | CUSIP: 31403SMG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2558 | PA      | $2582.30       | 0.00%             | 2033-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20251113                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $1555.28       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BMW US CAPITAL LLC                                                               | BMW US CAPITAL LLC COMPANY GUAR 144A 03/27 VAR              | CUSIP: 05565ECV5<br>LEI: KK5MZM9DIXLXZL9DZL15 | Long             | DBT              | CORP              | US        |    22600000 | PA      | $22705909.70   | 0.05%             | 2027-03-19      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 783587 GN 06/42 FIXED 3.5                         | CUSIP: 36241L6Y7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       93683 | PA      | $87818.34      | 0.00%             | 2042-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA4847 FN 11/52 FIXED 6                           | CUSIP: 31418EL57<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      339074 | PA      | $348401.02     | 0.00%             | 2052-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HUDSON PACIFIC PROPERTIES LP                                                     | HUDSON PACIFIC PROPERTIE COMPANY GUAR 11/27 3.95            | CUSIP: 44409MAA4<br>LEI: 5493007NTUGLGZ8T3526 | Long             | DBT              | CORP              | US        |     4400000 | PA      | $4236901.68    | 0.01%             | 2027-11-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA4894 FN 01/53 FIXED 6                           | CUSIP: 31418ENL0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      145367 | PA      | $149028.77     | 0.00%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3153                                                          | FREDDIE MAC FHR 3153 EF                                     | CUSIP: 31396RKK2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      167003 | PA      | $166154.49     | 0.00%             | 2036-05-15      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 545191 FN 09/31 FIXED VAR                         | CUSIP: 31385HUQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         396 | PA      | $407.19        | 0.00%             | 2031-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | AES CORPORATION SNR S* ICE                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $27611.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 985499 FN 08/38 FIXED 6                           | CUSIP: 31415PX45<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       86920 | PA      | $90055.45      | 0.00%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-2530                                                                 | FREDDIE MAC FHR 2530 FD                                     | CUSIP: 31393F7B6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2549 | PA      | $2541.24       | 0.00%             | 2032-02-15      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BM1877 FN 10/47 FIXED VAR                         | CUSIP: 3140J6CP0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      723690 | PA      | $696053.08     | 0.00%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-16                                                   | COUNTRYWIDE HOME LOANS CWHL 2005 16 A5                      | CUSIP: 12669G2X8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       10035 | PA      | $6072.74       | 0.00%             | 2035-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD IDR BOUGHT USD 20251006                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $26464.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE GRANTOR TRUST 2001-T8                                                 | FANNIEMAE GRANTOR TRUST FNGT 2001 T8 A1                     | CUSIP: 313920UK4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       11922 | PA      | $12183.12      | 0.00%             | 2041-07-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| SOUND POINT CLO LTD 2018-2A                                                      | SOUND POINT CLO LTD SNDPT 2018 2A A 144A                    | CUSIP: 83611JAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1869997 | PA      | $1872616.37    | 0.00%             | 2031-07-26      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3333 FN 04/48 FIXED 4                           | CUSIP: 31418CV35<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       14644 | PA      | $14079.67      | 0.00%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 254377 FN 07/32 FIXED 6                           | CUSIP: 31371KQ61<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         155 | PA      | $159.97        | 0.00%             | 2032-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                | HSBC HLDGS PLC SR GLBL 03/30 1                              | CUSIP: 404280ED7<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    15800000 | PA      | $16397873.11   | 0.04%             | 2030-03-04      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| JYSKE REALKREDIT A/S                                                             | JYSKE REALKREDIT A/S COVERED 10/53 1.5                      | CUSIP: ACI1W77N5<br>LEI: 529900R9HQNZRT2OXB26 | Long             | DBT              | CORP              | DK        |           2 | PA      | $0.22          | 0.00%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB6841 FN 08/53 FIXED 5                           | CUSIP: 3140QSS77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       77376 | PA      | $77399.74      | 0.00%             | 2053-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A2                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2006 A2 2A1                  | CUSIP: 466247J46<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      767018 | PA      | $668110.28     | 0.00%             | 2036-04-25      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| DISH DBS CORPORATION                                                             | DISH DBS CORP SR SECURED 144A 12/26 5.25                    | CUSIP: 25470XBE4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     3400000 | PA      | $3343676.62    | 0.01%             | 2026-12-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2005-7                                               | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 7 1A1             | CUSIP: 41161PPN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8581958 | PA      | $3853103.37    | 0.01%             | 2045-06-19      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CNH BOUGHT USD 20251016                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $5996.37       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM9850 FN 12/51 FIXED VAR                         | CUSIP: 3140XD5L6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1777492 | PA      | $1565913.32    | 0.00%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DB2745 FN 04/54 FIXED 5.5                         | CUSIP: 3140ACBP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       43159 | PA      | $43761.54      | 0.00%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | LONG GILT FUTURE  DEC25 IFLL 20251229                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |        2098 | NC      | $268778.99     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2573 FN 03/26 FIXED 3.5                         | CUSIP: 31418B2F2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1343 | PA      | $1337.90       | 0.00%             | 2026-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 781548 GN 11/32 FIXED 7                           | CUSIP: 36225BWH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         109 | PA      | $114.53        | 0.00%             | 2032-11-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 253735 FN 03/31 FIXED 7                           | CUSIP: 31371JY81<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1769 | PA      | $1773.83       | 0.00%             | 2031-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AT5900 FN 06/43 FIXED 3                           | CUSIP: 3138WTRW8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       37129 | PA      | $34153.33      | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                                 | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 08/35 6                 | CUSIP: 694308KX4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    11100000 | PA      | $11625766.60   | 0.03%             | 2035-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 896573 FN 06/36 FIXED 6                           | CUSIP: 31410TCJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       18167 | PA      | $18734.74      | 0.00%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-S2                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2006 S2 3A11                 | CUSIP: 46628YBN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2637059 | PA      | $807104.52     | 0.00%             | 2036-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 922070 FN 02/37 FIXED 6                           | CUSIP: 31412DMT2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        8103 | PA      | $8351.49       | 0.00%             | 2037-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS5666 FN 08/45 FIXED 4                           | CUSIP: 3138WFJL1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       31323 | PA      | $30167.83      | 0.00%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD JPY BOUGHT USD 20251104                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $-21913.49     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080022 G2 12/26 FLOATING VAR                   | CUSIP: 36225CAY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3519 | PA      | $3535.37       | 0.00%             | 2026-12-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 826818 FN 08/35 FIXED 6                           | CUSIP: 31407CSF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         837 | PA      | $864.90        | 0.00%             | 2035-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL C01220 FG 09/31 FIXED 6.5                 | CUSIP: 31292HK94<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2006 | PA      | $2087.93       | 0.00%             | 2031-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2004-AR13                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2004 AR13 A1B2          | CUSIP: 92922FB64<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      109592 | PA      | $106419.75     | 0.00%             | 2034-11-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL D98582 FG 04/31 FIXED 4.5                 | CUSIP: 3128E5RB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       26528 | PA      | $26620.52      | 0.00%             | 2031-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC-GNMA-56                                                                    | FHLMC GNMA FHG 56 Z                                         | CUSIP: 3133T7YG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         921 | PA      | $923.48        | 0.00%             | 2026-09-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AC5332 FN 11/29 FIXED 4.5                         | CUSIP: 31417Q4S0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       27568 | PA      | $27590.17      | 0.00%             | 2029-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| VIRGIN MEDIA (VMED O2 UK FINANCING I PLC)                                        | VMED O2 UK FINANCING I SR SECURED 144A 04/32 5.625          | CUSIP: ACI2NJDT7<br>LEI: 213800MRR46ECNGZ7L69 | Long             | DBT              | CORP              | GB        |    23400000 | PA      | $28267771.26   | 0.06%             | 2032-04-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 10                                                        | SEQUOIA MORTGAGE TRUST SEMT 10 2A1                          | CUSIP: 81743VAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        3830 | PA      | $3782.67       | 0.00%             | 2027-10-20      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                                         | LLOYDS BANKING GROUP PLC SR UNSECURED 03/28 4.375           | CUSIP: 539439AR0<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |     2300000 | PA      | $2309252.65    | 0.01%             | 2028-03-22      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| CVS PASS-THROUGH TRUST SERIES 2009                                               | CVS PASS THRU TR 2009 PASS THRU CE 144A 07/31 8.353         | CUSIP: 126659AA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      123424 | PA      | $134808.30     | 0.00%             | 2031-07-10      | Fixed         | 8.35%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI TRUST BANK LIMITED                                               | SUMITOMO MITSUI TR BK LT SUMITOMO MITSUI TR BK LT           | CUSIP: 86563VBP3<br>LEI: 5493006GGLR4BTEL8O61 | Long             | DBT              | CORP              | JP        |    10600000 | PA      | $10771121.74   | 0.02%             | 2027-03-07      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II TBA 30 YR 4 JUMBOS                                  | CUSIP: 21H0406B4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   318000000 | PA      | $298988722.98  | 0.66%             | 2055-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-3021                                                                 | FREDDIE MAC FHR 3021 LP                                     | CUSIP: 31395XEJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        8183 | PA      | $8479.66       | 0.00%             | 2033-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 821348 FN 05/35 FIXED 6                           | CUSIP: 31406VP91<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       19490 | PA      | $19912.97      | 0.00%             | 2035-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PEOPLES CHOICE HOME LOAN SECURITIES TRUST 2005-1                                 | PEOPLE S CHOICE HOME LOAN SECU PCHLT 2005 1 M4              | CUSIP: 71085PBN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      349462 | PA      | $343327.29     | 0.00%             | 2035-01-25      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB2173 FN 01/41 FIXED 4                           | CUSIP: 31416XMX5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      424465 | PA      | $413324.76     | 0.00%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 008927 G2 07/26 FLOATING VAR                   | CUSIP: 36202K4L6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1759 | PA      | $1765.24       | 0.00%             | 2026-07-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB1781 FN 11/25 FIXED 3.5                         | CUSIP: 31416W6T4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         682 | PA      | $679.83        | 0.00%             | 2025-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY9172 FN 09/53 FIXED 5.5                         | CUSIP: 3140NSFN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5347912 | PA      | $5418383.73    | 0.01%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                                | REPUBLIC OF SOUTH AFRICA SR UNSECURED 01/40 9               | CUSIP: ACI0GYHC9<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |   176780000 | PA      | $9373741.59    | 0.02%             | 2040-01-31      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MTGE SEC CORP 2004-AR4                                           | CREDIT SUISSE FIRST BOSTON MOR CSFB 2004 AR4 2A1            | CUSIP: 22541SEZ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      245137 | PA      | $246988.14     | 0.00%             | 2034-05-25      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AX2147 FN 10/29 FIXED 3.5                         | CUSIP: 3138Y3L58<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       43066 | PA      | $42568.61      | 0.00%             | 2029-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                                          | BPCE SA BPCE SA                                             | CUSIP: 05571AAR6<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    16700000 | PA      | $17736621.27   | 0.04%             | 2029-10-19      | Floating      | 6.71%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 479237 GN 03/30 FIXED 8.5                         | CUSIP: 36209RLS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         843 | PA      | $854.17        | 0.00%             | 2030-03-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2023-D                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2023 D D 144A            | CUSIP: 78450PAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     5450000 | PA      | $5932501.58    | 0.01%             | 2053-09-15      | Fixed         | 8.87%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AK6349 FN 03/27 FIXED 3.5                         | CUSIP: 3138EBBT1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       53246 | PA      | $52834.26      | 0.00%             | 2027-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BA5706 FN 01/46 FIXED 4                           | CUSIP: 3140EAKU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      128962 | PA      | $124058.30     | 0.00%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AD0527 FN 06/39 FIXED VAR                         | CUSIP: 31418MSR4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       62100 | PA      | $64473.62      | 0.00%             | 2039-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2061                                                                 | FREDDIE MAC FHR 2061 ZA                                     | CUSIP: 3133TEJY1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       49189 | PA      | $49259.69      | 0.00%             | 2028-06-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 002796 G2 08/29 FIXED 7                        | CUSIP: 36202DC90<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        7249 | PA      | $7457.68       | 0.00%             | 2029-08-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 922278 FN 12/36 FIXED 6                           | CUSIP: 31412DUB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       23722 | PA      | $24933.74      | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NELNET STUDENT LOAN TRUST 2025-CA                                                | NELNET STUDENT LOAN TRUST NSLT 2025 CA A1A 144A             | CUSIP: 64035UAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    32100000 | PA      | $32020690.53   | 0.07%             | 2065-06-22      | Fixed         | 4.67%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE INTERNATIONAL NV                                                    | ENEL FINANCE INTL NV COMPANY GUAR 144A 07/26 1.375          | CUSIP: 29278GAM0<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |    17400000 | PA      | $17058879.96   | 0.04%             | 2026-07-12      | Variable      | 1.62%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2007-AA3                                                          | BCAP LLC TRUST BCAP 2007 AA3 2A1A                           | CUSIP: 05530VAN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3018310 | PA      | $2768577.00    | 0.01%             | 2047-05-25      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 535922 FN 03/31 FIXED VAR                         | CUSIP: 31384WLB4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1451 | PA      | $1462.33       | 0.00%             | 2031-03-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4338                                                          | FREDDIE MAC FHR 4338 SB                                     | CUSIP: 3137BB7D6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1141357 | PA      | $66219.47      | 0.00%             | 2041-10-15      | Floating      | 2.01%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2023-4A                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2023 4A C 144A          | CUSIP: 21056DAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     3535925 | PA      | $3676764.06    | 0.01%             | 2053-11-25      | Fixed         | 7.40%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 893318 FN 08/36 FIXED 6.5                         | CUSIP: 31410PPB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         952 | PA      | $996.13        | 0.00%             | 2036-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 905334 FN 12/36 FIXED 6                           | CUSIP: 31411DY78<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       22656 | PA      | $23149.34      | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COMMERCIAL MORTGAGE PASS THRU CERTIFICATIONS 2016-COR1                           | COMM MORTGAGE TRUST COMM 2016 COR1 A4                       | CUSIP: 12594MBC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    10964000 | PA      | $10797417.37   | 0.02%             | 2049-10-10      | Fixed         | 3.09%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AQ7082 FN 01/43 FIXED 4                           | CUSIP: 3138MN2Q2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       14388 | PA      | $14006.28      | 0.00%             | 2043-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NATIONWIDE BUILDING SOCIETY                                                      | NATIONWIDE BLDG SOCIETY REGS 09/27 VAR                      | CUSIP: ACI2YB9M2<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |     2300000 | PA      | $3083702.10    | 0.01%             | 2027-09-03      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 559806 FN 10/30 FLOATING VAR                      | CUSIP: 31386C3P5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       22528 | PA      | $22685.88      | 0.00%             | 2030-10-01      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MB0143 G2 01/55 FIXED 3.5                      | CUSIP: 3618N5ER6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   110945721 | PA      | $101255078.43  | 0.22%             | 2055-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-20                                                   | COUNTRYWIDE HOME LOANS CWHL 2005 20 A6                      | CUSIP: 126694FD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      228646 | PA      | $136164.35     | 0.00%             | 2035-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ROUNDSTONE SECURITIES NO 2 DESIGNATED ACTIVITY CO 2A                             | ROUNDSTONE SECURITIES RNST 2A C 144A                        | CUSIP: ACI2NGCN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |    28988000 | PA      | $33940020.24   | 0.07%             | 2058-06-28      | Floating      | 3.18%                 | No            |                  2 | On Loan: No      |
| BANCO BILBAO VIZCAYA ARGENTARIA SA (BBVA)                                        | BANCO BILBAO VIZCAYA ARG SR UNSECURED 03/35 VAR             | CUSIP: 05946KAR2<br>LEI: K8MS7FD7N5Z2WQ51AZ71 | Long             | DBT              | CORP              | ES        |    11100000 | PA      | $11808001.29   | 0.03%             | 2035-03-13      | Floating      | 6.03%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 836328 FN 09/35 FLOATING VAR                      | CUSIP: 31407PD96<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      109861 | PA      | $111773.06     | 0.00%             | 2035-09-01      | Floating      | 6.51%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                             | JPMORGAN CHASE + CO SR UNSECURED 02/28 VAR                  | CUSIP: 46647PCW4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    39550000 | PA      | $38938075.68   | 0.09%             | 2028-02-24      | Floating      | 2.95%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AK1500 FN 03/27 FIXED 3.5                         | CUSIP: 3138E5U22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       76768 | PA      | $76186.65      | 0.00%             | 2027-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SECS-2005-L                                                 | BANC OF AMERICA MORTGAGE SECUR BOAMS 2005 L 2A4             | CUSIP: 05949CPK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      494874 | PA      | $452795.30     | 0.00%             | 2036-01-25      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 671331 GN 07/37 FIXED 5                           | CUSIP: 36295HY46<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        7418 | PA      | $7545.88       | 0.00%             | 2037-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MTGE SEC CORP 2002-AR21                                          | CREDIT SUISSE FIRST BOSTON MOR CSFB 2002 AR21 1A1           | CUSIP: 22540V4R0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        1033 | PA      | $868.81        | 0.00%             | 2032-06-25      | Floating      | 0.10%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 831740 FN 09/36 FIXED 6                           | CUSIP: 31407JBH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       45250 | PA      | $47362.64      | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC CORP 2006-EMX9                                             | RESIDENTIAL ASSET SECURITIES C RASC 2006 EMX9 1A3           | CUSIP: 74924VAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1222563 | PA      | $1146807.44    | 0.00%             | 2036-11-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2025-C                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2025 C C 144A            | CUSIP: 83208DAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     8500000 | PA      | $8384811.40    | 0.02%             | 2055-03-15      | Fixed         | 4.78%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR18                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR18 3A1           | CUSIP: 92922F8T8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1830126 | PA      | $1810722.00    | 0.00%             | 2036-01-25      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2006-NC2                                                             | GSAMP TRUST GSAMP 2006 NC2 A2D                              | CUSIP: 362463AE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3261433 | PA      | $1803807.69    | 0.00%             | 2036-06-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2018-RP2                                           | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2018 RP2 B2 144A        | CUSIP: 17326UAH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1400000 | PA      | $1158756.76    | 0.00%             | 2058-02-25      | Variable      | 3.08%                 | No            |                  2 | On Loan: No      |
| CPI PROPERTY GROUP SA                                                            | CPI PROPERTY GROUP SA SR UNSECURED REGS 01/30 1.75          | CUSIP: ACI22W842<br>LEI: 222100CO2ZOTEPGJO223 | Long             | DBT              | CORP              | LU        |    28900000 | PA      | $29680144.47   | 0.07%             | 2030-01-14      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| EFMT 2024-CES1                                                                   | ELLINGTON FINANCIAL MORTGAGE T EFMT 2024 CES1 A1 144A       | CUSIP: 281907AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2697760 | PA      | $2721130.32    | 0.01%             | 2060-01-26      | Fixed         | 5.52%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 688233 FN 02/33 FIXED 6                           | CUSIP: 31400HSW4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         278 | PA      | $289.86        | 0.00%             | 2033-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR10                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR10 3A3           | CUSIP: 93363EAK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3392942 | PA      | $3084477.01    | 0.01%             | 2046-08-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2004-1                               | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 1 12A2            | CUSIP: 07384MG55<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      324773 | PA      | $290980.16     | 0.00%             | 2034-04-25      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA6825 FN 04/40 FIXED 3.5                         | CUSIP: 3140QESP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      262742 | PA      | $252233.96     | 0.00%             | 2040-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 11/48 3.375                                 | CUSIP: 912810SE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   103100000 | PA      | $82850515.63   | 0.18%             | 2048-11-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE1                                            | MORGAN STANLEY CAPITAL INC MSAC 2007 HE1 A2D                | CUSIP: 617526AF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    11420626 | PA      | $6743131.77    | 0.01%             | 2036-11-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2006-W4                                                    | ARGENT SECURITIES INC. ARSI 2006 W4 A2D                     | CUSIP: 040104TH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    21507565 | PA      | $5158133.60    | 0.01%             | 2036-05-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 831811 FN 09/36 FIXED 6                           | CUSIP: 31407JDQ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       16675 | PA      | $17580.48      | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-19CB                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 19CB A15          | CUSIP: 02147QAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1390633 | PA      | $781499.07     | 0.00%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 900883 FN 01/37 FIXED 6                           | CUSIP: 31410X2Q8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       41943 | PA      | $43899.61      | 0.00%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317UABYA8 PIMCO SWAPTION 2.55 CALL EUR 2025100              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -43800000 | NC      | $-2391.19      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ5715 FN 04/33 FIXED 3                           | CUSIP: 3140H7K55<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      211093 | PA      | $205761.16     | 0.00%             | 2033-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20251110                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $2355339.10    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS  MTGE SEC INC 1997-6                                                | BEAR STEARNS MORTGAGE SECURITI BSMSI 1997 6 3A              | CUSIP: 073914WC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         327 | PA      | $327.65        | 0.00%             | 2030-06-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 772255 FN 11/33 FIXED 6                           | CUSIP: 31404L5Q9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         611 | PA      | $624.29        | 0.00%             | 2033-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| OLD REPUBLIC INTERNATIONAL CORPORATION                                           | OLD REPUBLIC INTL CORP SR UNSECURED 08/26 3.875             | CUSIP: 680223AK0<br>LEI: 549300IV6O2YY2A1KH37 | Long             | DBT              | CORP              | US        |     2850000 | PA      | $2840100.61    | 0.01%             | 2026-08-26      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2405 FN 09/45 FIXED 4                           | CUSIP: 31418BU79<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1398757 | PA      | $1346873.67    | 0.00%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA0586 FN 12/25 FIXED 3.5                         | CUSIP: 31417YUL9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1765 | PA      | $1759.34       | 0.00%             | 2025-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BA2010 FN 11/45 FIXED 4                           | CUSIP: 3140E6GU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      236763 | PA      | $226940.16     | 0.00%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS5942 FN 10/45 FIXED 4                           | CUSIP: 3138WFS80<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3560135 | PA      | $3427344.65    | 0.01%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD IDR BOUGHT USD 20251008                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $5416.87       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AE8426 FN 11/25 FIXED 3.5                         | CUSIP: 31419KLG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         174 | PA      | $173.71        | 0.00%             | 2025-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.6766* 03/01/24-7Y* LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-768267.01    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                             | JPMORGAN CHASE + CO SR UNSECURED 10/27 VAR                  | CUSIP: 46647PDW3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    20464000 | PA      | $20874580.49   | 0.05%             | 2027-10-22      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080388 G2 03/30 FLOATING VAR                   | CUSIP: 36225CNE2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       27499 | PA      | $27668.78      | 0.00%             | 2030-03-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION H03                                     | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H03 FA              | CUSIP: 38382YR21<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    54918706 | PA      | $55177225.25   | 0.12%             | 2073-02-20      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | COLOMBIA LA SP JPM                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $6732.18       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-61                                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 61 2A1            | CUSIP: 12668AVP7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       12755 | PA      | $11999.38      | 0.00%             | 2035-12-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3236                                                                 | FREDDIE MAC FHR 3236 IS                                     | CUSIP: 31397CB73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2297128 | PA      | $209662.74     | 0.00%             | 2036-11-15      | Floating      | 2.16%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2007-WMC1                                          | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 WMC1 3A2           | CUSIP: 83612NAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7599078 | PA      | $2033087.08    | 0.00%             | 2037-02-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| RNHB BV                                                                          | RNHB B.V. GALIBIER DPF211 RR                                | CUSIP: ACI2QBKJ5<br>LEI: 724500YGUK3ZCLGPE353 | Long             | DBT              | CORP              | NL        |     2222070 | PA      | $2593925.72    | 0.01%             | 2026-07-28      | Variable      | 0.00%                 | No            |                  3 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF9944 FR 03/53 FIXED 6                   | CUSIP: 3133BYBM0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      365856 | PA      | $375407.19     | 0.00%             | 2053-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 832741 FN 09/35 FIXED 6                           | CUSIP: 31407KEN5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4339 | PA      | $4546.84       | 0.00%             | 2035-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2021-13                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2021 13 A12 144A             | CUSIP: 46592XBL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    16608862 | PA      | $16377181.29   | 0.04%             | 2052-04-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| LENDMARK FUNDING TRUST 2021-1A                                                   | LENDMARK FUNDING TRUST LFT 2021 1A A 144A                   | CUSIP: 52607MAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      750000 | PA      | $726491.48     | 0.00%             | 2031-11-20      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| CBL & ASSOCIATES PROPERTIES INC                                                  | CBL + ASSOCIATES PROPERTIES REIT USD.01                     | CUSIP: 124830878<br>LEI: 529900EIVFBRS4PUBZ13 | Long             | EC               | CORP              | US        |       26809 | NS      | $819819.22     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2007-CH3                                              | JP MORGAN MORTGAGE ACQUISITION JPMAC 2007 CH3 A5            | CUSIP: 46630XAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1152217 | PA      | $1143114.65    | 0.00%             | 2037-03-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 267                                                           | FREDDIEMAC STRIP FHS 267 S5                                 | CUSIP: 31325TN96<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     8773834 | PA      | $930497.76     | 0.00%             | 2042-08-15      | Floating      | 1.51%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-2                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 2 1A4              | CUSIP: 17307GRE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      176168 | PA      | $169956.20     | 0.00%             | 2035-05-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MTGE LOAN TRUST 2004-10                                               | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2004 10 1A1            | CUSIP: 41161PJH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       26598 | PA      | $24894.30      | 0.00%             | 2035-01-19      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3313 FN 03/33 FIXED 3.5                         | CUSIP: 31418CVF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      525043 | PA      | $518303.17     | 0.00%             | 2033-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $3740.01       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA MTGE SEC 2004-F                                                  | BANC OF AMERICA MORTGAGE SECUR BOAMS 2004 F 1A1             | CUSIP: 05949AHR4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       19716 | PA      | $19063.46      | 0.00%             | 2034-07-25      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 917595 FN 04/37 FIXED 6                           | CUSIP: 31411XNL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       21914 | PA      | $23003.85      | 0.00%             | 2037-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS6406 FN 12/45 FIXED 4                           | CUSIP: 3138WGDL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       21962 | PA      | $21129.63      | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 884823 FN 06/36 FIXED 6                           | CUSIP: 31410CAY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       11124 | PA      | $11567.50      | 0.00%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q29279 FG 10/44 FIXED 4.5                 | CUSIP: 3132M96Q2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       24015 | PA      | $23715.45      | 0.00%             | 2044-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 937645 FN 06/37 FIXED 6                           | CUSIP: 31412XES9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3851 | PA      | $4048.31       | 0.00%             | 2037-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2003-3                                             | BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 3 3A2             | CUSIP: 07384MUR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      122885 | PA      | $117995.18     | 0.00%             | 2033-05-25      | Floating      | 6.64%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20251031                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $-347271.94    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TOBACCO SETTLEMENT FINANCE AUTHORITY                                             | TOBACCO SETTLEMENT FIN AUTH WV TOBGEN 06/31 FIXED 2.951     | CUSIP: 88880LAN3<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     1630000 | PA      | $1483829.10    | 0.00%             | 2031-06-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | COLOMBIA LA SP MYC                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $-5221.78      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                     | UBS GROUP AG SR UNSECURED REGS 06/27 VAR                    | CUSIP: BJ5FX5II4<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     1500000 | PA      | $1744446.28    | 0.00%             | 2027-06-24      | Floating      | 1.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AK6788 FN 03/27 FIXED 3.5                         | CUSIP: 3138EBRJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1620 | PA      | $1608.23       | 0.00%             | 2027-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 670219 GN 03/38 FIXED 5                           | CUSIP: 36295GSG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        6329 | PA      | $6419.37       | 0.00%             | 2038-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 910855 FN 06/37 FIXED 6                           | CUSIP: 31411K5Q2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       30427 | PA      | $31441.93      | 0.00%             | 2037-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA0612 FN 11/30 FIXED 5                           | CUSIP: 31417YVE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1800 | PA      | $1818.76       | 0.00%             | 2030-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AHL3                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AHL3 A3C           | CUSIP: 17312GAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2829905 | PA      | $1987569.20    | 0.00%             | 2045-07-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 1G0546 FH 05/35 FLOATING VAR              | CUSIP: 3128NCTB0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      382785 | PA      | $390981.82     | 0.00%             | 2035-05-01      | Floating      | 6.52%                 | No            |                  2 | On Loan: No      |
| PERFORMER FUNDING 1 PLC 1A                                                       | PERFORMER FUNDING PERFF 1A D 144A                           | CUSIP: ACI2M1B02<br>LEI: N/A                  | Long             | ABS-O            | CORP              | GB        |    14400000 | PA      | $19690980.84   | 0.04%             | 2035-06-21      | Floating      | 7.97%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB2302 FN 02/26 FIXED 3.5                         | CUSIP: 31416XRY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       39267 | PA      | $39107.03      | 0.00%             | 2026-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 002218 G2 05/26 FIXED 7.5                      | CUSIP: 36202CPB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          76 | PA      | $75.70         | 0.00%             | 2026-05-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 630971 GN 08/34 FIXED 6                           | CUSIP: 36291K6G7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5169 | PA      | $5338.43       | 0.00%             | 2034-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 31750R8V2 PIMCO FXVAN PUT AUD USD 0.61750000                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |   121700000 | NC      | $161.06        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 897135 FN 09/36 FIXED 6                           | CUSIP: 31410TV44<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       21262 | PA      | $21972.49      | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                 | T MOBILE USA INC COMPANY GUAR 02/28 2.05                    | CUSIP: 87264ACA1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     1000000 | PA      | $953552.53     | 0.00%             | 2028-02-15      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 008746 G2 11/25 FLOATING VAR                   | CUSIP: 36202KWF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         614 | PA      | $613.05        | 0.00%             | 2025-11-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BK5151 FN 05/33 FIXED 3                           | CUSIP: 3140HJWM9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      716329 | PA      | $698125.34     | 0.00%             | 2033-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZK2912 FR 01/26 FIXED 3.5                 | CUSIP: 3131X6GV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        7650 | PA      | $7621.18       | 0.00%             | 2026-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20251017                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-64883.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TWD SOLD USD 20251020                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $29396.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2006-HE6                                                             | GSAMP TRUST GSAMP 2006 HE6 A4                               | CUSIP: 36245AAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1290581 | PA      | $1109266.32    | 0.00%             | 2036-08-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20251017                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $-35916.21     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20251204                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $21203.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 890395 FN 02/26 FIXED VAR                         | CUSIP: 31410LGC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       43861 | PA      | $43696.41      | 0.00%             | 2026-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 256045 FN 12/25 FIXED 5                           | CUSIP: 31371ML21<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         186 | PA      | $185.09        | 0.00%             | 2025-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 535909 FN 05/31 FIXED VAR                         | CUSIP: 31384WKW9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         349 | PA      | $362.34        | 0.00%             | 2031-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4182                                                          | FREDDIE MAC FHR 4182 HF                                     | CUSIP: 3137B0WL4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      297944 | PA      | $284004.40     | 0.00%             | 2043-03-15      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZT2021 FR 05/34 FIXED 3.5                 | CUSIP: 3132AEG67<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      288452 | PA      | $284362.18     | 0.00%             | 2034-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 31750R9N9 PIMCO FXVAN PUT EUR USD 1.12900000                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | LU        |   215353000 | NC      | $7585.06       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 726951 FN 08/33 FIXED 5                           | CUSIP: 31402ETG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        8977 | PA      | $9107.87       | 0.00%             | 2033-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| RMAC SECURITIES PLC 2006-NS1X                                                    | RMAC SECURITIES PLC RMACS 2006 NS1X A2C REGS                | CUSIP: B11W7VII2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      935370 | PA      | $1078954.33    | 0.00%             | 2044-06-12      | Floating      | 2.18%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080298 G2 07/29 FLOATING VAR                   | CUSIP: 36225CKL9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1218 | PA      | $1222.87       | 0.00%             | 2029-07-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 780827 GN 07/28 FIXED 6.5                         | CUSIP: 36225A4L1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         790 | PA      | $805.96        | 0.00%             | 2028-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-4                                            | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 4 2A3             | CUSIP: 68403FAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2337037 | PA      | $1329634.58    | 0.00%             | 2037-04-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ZAR BOUGHT USD 20251120                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $-22566.11     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-A1                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2007 A1 7A1                  | CUSIP: 46630GBB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      326117 | PA      | $319414.29     | 0.00%             | 2035-07-25      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT SGD SOLD USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $189460.11     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TWD SOLD USD 20251007                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $2580.27       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FS2190 FN 06/52 FIXED VAR                         | CUSIP: 3140XHNG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      455257 | PA      | $435214.66     | 0.00%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 530083 GN 08/30 FIXED 8.5                         | CUSIP: 36212C2Q3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          45 | PA      | $45.56         | 0.00%             | 2030-08-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF5898 FR 01/53 FIXED 5.5                 | CUSIP: 3133BTRT9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      190496 | PA      | $192982.08     | 0.00%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 781478 GN 03/32 FIXED 7.5                         | CUSIP: 36225BUB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         172 | PA      | $182.26        | 0.00%             | 2032-03-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20251015                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-177874.86    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 890502 FN 11/26 FIXED VAR                         | CUSIP: 31410LKP6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         479 | PA      | $476.44        | 0.00%             | 2026-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3309 FN 03/38 FIXED 3.5                         | CUSIP: 31418CVB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       87773 | PA      | $84672.82      | 0.00%             | 2038-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 817777 FN 07/36 FIXED 6                           | CUSIP: 31406RQ65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3610 | PA      | $3721.79       | 0.00%             | 2036-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AIR CANADA 2017-1 CLASS AA PASS THROUGH TRUST                                    | AIR CANADA 2017 1AA PTT PASS THRU CE 144A 07/31 3.3         | CUSIP: 00908PAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |     1081096 | PA      | $1025608.41    | 0.00%             | 2031-07-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| HARVEST CLO XXI DAC 21A                                                          | HARVEST CLO HARVT 21A A2R 144A                              | CUSIP: ACI1WSV36<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     2230346 | PA      | $2576399.09    | 0.01%             | 2031-07-15      | Fixed         | 1.04%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 008830 G2 03/26 FLOATING VAR                   | CUSIP: 36202KY33<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         393 | PA      | $393.02        | 0.00%             | 2026-03-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 559804 FN 10/40 FLOATING VAR                      | CUSIP: 31386C3M2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       17429 | PA      | $17481.76      | 0.00%             | 2040-10-01      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 896344 FN 10/36 FIXED 6                           | CUSIP: 31410SZH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2009 | PA      | $2111.86       | 0.00%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BA1916 FN 08/45 FIXED 4                           | CUSIP: 3140E6DW9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       53816 | PA      | $51859.17      | 0.00%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 782387 GN 08/38 FIXED 5                           | CUSIP: 36241KUL0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      167911 | PA      | $174776.79     | 0.00%             | 2038-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL CE3958 GN 09/51 FIXED 4                           | CUSIP: 3617VSMF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       80511 | PA      | $76460.24      | 0.00%             | 2051-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| TOBACCO SETTLEMENT FINANCE AUTHORITY                                             | TOBACCO SETTLEMENT FIN AUTH WV TOBGEN 06/34 FIXED 3.401     | CUSIP: 88880LAR4<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    10930000 | PA      | $9497949.21    | 0.02%             | 2034-06-01      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-HYB5                                                 | COUNTRYWIDE HOME LOANS CWHL 2004 HYB5 3A1                   | CUSIP: 12669F3B7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       63419 | PA      | $60253.57      | 0.00%             | 2035-04-20      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PLN BOUGHT USD 20251022                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $4.07          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2007-QA4                                              | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QA4 A1B            | CUSIP: 74923YAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      721165 | PA      | $645726.25     | 0.00%             | 2037-06-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 981982 FN 07/38 FIXED 6                           | CUSIP: 31415BM71<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       18658 | PA      | $19463.77      | 0.00%             | 2038-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QG0088 FR 04/53 FIXED 5.5                 | CUSIP: 3133C0CZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5277266 | PA      | $5346533.34    | 0.01%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE COMMERCIAL MORTGAGE TRUST 2012-3R                                  | CREDIT SUISSE MORTGAGE TRUST CSMC 2012 3R 1A11 144A         | CUSIP: 12640HAW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5883980 | PA      | $5417701.27    | 0.01%             | 2037-07-27      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT NZD SOLD USD 20251104                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |           1 | NC      | $271.87        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3180 FN 11/32 FIXED 3.5                         | CUSIP: 31418CRA4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      230820 | PA      | $228065.71     | 0.00%             | 2032-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 781287 GN 05/31 FIXED 7                           | CUSIP: 36225BNC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         755 | PA      | $788.08        | 0.00%             | 2031-05-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 815195 FN 05/35 FLOATING VAR                      | CUSIP: 31406NUU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2651 | PA      | $2680.86       | 0.00%             | 2035-05-01      | Floating      | 6.32%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2006-117                                                              | FANNIE MAE FNR 2006 117 DZ                                  | CUSIP: 31396LE55<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      170189 | PA      | $178980.98     | 0.00%             | 2036-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2006-FM1                                                             | GSAMP TRUST GSAMP 2006 FM1 A2D                              | CUSIP: 362334PK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2917516 | PA      | $1979769.99    | 0.00%             | 2036-04-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 08/50 1.375                                 | CUSIP: 912810SP4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   268198500 | PA      | $134932132.40  | 0.30%             | 2050-08-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX5665 FN 01/53 FIXED 5.5                         | CUSIP: 3140NAJK0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      651123 | PA      | $659246.49     | 0.00%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL C91302 FG 05/30 FIXED 4.5                 | CUSIP: 3128P7NT6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       11432 | PA      | $11486.54      | 0.00%             | 2030-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-3271                                                                 | FREDDIE MAC FHR 3271 FP                                     | CUSIP: 31397FFP2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         814 | PA      | $802.24        | 0.00%             | 2037-02-15      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| INVESTINDUSTRIAL VIII SCSP                                                       | PRJCT ALFA INVSTINDUSTRAL VIII 2025 EUR TERM LOAN 2         | CUSIP: BA000GNP1<br>LEI: 213800KUK2RJHCSU9551 | Long             | LON              | CORP              | GB        |    10111500 | PA      | $11871413.28   | 0.03%             | 2026-02-27      | Floating      | 4.12%                 | Yes           |                  3 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QG1381 FR 04/53 FIXED 5.5                 | CUSIP: 3133C1RA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1557451 | PA      | $1594809.18    | 0.00%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AZ3285 FN 08/45 FIXED 4                           | CUSIP: 3138YUUK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      365617 | PA      | $348495.77     | 0.00%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2010-20                                                        | FANNIE MAE FNR 2010 20 FB                                   | CUSIP: 31398MFL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      286068 | PA      | $286135.05     | 0.00%             | 2040-03-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                      | BANK OF AMERICA CORP SR UNSECURED 03/29 VAR                 | CUSIP: 06051GHG7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     3020000 | PA      | $3005760.97    | 0.01%             | 2029-03-05      | Floating      | 3.97%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL BD3919 G2 05/48 FIXED 4                        | CUSIP: 3617BKK83<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2737387 | PA      | $2593363.69    | 0.01%             | 2048-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MASTR REPERFORMING LOAN TRUST 2005-1                                             | MASTR REPERFORMING LOAN TRUST MARP 2005 1 1A3 144A          | CUSIP: 576436AT6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1196547 | PA      | $828822.71     | 0.00%             | 2034-08-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB3169 FN 03/52 FIXED 3                           | CUSIP: 3140QNQX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      816438 | PA      | $719259.66     | 0.00%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3088 FN 08/47 FIXED 4                           | CUSIP: 31418CNE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        8920 | PA      | $8580.86       | 0.00%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SA0005 FR 03/28 FIXED 3.5                 | CUSIP: 3132CJAE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          17 | PA      | $17.03         | 0.00%             | 2028-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 914458 FN 04/37 FIXED 6                           | CUSIP: 31411S5T9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         342 | PA      | $360.87        | 0.00%             | 2037-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB9558 FN 06/43 FIXED 3                           | CUSIP: 31417GTQ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       46739 | PA      | $42993.48      | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 535145 FN 02/30 FIXED VAR                         | CUSIP: 31384VP63<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       32904 | PA      | $33294.12      | 0.00%             | 2030-02-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 544860 FN 09/34 FLOATING VAR                      | CUSIP: 31385HJD5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        6321 | PA      | $6267.41       | 0.00%             | 2034-09-01      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| S&P GLOBAL INC (AKA: MCGRAW HILL FINANCIAL INC)                                  | S+P GLOBAL INC COMPANY GUAR 03/29 2.7                       | CUSIP: 78409VBJ2<br>LEI: Y6X4K52KMJMZE7I7MY94 | Long             | DBT              | CORP              | US        |     1900000 | PA      | $1815752.78    | 0.00%             | 2029-03-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON MTGE PT TR 2007-AR3                                                | FIRST HORIZON MORTGAGE PASS TH FHASI 2007 AR3 1A1           | CUSIP: 32056JAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      898994 | PA      | $348942.14     | 0.00%             | 2037-11-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 766366 FN 02/34 FIXED 5.5                         | CUSIP: 31404EMP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4499 | PA      | $4658.90       | 0.00%             | 2034-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3739 FN 08/34 FIXED 3.5                         | CUSIP: 31418DEM0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       12165 | PA      | $11876.01      | 0.00%             | 2034-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317UAM2A9 PIMCO SWAPTION 3.55 CALL USD 2025102              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -64000000 | NC      | $-223334.40    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 779209 GN 05/42 FIXED 3.5                         | CUSIP: 36176XN21<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        7196 | PA      | $6730.59       | 0.00%             | 2042-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CAD SOLD USD 20251104                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |           1 | NC      | $1277.78       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ANTARES HOLDINGS LP                                                              | ANTARES HOLDINGS SR UNSECURED 144A 08/28 7.95               | CUSIP: 03666HAF8<br>LEI: 5493008EAIGV4283RM42 | Long             | DBT              | CORP              | US        |    20600000 | PA      | $21920433.22   | 0.05%             | 2028-08-11      | Fixed         | 7.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | EURO-BUND OPTION  NOV25C 129.5 EXP 10/24/2025               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |        -436 | NC      | $-122852.66    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 735943 FN 05/35 FLOATING VAR                      | CUSIP: 31402RS83<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      380588 | PA      | $390101.26     | 0.00%             | 2035-05-01      | Floating      | 6.54%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL C91218 FG 11/28 FIXED 6                   | CUSIP: 3128P7K77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1979 | PA      | $2023.57       | 0.00%             | 2028-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2006-D                                                   | FREMONT HOME LOAN TRUST FHLT 2006 D 2A2                     | CUSIP: 35729VAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    34555280 | PA      | $12086718.37   | 0.03%             | 2036-11-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080119 G2 10/27 FLOATING VAR                   | CUSIP: 36225CDZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1014 | PA      | $1024.65       | 0.00%             | 2027-10-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                                    | FORD MOTOR CREDIT CO LLC SR UNSECURED 05/27 4.95            | CUSIP: 345397C27<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |      250000 | PA      | $249675.11     | 0.00%             | 2027-05-28      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| MASTR ALT LN TR 2006-2                                                           | MASTR ALTERNATIVE LOANS TRUST MALT 2006 2 2A1               | CUSIP: 5764342H6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6793713 | PA      | $613338.44     | 0.00%             | 2036-03-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| LIBERTY STREET TRUST 2016-225L                                                   | LIBERTY STREET TRUST LBTY 2016 225L A 144A                  | CUSIP: 902055AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    31607000 | PA      | $30988100.17   | 0.07%             | 2036-02-10      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2006-12N                                                         | LEHMAN XS TRUST LXS 2006 12N A32A                           | CUSIP: 525226AJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3314550 | PA      | $3249142.13    | 0.01%             | 2046-08-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2004-68                                                               | FANNIE MAE FNR 2004 68 LC                                   | CUSIP: 31394AZG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3235 | PA      | $3266.95       | 0.00%             | 2029-09-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | STRIPS 08/41 0.00000                                        | CUSIP: 912834KP2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    26300000 | PA      | $12349423.27   | 0.03%             | 2041-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 735649 FN 12/32 FIXED VAR                         | CUSIP: 31402RH28<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        8015 | PA      | $8295.28       | 0.00%             | 2032-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 730553 FN 08/33 FIXED 5                           | CUSIP: 31402JTJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       46691 | PA      | $47635.57      | 0.00%             | 2033-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AHL3                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AHL3 A3B           | CUSIP: 17312GAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6078929 | PA      | $4270123.53    | 0.01%             | 2045-07-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 254091 FN 12/31 FIXED 6                           | CUSIP: 31371KF89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       14063 | PA      | $14471.49      | 0.00%             | 2031-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL BE5061 GN 08/48 FIXED 4                           | CUSIP: 3617BYTS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        9656 | PA      | $9212.09       | 0.00%             | 2048-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE-G97-2                                                                 | FANNIE MAE FNR G97 2 ZA                                     | CUSIP: 31359NSL6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5258 | PA      | $5327.20       | 0.00%             | 2027-02-17      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| JPMDB COMMERCIAL MORTGAGE SECURITIES TRUST  2019-COR6                            | JPMDB COMMERCIAL MORTGAGE SECU JPMDB 2019 COR6 A4           | CUSIP: 48129RAX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7900000 | PA      | $7172361.02    | 0.02%             | 2052-11-13      | Fixed         | 3.06%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 901601 FN 11/36 FIXED 6                           | CUSIP: 31410YU28<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       50977 | PA      | $53122.65      | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.25000 06/18/25-7Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $3187771.07    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FOOTBALL CLUB TERM NOTES 2024-XVII TRUST                                         | NATIONAL FOOTBAL LEAGUE 4.5YR                               | CUSIP: 902EZU906<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    13800000 | PA      | $14190553.11   | 0.03%             | 2028-10-05      | Fixed         | 5.48%                 | Yes           |                  3 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL AI5193 GN 03/45 FIXED 3.5                         | CUSIP: 36198RXW1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       27826 | PA      | $26026.69      | 0.00%             | 2045-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTGE INV 1998-2                                                 | STRUCTURED ASSET MORTGAGE INVE SAMI 1998 2 B                | CUSIP: 073914C27<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         333 | PA      | $0.06          | 0.00%             | 2030-05-02      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-HYB9                                                 | COUNTRYWIDE HOME LOANS CWHL 2005 HYB9 3A2A                  | CUSIP: 126670JY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1327003 | PA      | $1152517.66    | 0.00%             | 2036-02-20      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                                                 | SOCIETE GENERALE SR UNSECURED 144A 01/34 VAR                | CUSIP: 83368RBS0<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    32100000 | PA      | $34976067.55   | 0.08%             | 2034-01-10      | Floating      | 6.69%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST  2017-RP1                                          | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2017 RP1 PT 144A        | CUSIP: 17326JAS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    27056953 | PA      | $23219360.09   | 0.05%             | 2064-09-25      | Variable      | 4.41%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 323812 FN 07/29 FIXED VAR                         | CUSIP: 31374TVD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          54 | PA      | $55.33         | 0.00%             | 2029-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AH3431 FN 01/26 FIXED 3.5                         | CUSIP: 3138A4Y58<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      113900 | PA      | $113467.74     | 0.00%             | 2026-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2007-QS1                                              | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QS1 1A1            | CUSIP: 74922KAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        4424 | PA      | $3538.62       | 0.00%             | 2037-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 685321 FN 02/33 FIXED 6                           | CUSIP: 31400ELA6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         661 | PA      | $689.16        | 0.00%             | 2033-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 923135 FN 01/37 FIXED 6                           | CUSIP: 31412ESY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        8966 | PA      | $9343.28       | 0.00%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS6386 FN 12/45 FIXED 3                           | CUSIP: 3138WGCY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       84163 | PA      | $76108.52      | 0.00%             | 2045-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ZAR BOUGHT USD 20251120                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $-90863.64     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES CORP 2016-JP4                     | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2016 JP4 A4            | CUSIP: 46645UAT4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8606000 | PA      | $8517842.72    | 0.02%             | 2049-12-15      | Variable      | 3.65%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2022-HP1                                     | GS MORTGAGE BACKED SECURITIES GSMBS 2022 HP1 A2 144A        | CUSIP: 36265LAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    61693059 | PA      | $53152494.04   | 0.12%             | 2052-09-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AT0861 FN 06/43 FIXED 3                           | CUSIP: 3138WM5X5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       12606 | PA      | $11594.25      | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 1G1028 FH 07/36 FLOATING VAR              | CUSIP: 3128QJD94<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         253 | PA      | $259.45        | 0.00%             | 2036-07-01      | Floating      | 6.41%                 | No            |                  2 | On Loan: No      |
| MF1 2022-FL9 LLC                                                                 | MF1 MULTIFAMILY HOUSING MORTGA MF1 2022 FL9 A 144A          | CUSIP: 55285AAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    24201019 | PA      | $24208828.09   | 0.05%             | 2037-06-19      | Floating      | 6.28%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TSY INFL IX N/B 02/46 1                                     | CUSIP: 912810RR1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    86434488 | PA      | $66717986.09   | 0.15%             | 2046-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G30450 FG 01/29 FIXED 6                   | CUSIP: 3128CUQB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        7401 | PA      | $7567.28       | 0.00%             | 2029-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-5T2                                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 5T2 A1            | CUSIP: 12668BMU4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5123740 | PA      | $1728690.80    | 0.00%             | 2036-04-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 2.5 SINGLE FAMILY MORTGAGE                   | CUSIP: 01F0226A8<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -23130000 | PA      | $-19490543.07  | -0.04%            | 2055-10-14      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY6739 FN 08/53 FIXED 5.5                         | CUSIP: 3140NPPZ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4338260 | PA      | $4385603.70    | 0.01%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 898851 FN 11/36 FIXED 6                           | CUSIP: 31410VTG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       11068 | PA      | $11468.33      | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC1968 FN 03/46 FIXED 4                           | CUSIP: 3140EWFJ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       30756 | PA      | $30538.23      | 0.00%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL V80642 FG 11/43 FIXED 4.5                 | CUSIP: 3132L5WB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      245694 | PA      | $243487.05     | 0.00%             | 2043-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 905116 FN 01/37 FIXED 6                           | CUSIP: 31411DSD2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         337 | PA      | $350.18        | 0.00%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20251020                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $566758.86     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-73                                                               | FANNIE MAE FNR 2007 73 A1                                   | CUSIP: 31396V4Q8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       30760 | PA      | $30222.71      | 0.00%             | 2037-07-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2784 FN 10/46 FIXED 4                           | CUSIP: 31418CCW2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       80581 | PA      | $77517.11      | 0.00%             | 2046-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-21                                                   | COUNTRYWIDE HOME LOANS CWHL 2005 21 2A2                     | CUSIP: 126694DS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       56800 | PA      | $14656.19      | 0.00%             | 2035-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SANTANDER HOLDINGS USA INC                                                       | SANTANDER HOLDINGS USA SR UNSECURED 03/29 VAR               | CUSIP: 80282KBN5<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |     5400000 | PA      | $5505232.61    | 0.01%             | 2029-03-20      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q51328 FG 10/47 FIXED 3.5                 | CUSIP: 3132XTPN2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       22314 | PA      | $20831.60      | 0.00%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PERFORMER FUNDING 1 PLC 1A                                                       | PERFORMER FUNDING PERFF 1A C 144A                           | CUSIP: ACI2M18S5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | GB        |    21700000 | PA      | $29281093.67   | 0.06%             | 2035-06-21      | Floating      | 6.97%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RB5015 FR 09/39 FIXED 3                   | CUSIP: 3133KYSC4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1840141 | PA      | $1726172.62    | 0.00%             | 2039-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 786202 FN 07/34 FLOATING VAR                      | CUSIP: 31405DNT0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1178 | PA      | $1194.12       | 0.00%             | 2034-07-01      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                             | JPMORGAN CHASE + CO SR UNSECURED 10/30 VAR                  | CUSIP: 46647PBE5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     5800000 | PA      | $5478726.05    | 0.01%             | 2030-10-15      | Floating      | 2.74%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 31750R8D2 PIMCO FXVAN PUT AUD USD 0.62500000                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |   115500000 | NC      | $229.28        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BRANDYWINE OPERATING PARTNERSHIP LP                                              | BRANDYWINE OPER PARTNERS COMPANY GUAR 03/28 7.8             | CUSIP: 105340AR4<br>LEI: IXBXSCONLDQ1ZI73YU71 | Long             | DBT              | CORP              | US        |     1900000 | PA      | $2020891.30    | 0.00%             | 2028-03-15      | Variable      | 8.30%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2243                                                                 | FREDDIE MAC FHR 2243 Z                                      | CUSIP: 3133TPJU4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      121311 | PA      | $126549.77     | 0.00%             | 2030-08-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC4729 FN 10/46 FIXED 3                           | CUSIP: 3140F0HF4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       30834 | PA      | $27884.29      | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA4786 FN 10/52 FIXED 5.5                         | CUSIP: 31418EJ84<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    19935325 | PA      | $20191408.17   | 0.04%             | 2052-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                        | BONOS DE TESORERIA SR UNSECURED 144A REGS 08/35 6           | CUSIP: ACI2XSL83<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    93230000 | PA      | $28399564.95   | 0.06%             | 2035-08-12      | Fixed         | 6.85%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 604548 GN 08/33 FIXED 4.5                         | CUSIP: 36200MTD5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1749 | PA      | $1744.02       | 0.00%             | 2033-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CSAIL COMMERCIAL MORTGAGE TRUST 2019-C16                                         | CSAIL COMMERCIAL MORTGAGE TRUS CSAIL 2019 C16 A3            | CUSIP: 12596WAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5955000 | PA      | $5749343.48    | 0.01%             | 2052-06-15      | Fixed         | 3.33%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-A1                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2007 A1 6A1                  | CUSIP: 46630GAX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      163748 | PA      | $159453.12     | 0.00%             | 2035-07-25      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| IMPERIAL BRANDS FINANCE PLC (AKA: IMPERIAL TOBACCO FINANCE PLC)                  | IMPERIAL BRANDS FIN PLC COMPANY GUAR 144A 07/29 3.875       | CUSIP: 45262BAC7<br>LEI: 2138008L3B3MCG1DFS50 | Long             | DBT              | CORP              | GB        |    30650000 | PA      | $30120066.10   | 0.07%             | 2029-07-26      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| SVB FINANCIAL TRUST                                                              | SVB FINL TR COMMON STOCK UNIT                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | EP               | CORP              | US        |        8700 | NS      | $4741500.00    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FS3904 FN 03/53 FIXED VAR                         | CUSIP: 3140XKKS8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      204057 | PA      | $203509.02     | 0.00%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH1245 FN 05/47 FIXED 3                           | CUSIP: 3140GPL30<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       36227 | PA      | $32491.11      | 0.00%             | 2047-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| DRSLF-2017-54A                                                                   | DRYDEN SENIOR LOAN FUND DRSLF 2017 54A AR 144A              | CUSIP: 26244RAF8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      769900 | PA      | $770286.05     | 0.00%             | 2029-10-19      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC8726 FN 06/46 FIXED 4                           | CUSIP: 3140F4VU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      128631 | PA      | $123793.59     | 0.00%             | 2046-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AX7559 FN 01/45 FIXED 4                           | CUSIP: 3138Y9MH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1406085 | PA      | $1355533.53    | 0.00%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 434817 GN 07/30 FIXED 8.5                         | CUSIP: 36207LAS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         243 | PA      | $244.55        | 0.00%             | 2030-07-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2006-OA11                                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA11 A1B          | CUSIP: 02147DAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3339997 | PA      | $3268671.12    | 0.01%             | 2046-09-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 569095 FN 03/31 FIXED 8.5                         | CUSIP: 31386PGC1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       13517 | PA      | $13493.20      | 0.00%             | 2031-03-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 1J0045 FH 01/36 FLOATING VAR              | CUSIP: 3128LUBN5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         330 | PA      | $337.30        | 0.00%             | 2036-01-01      | Floating      | 6.57%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                     | BROADCOM INC SR UNSECURED 144A 04/33 3.419                  | CUSIP: 11135FBK6<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    15254000 | PA      | $14122801.95   | 0.03%             | 2033-04-15      | Fixed         | 3.42%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD INR BOUGHT USD 20251017                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $1867.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AU1628 FN 07/43 FIXED 3                           | CUSIP: 3138X0Y28<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      298400 | PA      | $274516.16     | 0.00%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AH3430 FN 01/26 FIXED 3.5                         | CUSIP: 3138A4Y41<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1312 | PA      | $1306.42       | 0.00%             | 2026-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-96                                                               | FANNIE MAE FNR 2007 96 AF                                   | CUSIP: 31396XNT7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       48687 | PA      | $48787.72      | 0.00%             | 2037-06-25      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AA1327 FN 01/37 FIXED 6                           | CUSIP: 31416JPM7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        6992 | PA      | $7234.50       | 0.00%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL3645 FN 05/28 FIXED VAR                         | CUSIP: 3138ELBP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        9997 | PA      | $9912.81       | 0.00%             | 2028-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD SGD BOUGHT USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $145873.56     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 687712 FN 02/33 FIXED 6.5                         | CUSIP: 31400HAM5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2732 | PA      | $2819.39       | 0.00%             | 2033-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| STATE STREET BANK AND TRUST COMPANY                                              | STATE STREET BANK + TR SR UNSECURED 11/29 4.782             | CUSIP: 857449AE2<br>LEI: 571474TGEMMWANRLN572 | Long             | DBT              | CORP              | US        |     4650000 | PA      | $4770895.95    | 0.01%             | 2029-11-23      | Fixed         | 4.78%                 | No            |                  2 | On Loan: No      |
| PEOPLE'S FINANCE REALTY MTGE SEC 2006-1                                          | PEOPLE S FINANCIAL REALTY MORT PFRMS 2006 1 2A2             | CUSIP: 71103XAS3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    17443218 | PA      | $4206780.94    | 0.01%             | 2036-09-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK                                                            | TORONTO DOMINION BANK SR UNSECURED 01/28 5.156              | CUSIP: 89115A2M3<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |     9100000 | PA      | $9318696.39    | 0.02%             | 2028-01-10      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| FISERV INC                                                                       | FISERV INC FISERV INC                                       | CUSIP: 337738BJ6<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |    21500000 | PA      | $21790635.93   | 0.05%             | 2027-03-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3027 FN 06/47 FIXED 4                           | CUSIP: 31418CLH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       30067 | PA      | $29033.67      | 0.00%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2018-RP2                                           | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2018 RP2 M2 144A        | CUSIP: 17326UAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2450000 | PA      | $2315207.86    | 0.01%             | 2058-02-25      | Variable      | 3.08%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT PLN SOLD USD 20251022                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-34633.30     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 914048 FN 03/37 FIXED 6                           | CUSIP: 31411SP91<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       10055 | PA      | $10478.75      | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ0632 FN 03/48 FIXED 4                           | CUSIP: 3140H1V23<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       73616 | PA      | $70719.56      | 0.00%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUND CORP 2006-5                                                 | BANC OF AMERICA FUNDING CORPOR BAFC 2006 5 2A11             | CUSIP: 05950NBB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1116296 | PA      | $1125884.83    | 0.00%             | 2036-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX9416 FN 03/53 FIXED 5                           | CUSIP: 3140NEPA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2450917 | PA      | $2441075.54    | 0.01%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-9                                                  | BEAR STEARNS ALT A TRUST BALTA 2005 9 26A1                  | CUSIP: 07386HYH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2074038 | PA      | $1115086.33    | 0.00%             | 2035-11-25      | Floating      | 4.22%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 831934 FN 11/36 FIXED 6                           | CUSIP: 31407JHK1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      206250 | PA      | $214939.29     | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 639127 FN 09/32 FIXED 6                           | CUSIP: 31389YA43<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         167 | PA      | $170.27        | 0.00%             | 2032-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 817452 FN 08/35 FLOATING VAR                      | CUSIP: 31406REZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       21519 | PA      | $21643.73      | 0.00%             | 2035-08-01      | Floating      | 6.29%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2007-AR2                                            | STRUCTURED ASSET MORTGAGE INVE SAMI 2007 AR2 2A2            | CUSIP: 86363DAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      127723 | PA      | $11417.89      | 0.00%             | 2037-03-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2006-WMC3                                             | JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 WMC3 A3           | CUSIP: 46629KAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       18938 | PA      | $14245.91      | 0.00%             | 2036-08-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA2393 FN 05/33 FIXED 3                           | CUSIP: 3140Q9UT8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      331779 | PA      | $323307.76     | 0.00%             | 2033-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT ILS SOLD USD 20251113                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $104861.13     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2002-4                                                                | FANNIE MAE FNR 2002 4 FJ                                    | CUSIP: 31392BXA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        8437 | PA      | $8419.67       | 0.00%             | 2032-02-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 940878 FN 06/37 FIXED 6                           | CUSIP: 31413BXF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       30013 | PA      | $31342.21      | 0.00%             | 2037-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL C76398 FG 02/33 FIXED 6.5                 | CUSIP: 31288FDB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       14156 | PA      | $14632.06      | 0.00%             | 2033-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| THAMES WATER UTILITIES FINANCE PLC                                               | THAMES WATER UTIL FIN SR SECURED REGS 07/36 4.375           | CUSIP: B839Q3II7<br>LEI: 213800ESMPQ4RQ7G8351 | Long             | DBT              | CORP              | GB        |      700000 | PA      | $657145.55     | 0.00%             | 2036-07-03      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AV2860 FN 12/28 FIXED 3.5                         | CUSIP: 3138XEFA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       57546 | PA      | $56834.57      | 0.00%             | 2028-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 906236 FN 01/37 FLOATING VAR                      | CUSIP: 31411EY92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3543 | PA      | $3625.55       | 0.00%             | 2037-01-01      | Floating      | 6.68%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4989                                                          | FREDDIE MAC FHR 4989 FA                                     | CUSIP: 3137FUKP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     7046166 | PA      | $6955462.45    | 0.02%             | 2040-08-15      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| ADANI TRANSMISSION STEP ONE LIMITED                                              | ADANI TRANS STEP ONE LTD SR SECURED 144A 08/26 4            | CUSIP: 00652XAA6<br>LEI: 335800Z8CGS7O7D72N41 | Long             | DBT              | CORP              | IN        |     8624000 | PA      | $8549917.43    | 0.02%             | 2026-08-03      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 688772 FN 03/33 FIXED 6.5                         | CUSIP: 31400JFM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3617 | PA      | $3733.83       | 0.00%             | 2033-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                        | BONOS DE TESORERIA BONDS 02/29 5.94                         | CUSIP: ACI16QTC2<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     3000000 | PA      | $906458.72     | 0.00%             | 2029-02-12      | Fixed         | 5.94%                 | No            |                  2 | On Loan: No      |
| HARVEST CLO XXI DAC 21A                                                          | HARVEST CLO HARVT 21A A1R 144A                              | CUSIP: ACI1WSV44<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    19667599 | PA      | $23105274.75   | 0.05%             | 2031-07-15      | Floating      | 2.79%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 002742 G2 04/29 FIXED 7                        | CUSIP: 36202DBK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         474 | PA      | $487.49        | 0.00%             | 2029-04-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY CORP                                                                 | FIRSTENERGY CORP SR UNSECURED 01/26 1.6                     | CUSIP: 337932AN7<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |     5500000 | PA      | $5452393.82    | 0.01%             | 2026-01-15      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZK3361 FR 07/26 FIXED 3.5                 | CUSIP: 3131X6WW6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        7564 | PA      | $7515.67       | 0.00%             | 2026-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL1312 FN 05/39 FIXED VAR                         | CUSIP: 3138EHN65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3967 | PA      | $4182.31       | 0.00%             | 2039-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS0038 FN 07/43 FIXED 3                           | CUSIP: 3138W9BG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5283 | PA      | $4842.45       | 0.00%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4159                                                          | FREDDIE MAC FHR 4159 KF                                     | CUSIP: 3137AXXG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      146530 | PA      | $143564.44     | 0.00%             | 2043-01-15      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| UNITED WHOLESALE MORTGAGE LLC 2021-INV3                                          | UNITED WHOLESALE MORTGAGE LLC UWM 2021 INV3 A3 144A         | CUSIP: 90355RAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   173519425 | PA      | $143939915.58  | 0.32%             | 2051-11-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| CIT GROUP HOME EQUITY LOAN TRUST 2002-1                                          | CIT GROUP HOME EQUITY LOAN TRU CITHE 2002 1 MV1             | CUSIP: 12558MAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      132880 | PA      | $132892.50     | 0.00%             | 2030-09-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| CSFB MORTGAGE SECURITIES CORP 2005 8                                             | CREDIT SUISSE FIRST BOSTON MOR CSFB 2005 8 9A13             | CUSIP: 2254582X5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1935969 | PA      | $1321964.49    | 0.00%             | 2035-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZA7078 FR 06/39 FIXED 3.5                 | CUSIP: 31329Q2K6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      191292 | PA      | $184034.18     | 0.00%             | 2039-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CSAIL COMMERCIAL MORTGAGE TRUST 2019-C15                                         | CSAIL COMMERCIAL MORTGAGE TRUS CSAIL 2019 C15 ASB           | CUSIP: 22945DAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1331874 | PA      | $1327606.50    | 0.00%             | 2052-03-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                             | JPMORGAN CHASE + CO SR UNSECURED 07/28 VAR                  | CUSIP: 46647PEL6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    18400000 | PA      | $18684518.28   | 0.04%             | 2028-07-22      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FS7252 FN 11/53 FIXED VAR                         | CUSIP: 3140XPBW8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     6374390 | PA      | $6349716.07    | 0.01%             | 2053-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOUTH AFRICA EM SP GST                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $150687.89     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QD8105 FR 03/52 FIXED 3                   | CUSIP: 3133B6AE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4034355 | PA      | $3553419.48    | 0.01%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 711504 FN 05/33 FIXED 6                           | CUSIP: 31401LNV1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       16691 | PA      | $17048.01      | 0.00%             | 2033-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 838927 FN 08/35 FIXED 6                           | CUSIP: 31407SA44<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       41973 | PA      | $44250.05      | 0.00%             | 2035-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PROJECT QUASAR INVESTMENTS 2017 SLU                                              | NEPTUNE QUASAR PPN                                          | CUSIP: 936TNJII2<br>LEI: N/A                  | Long             | LON              | CORP              | LU        |           1 | PA      | $0.00          | 0.00%             | 2028-03-15      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS4017 FR 09/27 FIXED 5.5                 | CUSIP: 3132A4PA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         848 | PA      | $855.18        | 0.00%             | 2027-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL CP5073 G2 01/48 FIXED 3                        | CUSIP: 3617FUT62<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      769083 | PA      | $685950.61     | 0.00%             | 2048-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZM5332 FR 01/48 FIXED 3                   | CUSIP: 3131XY4R7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       23178 | PA      | $20894.95      | 0.00%             | 2048-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL A14706 FG 10/33 FIXED 4                   | CUSIP: 31296PGP1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4063 | PA      | $4012.28       | 0.00%             | 2033-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3984                                                          | FREDDIE MAC FHR 3984 DF                                     | CUSIP: 3137AKEE7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       31967 | PA      | $31792.10      | 0.00%             | 2042-01-15      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH9632 FN 09/47 FIXED 3                           | CUSIP: 3140GYV22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       14339 | PA      | $12940.04      | 0.00%             | 2047-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| TESCO PROPERTY FIN 4 PLC                                                         | TESCO PROPERTY FIN 4 PLC SR SECURED REGS 10/40 5.8006       | CUSIP: B3LSHBII8<br>LEI: 213800UCE6O94DGHWT77 | Long             | DBT              | CORP              | GB        |    20759023 | PA      | $27801929.45   | 0.06%             | 2040-10-13      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL D97050 FG 08/26 FIXED 6                   | CUSIP: 3128E3ZP2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       36169 | PA      | $36974.97      | 0.00%             | 2026-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 953591 FN 01/38 FIXED 5.5                         | CUSIP: 31413R2Y1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       33551 | PA      | $34820.70      | 0.00%             | 2038-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3380                                                          | FREDDIE MAC FHR 3380 FM                                     | CUSIP: 31397KTJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      229224 | PA      | $228868.39     | 0.00%             | 2037-10-15      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-H10                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 H10 FB              | CUSIP: 38375UZZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      869745 | PA      | $881821.44     | 0.00%             | 2067-04-20      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 896519 FN 07/36 FIXED 6                           | CUSIP: 31410TAU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        7527 | PA      | $7686.93       | 0.00%             | 2036-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 357957 FN 09/35 FIXED 5.5                         | CUSIP: 31376KTN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       83262 | PA      | $86676.19      | 0.00%             | 2035-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 918546 FN 06/37 FIXED 6                           | CUSIP: 31411YP72<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       15384 | PA      | $16032.04      | 0.00%             | 2037-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QE0959 FR 03/52 FIXED 3                   | CUSIP: 3133BAB42<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      192477 | PA      | $169816.64     | 0.00%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL1746 FN 03/27 FIXED VAR                         | CUSIP: 3138EH5G3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        8748 | PA      | $8688.35       | 0.00%             | 2027-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2006-1                                             | BEAR STEARNS ADJUSTABLE RATE M BSARM 2006 1 A1              | CUSIP: 07387AGZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      576241 | PA      | $556121.83     | 0.00%             | 2036-02-25      | Floating      | 6.53%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AH6736 FN 02/26 FIXED 3.5                         | CUSIP: 3138A8PW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1374 | PA      | $1367.99       | 0.00%             | 2026-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 745418 FN 04/36 FIXED VAR                         | CUSIP: 31403DDX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1030 | PA      | $1071.92       | 0.00%             | 2036-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-3                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2007 3 TA6              | CUSIP: 059515AH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      616191 | PA      | $530934.81     | 0.00%             | 2037-04-25      | Variable      | 6.39%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 555080 FN 11/32 FIXED VAR                         | CUSIP: 31385WUD9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         124 | PA      | $128.11        | 0.00%             | 2032-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MF1 2020-FL4 LTD                                                                 | MF1 MULTIFAMILY HOUSING MORTGA MF1 2020 FL4 A 144A          | CUSIP: 58003UAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     9912886 | PA      | $9929141.78    | 0.02%             | 2035-12-15      | Floating      | 5.96%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080408 G2 05/30 FLOATING VAR                   | CUSIP: 36225CN28<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       25170 | PA      | $25193.35      | 0.00%             | 2030-05-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB2296 FN 02/26 FIXED 3                           | CUSIP: 31416XRS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         521 | PA      | $518.31        | 0.00%             | 2026-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                     | UBS GROUP AG SR UNSECURED 144A 03/28 4.253                  | CUSIP: 90352JAC7<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     4200000 | PA      | $4201344.38    | 0.01%             | 2028-03-23      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-H14                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 H14 FD              | CUSIP: 38376R5D4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      732710 | PA      | $732737.77     | 0.00%             | 2067-06-20      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-22R                                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 22R 1A9           | CUSIP: 02147LAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      738909 | PA      | $404710.20     | 0.00%             | 2036-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 1L0174 FH 08/35 FLOATING VAR              | CUSIP: 3128Q2FP3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      529596 | PA      | $543447.68     | 0.00%             | 2035-08-01      | Floating      | 6.36%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BA7070 FN 05/46 FIXED 4                           | CUSIP: 3140EB2C4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      857510 | PA      | $824900.10     | 0.00%             | 2046-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3284                                                                 | FREDDIE MAC FHR 3284 BI                                     | CUSIP: 31397FL34<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       89720 | PA      | $8663.03       | 0.00%             | 2037-03-15      | Floating      | 1.96%                 | No            |                  2 | On Loan: No      |
| CAPITAL POWER (US HOLDINGS) INC                                                  | CAPITAL POWER US HOLDING COMPANY GUAR 144A 06/28 5.257      | CUSIP: 14041TAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     6100000 | PA      | $6218186.59    | 0.01%             | 2028-06-01      | Fixed         | 5.26%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080178 G2 03/28 FLOATING VAR                   | CUSIP: 36225CFU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       50714 | PA      | $50708.94      | 0.00%             | 2028-03-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD IDR BOUGHT USD 20251006                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $10555.93      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL C91116 FG 11/27 FIXED 6                   | CUSIP: 3128P7GZ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       13539 | PA      | $13843.21      | 0.00%             | 2027-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CAPE LOOKOUT RE LTD                                                              | CAPE LOOKOUT RE LTD UNSECURED 144A 03/32 VAR                | CUSIP: 13947LAG7<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |     5500000 | PA      | $5782150.00    | 0.01%             | 2032-03-13      | Floating      | 10.86%                | No            |                  2 | On Loan: No      |
| BGC GROUP INC                                                                    | BGC GROUP INC SR UNSECURED 05/28 8                          | CUSIP: 088929AC8<br>LEI: 2549001IGRCG4F0RLD36 | Long             | DBT              | CORP              | US        |    18100000 | PA      | $19332303.21   | 0.04%             | 2028-05-25      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 2064                                                          | FREDDIE MAC FHR 2064 ZA                                     | CUSIP: 3133TEMJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       42830 | PA      | $43324.60      | 0.00%             | 2028-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD3935 FN 09/46 FIXED 4                           | CUSIP: 3140FBLR9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      467791 | PA      | $449133.66     | 0.00%             | 2046-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FARM CREDIT BANK OF TEXAS                                                        | FARM CREDIT BK OF TEXAS JR SUBORDINA 12/99 VAR              | CUSIP: 30767EAF6<br>LEI: V1EBJIOLRNYDHDF63Z33 | Long             | EP               | USGSE             | US        |     9300000 | NS      | $9770580.00    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SECURITIES 2005-A                                           | BANC OF AMERICA MORTGAGE SECUR BOAMS 2005 A 2A1             | CUSIP: 05949AH86<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       70334 | PA      | $68644.93      | 0.00%             | 2035-02-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20251119                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-15407.61     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 1998-57                                                               | FANNIE MAE FNR 1998 57 DT                                   | CUSIP: 31359UG25<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       29279 | PA      | $29697.86      | 0.00%             | 2028-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-22                                                   | COUNTRYWIDE HOME LOANS CWHL 2004 22 A3                      | CUSIP: 12669F6Z1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      980899 | PA      | $945754.23     | 0.00%             | 2034-11-25      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-11                                                   | COUNTRYWIDE HOME LOANS CWHL 2005 11 3A3                     | CUSIP: 12669GUP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       38497 | PA      | $28770.63      | 0.00%             | 2035-04-25      | Floating      | 3.65%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A5                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2006 A5 3A4                  | CUSIP: 46629CAK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      166013 | PA      | $128997.76     | 0.00%             | 2036-08-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G08809 FG 04/48 FIXED 4                   | CUSIP: 3128MJ3T5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3282322 | PA      | $3159622.56    | 0.01%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AT2037 FN 04/43 FIXED 3                           | CUSIP: 3138WPHP2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       76142 | PA      | $70047.71      | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                                                 | SOCIETE GENERALE SR UNSECURED 144A 06/27 VAR                | CUSIP: 83368RBC5<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    11900000 | PA      | $11686509.36   | 0.03%             | 2027-06-09      | Floating      | 1.79%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC9261 FN 04/46 FIXED 4                           | CUSIP: 3140F5JF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3905 | PA      | $3728.80       | 0.00%             | 2046-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2022-B                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2022 B A1B 144A          | CUSIP: 83206NAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    10924715 | PA      | $11035567.88   | 0.02%             | 2055-02-16      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ILS BOUGHT USD 20251015                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $-93557.84     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080116 G2 09/27 FLOATING VAR                   | CUSIP: 36225CDW3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       11285 | PA      | $11357.30      | 0.00%             | 2027-09-20      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 008847 G2 04/26 FLOATING VAR                   | CUSIP: 36202KZL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         688 | PA      | $688.35        | 0.00%             | 2026-04-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2017-RPL2                                            | LEGACY MORTGAGE ASSET TRUST LMAT 2017 RPL2 B1 144A          | CUSIP: 52473LAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    66948496 | PA      | $56490739.23   | 0.12%             | 2056-12-25      | Variable      | 3.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 11.7543 06/28/24-01/04/27 CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |           1 | NC      | $-1274244.12   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL5931 FN 09/28 FIXED VAR                         | CUSIP: 3138ENSV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       17528 | PA      | $17463.30      | 0.00%             | 2028-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 313721 FN 08/26 FLOATING VAR                      | CUSIP: 31374GPE1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         959 | PA      | $959.68        | 0.00%             | 2026-08-01      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| SMALL BUSINESS ADMINISTRATION PARTICIPATION CERTIFICATES 2007-20H                | SMALL BUSINESS ADMINISTRATION SBAP 2007 20H 1               | CUSIP: 83162CRE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |         833 | PA      | $842.89        | 0.00%             | 2027-08-01      | Fixed         | 5.78%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H10                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 H10 FM              | CUSIP: 38376RAT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4770 | PA      | $4768.96       | 0.00%             | 2065-04-20      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 995112 FN 07/36 FIXED VAR                         | CUSIP: 31416BN53<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         580 | PA      | $602.67        | 0.00%             | 2036-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 352376 FN 07/26 FLOATING VAR                      | CUSIP: 31376DMZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         679 | PA      | $677.43        | 0.00%             | 2026-07-01      | Floating      | 6.09%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 11/51 1.875                                 | CUSIP: 912810TB4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   116025000 | PA      | $65658366.50   | 0.14%             | 2051-11-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AT8862 FN 06/43 FIXED 3                           | CUSIP: 3138WWZ44<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      132760 | PA      | $122064.04     | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TR 2004-HYB1                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2004 HYB1 A31           | CUSIP: 17307GDL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       37014 | PA      | $37095.75      | 0.00%             | 2034-02-25      | Floating      | 6.74%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB2858 FN 01/39 FIXED 5.5                         | CUSIP: 31416YE87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3176 | PA      | $3286.49       | 0.00%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 735654 FN 10/44 FLOATING VAR                      | CUSIP: 31402RH77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        7605 | PA      | $7660.14       | 0.00%             | 2044-10-01      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| BMW US CAPITAL LLC                                                               | BMW US CAPITAL LLC COMPANY GUAR 144A 03/28 VAR              | CUSIP: 05565ECX1<br>LEI: KK5MZM9DIXLXZL9DZL15 | Long             | DBT              | CORP              | US        |    33500000 | PA      | $33695756.25   | 0.07%             | 2028-03-21      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080747 G2 10/33 FLOATING VAR                   | CUSIP: 36225CZM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       21758 | PA      | $22233.03      | 0.00%             | 2033-10-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| NIAGARA MOHAWK POWER CORPORATION                                                 | NIAGARA MOHAWK POWER SR UNSECURED 144A 12/28 4.278          | CUSIP: 65364UAL0<br>LEI: 3T97Y9RR5EN5Y18QHB56 | Long             | DBT              | CORP              | US        |    17600000 | PA      | $17618600.38   | 0.04%             | 2028-12-15      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-53T2                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 53T2 2A2          | CUSIP: 12668AKQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1157369 | PA      | $662926.88     | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM3098 FN 08/30 FIXED VAR                         | CUSIP: 3140X6NQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       79929 | PA      | $79607.61      | 0.00%             | 2030-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL D97500 FG 12/27 FIXED 6                   | CUSIP: 3128E4KM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       10768 | PA      | $11009.66      | 0.00%             | 2027-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UBS COMMERCIAL MORTGAGE TRUST 2018-C12                                           | UBS COMMERCIAL MORTGAGE TRUST UBSCM 2018 C12 A5             | CUSIP: 90353DAZ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5975011 | PA      | $5921819.06    | 0.01%             | 2051-08-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT RON SOLD USD 20251205                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |           1 | NC      | $-81328.24     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MELLON RESIDENTIAL FUND CORP 2002-TBC1                                           | MELLON RESIDENTIAL FUNDING COR MRFC 2002 TBC1 A             | CUSIP: 585525FN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       39431 | PA      | $29030.60      | 0.00%             | 2030-09-15      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| RNHB BV                                                                          | RNHB B.V. 01/27 1                                           | CUSIP: ACI2QBKK2<br>LEI: 724500YGUK3ZCLGPE353 | Long             | DBT              | CORP              | NL        |     1988712 | PA      | $2335113.31    | 0.01%             | 2027-01-28      | Variable      | 0.00%                 | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3650 FN 04/29 FIXED 3.5                         | CUSIP: 31418DBU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       12212 | PA      | $12135.30      | 0.00%             | 2029-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MTGE P/T 2006-3                                                | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 3 3CB5            | CUSIP: 93934FNR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      966235 | PA      | $849569.57     | 0.00%             | 2036-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE4650 FN 03/47 FIXED 4                           | CUSIP: 3140FQEY9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      149339 | PA      | $143830.70     | 0.00%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 804641 FN 12/34 FIXED 6                           | CUSIP: 31406A5A6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1012 | PA      | $1039.69       | 0.00%             | 2034-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 847892 FN 12/35 FIXED 6                           | CUSIP: 31408C7D2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         147 | PA      | $151.83        | 0.00%             | 2035-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PROTEUS RMBS DAC 1A                                                              | PROTEUS RMBS DAC PROTE 1A AR 144A                           | CUSIP: ACI1746Q4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |    33733382 | PA      | $39161127.21   | 0.09%             | 2054-10-29      | Floating      | 2.87%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SECURITIES 2005-A                                           | BANC OF AMERICA MORTGAGE SECUR BOAMS 2005 A 4A1             | CUSIP: 05949AJ43<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      143607 | PA      | $141312.35     | 0.00%             | 2035-02-25      | Floating      | 6.94%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2024-H07                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2024 H07 FC              | CUSIP: 38383KVE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    13839215 | PA      | $13834338.48   | 0.03%             | 2074-02-20      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FS7326 FN 11/38 FIXED VAR                         | CUSIP: 3140XPD89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      438416 | PA      | $420209.66     | 0.00%             | 2038-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 885569 FN 08/36 FIXED 6                           | CUSIP: 31410C2A9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1055 | PA      | $1099.84       | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2004-AR9                                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2004 AR9 A1             | CUSIP: 92922FWE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       65573 | PA      | $64001.26      | 0.00%             | 2034-08-25      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL BS5008 GN 02/50 FIXED 3                           | CUSIP: 3617MFR51<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      549715 | PA      | $495016.58     | 0.00%             | 2050-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR6                                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR6 1A2            | CUSIP: 93363BAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4730144 | PA      | $4540359.51    | 0.01%             | 2036-08-25      | Floating      | 3.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20251003                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $-244831.88    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC4029 FN 03/46 FIXED 4                           | CUSIP: 3140EYPP0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       12845 | PA      | $12367.55      | 0.00%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| EUROPEAN UNION (EU)                                                              | EUROPEAN UNION SR UNSECURED REGS 10/29 2.875                | CUSIP: ACI2Q0PD7<br>LEI: 529900FZRK8FGMPEOM08 | Long             | DBT              | NUSS              | N/A       |   185300000 | PA      | $221254152.65  | 0.49%             | 2029-10-05      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 831599 FN 07/36 FIXED 6                           | CUSIP: 31407H3G9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      455961 | PA      | $479262.76     | 0.00%             | 2036-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2006-3                                                   | FREMONT HOME LOAN TRUST FHLT 2006 3 2A3                     | CUSIP: 35729MAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    40701755 | PA      | $12564175.92   | 0.03%             | 2037-02-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 814035 FN 02/35 FIXED 5                           | CUSIP: 31406MLQ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         746 | PA      | $743.86        | 0.00%             | 2035-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX7244 FN 02/53 FIXED 5.5                         | CUSIP: 3140NCBN8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       47811 | PA      | $48370.25      | 0.00%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ4566 FN 01/48 FIXED 4                           | CUSIP: 3140H6CC1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       35041 | PA      | $33861.96      | 0.00%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALT LOAN TRUST 2006-OA16                                             | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA16 A3           | CUSIP: 23242GAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       62269 | PA      | $48713.69      | 0.00%             | 2046-10-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| CITIBANK NA                                                                      | CITIBANK NA CITIBANK NA                                     | CUSIP: 17325FBK3<br>LEI: E57ODZWZ7FF32TWEFA76 | Long             | DBT              | CORP              | US        |     7750000 | PA      | $7940174.38    | 0.02%             | 2029-08-06      | Fixed         | 4.84%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AR0355 FN 08/43 FIXED 3                           | CUSIP: 3138NWMD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       27652 | PA      | $25488.38      | 0.00%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CARVAL CLO LTD 2018-1A                                                           | CARVAL CLO LTD CARVL 2018 1A AR 144A                        | CUSIP: 146865AJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     7292807 | PA      | $7300589.92    | 0.02%             | 2031-07-16      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 909462 FN 02/37 FIXED 6                           | CUSIP: 31411JMK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       29942 | PA      | $31203.63      | 0.00%             | 2037-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2002-26                                                               | FANNIE MAE FNR 2002 26 A1                                   | CUSIP: 31392CR30<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3112 | PA      | $3245.01       | 0.00%             | 2048-01-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC9887 FN 07/46 FIXED 4                           | CUSIP: 3140F56Z1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      188014 | PA      | $180923.27     | 0.00%             | 2046-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL CALCASIEU PASS LLC                                                | VENTURE GLOBAL CALCASIEU SR SECURED 144A 01/30 6.25         | CUSIP: 92328MAE3<br>LEI: 549300GKHS6RS20NLH85 | Long             | DBT              | CORP              | US        |    13000000 | PA      | $13566410.00   | 0.03%             | 2030-01-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 952931 FN 09/37 FIXED 6                           | CUSIP: 31413REC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4796 | PA      | $4962.36       | 0.00%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-20                                                   | COUNTRYWIDE HOME LOANS CWHL 2006 20 1A35                    | CUSIP: 12544ABL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      416509 | PA      | $185628.75     | 0.00%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 844253 FN 11/35 FIXED 6                           | CUSIP: 31407X5N7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       48980 | PA      | $50035.16      | 0.00%             | 2035-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2005-AR8                                            | STRUCTURED ASSET MORTGAGE INVE SAMI 2005 AR8 A2             | CUSIP: 86359LRY7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3210438 | PA      | $2756346.81    | 0.01%             | 2036-02-25      | Floating      | 6.23%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 806541 FN 01/35 FLOATING VAR                      | CUSIP: 31406DBJ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       90520 | PA      | $92913.04      | 0.00%             | 2035-01-01      | Floating      | 6.56%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 008894 G2 06/26 FLOATING VAR                   | CUSIP: 36202K3B9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        7894 | PA      | $7893.05       | 0.00%             | 2026-06-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2006-AR2                                            | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR2 A1             | CUSIP: 86359LSM2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       47814 | PA      | $44723.04      | 0.00%             | 2036-02-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS COMPANY                                                         | AMERICAN EXPRESS CO SR UNSECURED 03/27 2.55                 | CUSIP: 025816CS6<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |     1960000 | PA      | $1922392.95    | 0.00%             | 2027-03-04      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-61                                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 61 1A1            | CUSIP: 12668AVL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      326649 | PA      | $303519.62     | 0.00%             | 2035-12-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| GSMPS MORTGAGE LOAN TRUST 2005-RP3                                               | GSMPS MORTGAGE LOAN TRUST GSMPS 2005 RP3 1AF 144A           | CUSIP: 362341LL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2611621 | PA      | $2247502.09    | 0.00%             | 2035-09-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC4439 FN 04/46 FIXED 4                           | CUSIP: 3140EY4Z1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      161945 | PA      | $155972.29     | 0.00%             | 2046-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 937715 FN 06/37 FIXED 6                           | CUSIP: 31412XGY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       78595 | PA      | $82615.54      | 0.00%             | 2037-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SYMPHONY CLO 37 LTD                                                              | SYMPHONY CLO LTD SYMP 2022 37A A1AR 144A                    | CUSIP: 87169VAS4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    14075000 | PA      | $14136930.00   | 0.03%             | 2037-01-20      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080086 G2 06/27 FLOATING VAR                   | CUSIP: 36225CCY0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       48765 | PA      | $49060.98      | 0.00%             | 2027-06-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL CM2182 GN 03/52 FIXED 4                           | CUSIP: 3617YMM74<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      154422 | PA      | $145886.95     | 0.00%             | 2052-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2249                                                                 | FREDDIE MAC FHR 2249 DZ                                     | CUSIP: 3133TPH51<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       18704 | PA      | $19414.01      | 0.00%             | 2030-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3013                                                                 | FREDDIE MAC FHR 3013 HZ                                     | CUSIP: 31395XRF4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      404093 | PA      | $411510.12     | 0.00%             | 2035-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-3145                                                                 | FREDDIE MAC FHR 3145 AJ                                     | CUSIP: 31396NCK0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      122216 | PA      | $127173.85     | 0.00%             | 2036-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 008710 G2 10/25 FLOATING VAR                   | CUSIP: 36202KVB8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |           2 | PA      | $1.75          | 0.00%             | 2025-10-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 888757 FN 09/37 FLOATING VAR                      | CUSIP: 31410GME0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         542 | PA      | $558.83        | 0.00%             | 2037-09-01      | Floating      | 6.59%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 843968 FN 11/35 FIXED 6                           | CUSIP: 31407XTZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       10251 | PA      | $10661.30      | 0.00%             | 2035-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2003-106                                                              | FANNIE MAE FNR 2003 106 FA                                  | CUSIP: 31393T2B1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      225450 | PA      | $227679.64     | 0.00%             | 2033-11-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR9                                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR9 1A             | CUSIP: 93363DAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       47017 | PA      | $43253.77      | 0.00%             | 2046-08-25      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                    | CITIGROUP INC SR UNSECURED 06/31 VAR                        | CUSIP: 172967MS7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     8600000 | PA      | $7914472.84    | 0.02%             | 2031-06-03      | Floating      | 2.57%                 | Yes           |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2012-5                                  | GOVERNMENT NATIONAL MORTGAGE A GNR 2012 5 DZ                | CUSIP: 38378CZZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2842372 | PA      | $2767380.24    | 0.01%             | 2041-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR8                                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR8 3A1            | CUSIP: 93362FAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      490799 | PA      | $443361.82     | 0.00%             | 2036-08-25      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC 2007-2                                               | MLCC MORTGAGE INVESTORS INC MLCC 2007 2 2A1                 | CUSIP: 59024WAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      228230 | PA      | $219262.47     | 0.00%             | 2037-06-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| INTEGRITY RE III LTD                                                             | INTEGRITY RE III UNSECURED 144A 06/28 VAR                   | CUSIP: 45870GAE6<br>LEI: 254900VWHVNG2WMBWC74 | Long             | DBT              | CORP              | BM        |      700000 | PA      | $744765.00     | 0.00%             | 2028-06-06      | Floating      | 16.19%                | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 904655 FN 11/36 FIXED 6                           | CUSIP: 31411DBY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2486 | PA      | $2610.35       | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | TRS SOFRINDX/IBXXLLTR 12/22/25 MYC                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $550.00        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-NC5                                            | MORGAN STANLEY CAPITAL INC MSAC 2006 NC5 A2D                | CUSIP: 61749BAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1316319 | PA      | $687282.83     | 0.00%             | 2036-10-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                                                          | HYUNDAI CAPITAL AMERICA SR UNSECURED 144A 09/26 5.95        | CUSIP: 44891ACM7<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    11800000 | PA      | $11989851.38   | 0.03%             | 2026-09-21      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 331427 FN 11/25 FLOATING VAR                      | CUSIP: 31375DD83<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          22 | PA      | $22.25         | 0.00%             | 2025-11-01      | Floating      | 6.57%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 190399 FN 11/39 FIXED VAR                         | CUSIP: 31368HNQ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       30402 | PA      | $31501.57      | 0.00%             | 2039-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.73382 03/01/24-9Y* LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-2940945.58   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| DIAMOND INFRASTRUCTURE FUNDING LLC 2021 1A                                       | DIAMOND INFRASTRUCTURE FUNDING DNFRA 2021 1A A 144A         | CUSIP: 25265LAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1100000 | PA      | $1055475.96    | 0.00%             | 2049-04-15      | Fixed         | 1.76%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 841782 FN 09/35 FLOATING VAR                      | CUSIP: 31407VFX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       87869 | PA      | $89864.35      | 0.00%             | 2035-09-01      | Floating      | 6.51%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 879680 FN 05/36 FLOATING VAR                      | CUSIP: 31409VJZ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       57211 | PA      | $58940.41      | 0.00%             | 2036-05-01      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| TRNTS-2021-17A                                                                   | TRINITAS CLO LTD TRNTS 2021 17A AR 144A                     | CUSIP: 89642JAL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    29700000 | PA      | $29700376.00   | 0.07%             | 2034-10-20      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDEX MORTGAGE LOAN TRUST 2007-AR13                                      | INDYMAC INDX MORTGAGE LOAN TRU INDX 2007 AR13 4A1           | CUSIP: 456681AE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      873722 | PA      | $565843.19     | 0.00%             | 2037-07-25      | Floating      | 3.33%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT KRW SOLD USD 20251022                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $-97294.87     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MEXICO GOVT                                                                      | UNITED MEXICAN STATES UNITED MEXICAN STATES                 | CUSIP: 91087BAZ3<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     1100000 | PA      | $1127060.00    | 0.00%             | 2036-05-07      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080409 G2 05/30 FLOATING VAR                   | CUSIP: 36225CN36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       18832 | PA      | $18825.39      | 0.00%             | 2030-05-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2001-64                                                               | FANNIE MAE FNR 2001 64 ZG                                   | CUSIP: 31392AFF0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      402829 | PA      | $416327.82     | 0.00%             | 2031-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 804965 FN 12/34 FLOATING VAR                      | CUSIP: 31406BJJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1524 | PA      | $1550.93       | 0.00%             | 2034-12-01      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL C00921 FG 02/30 FIXED 7.5                 | CUSIP: 31292HAW4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         338 | PA      | $350.46        | 0.00%             | 2030-02-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| RCKT MORTGAGE TRUST 2025-CES9                                                    | WOODWARD CAPITAL MANAGEMENT RCKT 2025 CES9 A1A 144A         | CUSIP: 74942JAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6000000 | PA      | $5989529.58    | 0.01%             | 2055-09-25      | Fixed         | 4.79%                 | No            |                  3 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QG1387 FR 04/53 FIXED 5.5                 | CUSIP: 3133C1RG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     6229268 | PA      | $6309531.72    | 0.01%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON COMPANY                                               | SOUTHERN CAL EDISON 1ST MORTGAGE 03/26 5.35                 | CUSIP: 842400JB0<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    18600000 | PA      | $18674703.37   | 0.04%             | 2026-03-01      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZK3320 FR 06/26 FIXED 3.5                 | CUSIP: 3131X6VM9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5928 | PA      | $5894.01       | 0.00%             | 2026-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 323995 FN 10/29 FIXED VAR                         | CUSIP: 31374T3C1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1587 | PA      | $1630.74       | 0.00%             | 2029-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080249 G2 01/29 FLOATING VAR                   | CUSIP: 36225CH33<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       42987 | PA      | $43190.54      | 0.00%             | 2029-01-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2009-106                                                              | FANNIE MAE FNR 2009 106 SL                                  | CUSIP: 31398GUQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       43011 | PA      | $4288.65       | 0.00%             | 2040-01-25      | Floating      | 1.78%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BA4244 FN 11/45 FIXED 4                           | CUSIP: 3140E8WE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2035 | PA      | $1960.43       | 0.00%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3793 FN 08/49 FIXED 6                           | CUSIP: 31418DGB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       40030 | PA      | $41367.55      | 0.00%             | 2049-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC2717 FN 04/46 FIXED 4                           | CUSIP: 3140EXAT0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      394863 | PA      | $379115.70     | 0.00%             | 2046-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-J3                                                   | COUNTRYWIDE HOME LOANS CWHL 2005 J3 2A4                     | CUSIP: 12669G4V0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      257873 | PA      | $226997.89     | 0.00%             | 2035-09-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                       | JAPAN (20 YEAR ISSUE) BONDS 03/45 2.4                       | CUSIP: ACI2WJ7V9<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        | 11554800000 | PA      | $76113929.20   | 0.17%             | 2045-03-20      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BA2924 FN 12/45 FIXED 4                           | CUSIP: 3140E7HA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4047 | PA      | $3916.72       | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2005-A3                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2005 A3 1A1                  | CUSIP: 466247PV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      147022 | PA      | $148596.60     | 0.00%             | 2035-06-25      | Floating      | 6.05%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2022-2                                                | VERUS SECURITIZATION TRUST VERUS 2022 2 A1 144A             | CUSIP: 92538XAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      772428 | PA      | $744133.76     | 0.00%             | 2067-02-25      | Variable      | 4.26%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 008891 G2 06/26 FLOATING VAR                   | CUSIP: 36202K2Y0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         319 | PA      | $319.25        | 0.00%             | 2026-06-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 894849 FN 09/36 FIXED 6                           | CUSIP: 31410REW5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       10115 | PA      | $10403.75      | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| EMORY UNIVERSITY                                                                 | EMORY UNIVERSITY UNSECURED 09/30 2.143                      | CUSIP: 29157TAD8<br>LEI: 95MD72NUUVZ3P8PQ6919 | Long             | DBT              | CORP              | US        |     7300000 | PA      | $6642384.32    | 0.01%             | 2030-09-01      | Fixed         | 2.14%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                             | JPMORGAN CHASE + CO SR UNSECURED 04/27 VAR                  | CUSIP: 46647PCB0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     9900000 | PA      | $9759403.76    | 0.02%             | 2027-04-22      | Floating      | 1.58%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-12CB                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 12CB A10          | CUSIP: 12668BXF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2010970 | PA      | $759145.01     | 0.00%             | 2036-05-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| JAB HOLDINGS BV                                                                  | JAB HOLDINGS BV COMPANY GUAR 144A 11/30 2.2                 | CUSIP: 46653KAA6<br>LEI: 529900RRNKUM3INJGF98 | Long             | DBT              | CORP              | NL        |      335000 | PA      | $294328.03     | 0.00%             | 2030-11-23      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                                 | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 01/26 3.15              | CUSIP: 694308JP3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    35240000 | PA      | $35130442.72   | 0.08%             | 2026-01-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 742918 FN 09/33 FLOATING VAR                      | CUSIP: 31403AK79<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5629 | PA      | $5773.35       | 0.00%             | 2033-09-01      | Floating      | 6.35%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2023-5A                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2023 5A R 144A          | CUSIP: 21056EAL2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     9940059 | PA      | $4454084.50    | 0.01%             | 2053-11-25      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QS13                                             | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QS13 1A9           | CUSIP: 75115DAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      691034 | PA      | $554836.48     | 0.00%             | 2036-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HGI CRE CLO 2022-FL3 LTD                                                         | HGI CRE CLO LTD HGI 2022 FL3 A 144A                         | CUSIP: 403950AA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    15762059 | PA      | $15801435.44   | 0.03%             | 2037-04-20      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| TBW MTGE BACKED PASS THRU CERT 2006-6                                            | TBW MORTGAGE BACKED PASS THROU TBW 2006 6 A6A               | CUSIP: 87222PAV5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      450760 | PA      | $100740.36     | 0.00%             | 2037-01-25      | Variable      | 6.13%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QD8806 FR 03/52 FIXED 3                   | CUSIP: 3133B6YB0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      459339 | PA      | $405088.12     | 0.00%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 394854 FN 05/27 FIXED 6.5                         | CUSIP: 31378CTK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1945 | PA      | $2007.22       | 0.00%             | 2027-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAP CERT 2007-5                                           | CREDIT SUISSE MORTGAGE TRUST CSMC 2007 5 1A11               | CUSIP: 22944BAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4544744 | PA      | $2145464.10    | 0.00%             | 2037-08-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL AK5750 GN 12/44 FIXED 3.5                         | CUSIP: 36183PL70<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       31729 | PA      | $29677.71      | 0.00%             | 2044-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTGE INVEST 2006-AR5                                            | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR5 1A1            | CUSIP: 86360JAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       43233 | PA      | $30497.48      | 0.00%             | 2036-05-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 531247 GN 07/30 FIXED 9                           | CUSIP: 36212EEU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1433 | PA      | $1512.63       | 0.00%             | 2030-07-15      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL0443 FN 04/29 FIXED VAR                         | CUSIP: 3138EGP57<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       19828 | PA      | $19895.42      | 0.00%             | 2029-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 889380 FN 04/38 FLOATING VAR                      | CUSIP: 31410KCR3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         659 | PA      | $673.01        | 0.00%             | 2038-04-01      | Floating      | 6.57%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 870702 FN 08/36 FIXED 6                           | CUSIP: 31409GKP0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      164682 | PA      | $173103.96     | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-20                                                               | FANNIE MAE FNR 2007 20 FP                                   | CUSIP: 31396PZ95<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      233170 | PA      | $230299.53     | 0.00%             | 2037-03-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| WARWICK FINANCE RESIDENTIAL MORTGAGES 3A                                         | WARWICK FINANCE RESIDENTIAL MO WARW 3A E 144A               | CUSIP: ACI0Y9JP3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     6656000 | PA      | $8854973.03    | 0.02%             | 2049-12-21      | Floating      | 7.12%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 991576 FN 11/38 FIXED 6                           | CUSIP: 31415WQ55<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       29366 | PA      | $30601.95      | 0.00%             | 2038-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINANCIAL COMPANY INC                                             | GENERAL MOTORS FINL CO GENERAL MOTORS FINL CO               | CUSIP: 37045XES1<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    12100000 | PA      | $12166243.75   | 0.03%             | 2027-05-08      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2006-J8                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 J8 A2             | CUSIP: 23245LAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      464267 | PA      | $176158.19     | 0.00%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QG4720 FR 06/53 FIXED 5.5                 | CUSIP: 3133C5G54<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2788086 | PA      | $2820306.34    | 0.01%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 008878 G2 05/26 FLOATING VAR                   | CUSIP: 36202K2K0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1256 | PA      | $1252.90       | 0.00%             | 2026-05-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| BMW US CAPITAL LLC                                                               | BMW US CAPITAL LLC COMPANY GUAR 144A 03/27 4.65             | CUSIP: 05565ECU7<br>LEI: KK5MZM9DIXLXZL9DZL15 | Long             | DBT              | CORP              | US        |    15400000 | PA      | $15534351.76   | 0.03%             | 2027-03-19      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 938805 FN 06/37 FIXED 6                           | CUSIP: 31412YNW8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       21453 | PA      | $22377.72      | 0.00%             | 2037-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3609                                                                 | FREDDIE MAC FHR 3609 F                                      | CUSIP: 31398LN38<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        7593 | PA      | $7623.05       | 0.00%             | 2036-08-15      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| CRSNT TRUST 2021-MOON                                                            | CRSNT TRUST CRSNT 2021 MOON A 144A                          | CUSIP: 22877LAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    39401000 | PA      | $39141422.27   | 0.09%             | 2036-04-15      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 003071 G2 04/31 FIXED 8                        | CUSIP: 36202DMU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1292 | PA      | $1336.37       | 0.00%             | 2031-04-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 956517 FN 10/37 FIXED 6                           | CUSIP: 31413VDW4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2316 | PA      | $2399.63       | 0.00%             | 2037-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2006-42                                                               | FANNIE MAE FNR 2006 42 LF                                   | CUSIP: 31395DVC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      104423 | PA      | $103889.40     | 0.00%             | 2036-06-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 820401 FN 05/35 FLOATING VAR                      | CUSIP: 31406UNS3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       18653 | PA      | $19174.56      | 0.00%             | 2035-05-01      | Floating      | 6.80%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                                | REPUBLIC OF SOUTH AFRICA SR UNSECURED 03/36 6.25            | CUSIP: B1W32LII9<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |   208700000 | PA      | $9592707.59    | 0.02%             | 2036-03-31      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 004049 G2 11/37 FIXED 6                        | CUSIP: 36202EQA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1589 | PA      | $1671.17       | 0.00%             | 2037-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3460 FN 09/28 FIXED 3.5                         | CUSIP: 31418CZ23<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      129396 | PA      | $128540.90     | 0.00%             | 2028-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB0194 FN 01/39 FIXED 5.5                         | CUSIP: 31416VGC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      264313 | PA      | $275198.94     | 0.00%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL0898 FN 02/31 FIXED VAR                         | CUSIP: 3138EG7L2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       13281 | PA      | $13447.06      | 0.00%             | 2031-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 255984 FN 11/25 FIXED 4.5                         | CUSIP: 31371MJ57<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          42 | PA      | $42.00         | 0.00%             | 2025-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2003-8                               | BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 8 2A1             | CUSIP: 07384MZS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      465416 | PA      | $446536.62     | 0.00%             | 2034-01-25      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                                                        | AMGEN INC SR UNSECURED 03/28 5.15                           | CUSIP: 031162DP2<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |    31160000 | PA      | $31892137.54   | 0.07%             | 2028-03-02      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT MXN SOLD USD 20251217                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $52976.47      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AV0926 FN 12/43 FIXED 4                           | CUSIP: 3138XCA44<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      115513 | PA      | $112121.69     | 0.00%             | 2043-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| INDYMAC ARM TRUST 2001-H2                                                        | INDYMAC ARM TRUST INARM 2001 H2 A1                          | CUSIP: 45660UAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       23017 | PA      | $22575.48      | 0.00%             | 2032-01-25      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB0534 FN 11/38 FIXED 5.5                         | CUSIP: 31416VSY1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4265 | PA      | $4440.07       | 0.00%             | 2038-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD AUD BOUGHT USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |           1 | NC      | $-98970.71     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 896095 FN 06/36 FIXED 6                           | CUSIP: 31410SRQ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       10793 | PA      | $11126.72      | 0.00%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A2                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2006 A2 2A2                  | CUSIP: 466247J53<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      868264 | PA      | $760910.85     | 0.00%             | 2036-04-25      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2007-OA11                                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 OA11 A1A          | CUSIP: 02151WAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1619550 | PA      | $1450818.60    | 0.00%             | 2047-11-25      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA5399 G2 08/48 FIXED 4.5                      | CUSIP: 36179T7L3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    26878593 | PA      | $26604536.80   | 0.06%             | 2048-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AJ9545 FN 01/42 FIXED 4                           | CUSIP: 3138E2TB1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       18230 | PA      | $17743.58      | 0.00%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 256639 FN 02/27 FIXED 5                           | CUSIP: 31371NBG9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       22141 | PA      | $22146.88      | 0.00%             | 2027-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 928904 FN 12/37 FIXED 6                           | CUSIP: 31412MAD0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       47858 | PA      | $48974.13      | 0.00%             | 2037-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| URSA RE LTD                                                                      | URSA RE LTD UNSECURED 144A 12/28 VAR                        | CUSIP: 90323WAN0<br>LEI: 549300O8X4DWGDJZ6W59 | Long             | DBT              | CORP              | BM        |    25000000 | PA      | $26098750.00   | 0.06%             | 2028-12-07      | Floating      | 13.18%                | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AT9370 FN 07/43 FIXED 3                           | CUSIP: 3138WXMU8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       59099 | PA      | $54368.57      | 0.00%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD GBP BOUGHT USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $-426473.99    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL C76699 FG 02/33 FIXED 6.5                 | CUSIP: 31288FNQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5278 | PA      | $5502.32       | 0.00%             | 2033-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20251121                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $122223.43     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT MXN SOLD USD 20251217                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $5191.29       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT DKK SOLD USD 20251104                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |           1 | NC      | $12419.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MTGE SEC CORP 2004-AR8                                           | CREDIT SUISSE FIRST BOSTON MOR CSFB 2004 AR8 8M1            | CUSIP: 22541SXR4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      196343 | PA      | $378133.59     | 0.00%             | 2034-09-25      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2930 FN 03/47 FIXED 4                           | CUSIP: 31418CHG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        6399 | PA      | $6155.78       | 0.00%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL9983 FN 02/42 FIXED VAR                         | CUSIP: 3138ESCV8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       79510 | PA      | $82678.16      | 0.00%             | 2042-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOME MTGE ASSETS 2005-1                                                 | AMERICAN HOME MORTGAGE ASSETS AHMA 2005 1 2A21              | CUSIP: 02660VAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1887536 | PA      | $1257884.74    | 0.00%             | 2035-11-25      | Floating      | 3.49%                 | No            |                  2 | On Loan: No      |
| REALTY INCOME CORPORATION                                                        | REALTY INCOME CORP SR UNSECURED 06/28 2.2                   | CUSIP: 756109BJ2<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |      550000 | PA      | $524397.08     | 0.00%             | 2028-06-15      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5137 FN 09/53 FIXED 5                           | CUSIP: 31418EV72<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1204431 | PA      | $1199147.80    | 0.00%             | 2053-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2024-A                                        | CONSUMER LOAN FINANCE ISSUER T CLFT 2024 A E 144A           | CUSIP: 21050QAF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2576000 | PA      | $2627404.08    | 0.01%             | 2054-11-25      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR12                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR12 1A4           | CUSIP: 92922F3J5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      198723 | PA      | $182542.56     | 0.00%             | 2035-10-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| PROVINCE OF QUEBEC                                                               | PROVINCE OF QUEBEC SR UNSECURED 09/34 4.45                  | CUSIP: 74814ZFT5<br>LEI: 549300WN65YFEQH74Y36 | Long             | DBT              | NUSS              | CA        |   275700000 | PA      | $211136543.49  | 0.47%             | 2034-09-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS1538 FN 01/44 FIXED 3                           | CUSIP: 3138WAV87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      191329 | PA      | $175895.58     | 0.00%             | 2044-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP (AKA: AMERICAN TOWER REIT INC)                               | AMERICAN TOWER CORP SR UNSECURED 11/28 5.8                  | CUSIP: 03027XCE8<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |      825000 | PA      | $861780.88     | 0.00%             | 2028-11-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2024-A                                        | CONSUMER LOAN FINANCE ISSUER T CLFT 2024 A R 144A           | CUSIP: 21050QAG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     7230815 | PA      | $3563612.08    | 0.01%             | 2054-11-25      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL BD1041 GN 09/47 FIXED 3.5                         | CUSIP: 3617BGEN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      416896 | PA      | $388731.83     | 0.00%             | 2047-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOUTH AFRICA EM SP MYC                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $2864576.88    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| VENTURE XXIX CLO LTD 2017-29A                                                    | VENTURE CDO LTD VENTR 2017 29A AR 144A                      | CUSIP: 92331EAF3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     7445332 | PA      | $7456342.52    | 0.02%             | 2030-09-07      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX9941 FN 06/53 FIXED 5.5                         | CUSIP: 3140NFBK7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3086579 | PA      | $3124368.20    | 0.01%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2005-AR5                                            | STRUCTURED ASSET MORTGAGE INVE SAMI 2005 AR5 A1             | CUSIP: 86359LPD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      658080 | PA      | $634501.27     | 0.00%             | 2035-07-19      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| CENTENE CORPORATION                                                              | CENTENE CORP SR UNSECURED 12/29 4.625                       | CUSIP: 15135BAT8<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |    22043000 | PA      | $21386806.78   | 0.05%             | 2029-12-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 3 SINGLE FAMILY MORTGAGE                     | CUSIP: 01F0306A1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   273000000 | PA      | $239834231.91  | 0.53%             | 2055-10-14      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2016-C37                                   | WELLS FARGO COMMERCIAL MORTGAG WFCM 2016 C37 ASB            | CUSIP: 95000PAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1923587 | PA      | $1915305.03    | 0.00%             | 2049-12-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317UACJA3 PIMCO SWAPTION 3.698 PUT USD 2025100              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -57500000 | NC      | $-102718.00    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FIDELITY NATIONAL INFORMATION SERVICES INC                                       | FIDELITY NATL INFO SERV SR UNSECURED 03/26 1.15             | CUSIP: 31620MBR6<br>LEI: 6WQI0GK1PRFVBA061U48 | Long             | DBT              | CORP              | US        |     4000000 | PA      | $3949600.68    | 0.01%             | 2026-03-01      | Fixed         | 1.15%                 | No            |                  2 | On Loan: No      |
| LIBERTY UTILITIES FINANCE GP1                                                    | LIBERTY UTILITIES FIN COMPANY GUAR 144A 09/30 2.05          | CUSIP: 531546AB5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    14600000 | PA      | $13036217.51   | 0.03%             | 2030-09-15      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 780977 GN 12/28 FIXED 7.5                         | CUSIP: 36225BCN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         687 | PA      | $700.69        | 0.00%             | 2028-12-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 940102 FN 07/37 FIXED 6                           | CUSIP: 31413A3K7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       45263 | PA      | $46236.55      | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANK PLC                                                                  | LLOYDS BANK PLC SR UNSECURED REGS 04/32 VAR                 | CUSIP: ACI14DZD4<br>LEI: H7FNTJ4851HG0EXQ1Z70 | Long             | DBT              | CORP              | GB        |    41200000 | PA      | $30640666.60   | 0.07%             | 2032-04-02      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                            | WELLS FARGO + COMPANY SR UNSECURED 07/28 VAR                | CUSIP: 95000U3A9<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    14267000 | PA      | $14438590.78   | 0.03%             | 2028-07-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 938838 FN 05/37 FIXED 6                           | CUSIP: 31412YPX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       17172 | PA      | $17702.67      | 0.00%             | 2037-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 824721 FN 05/35 FLOATING VAR                      | CUSIP: 31407AG62<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      263646 | PA      | $269669.41     | 0.00%             | 2035-05-01      | Floating      | 6.55%                 | No            |                  2 | On Loan: No      |
| AON NORTH AMERICA INC                                                            | AON NORTH AMERICA INC AON NORTH AMERICA INC                 | CUSIP: 03740MAB6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     4800000 | PA      | $4940761.01    | 0.01%             | 2029-03-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| CHASE MORGAGE FINANCE CORP 2005-A1                                               | CHASE MORTGAGE FINANCE CORPORA CHASE 2005 A1 3A1            | CUSIP: 16162WPJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      613150 | PA      | $534364.19     | 0.00%             | 2035-12-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DA0868 FN 09/53 FIXED 6.5                         | CUSIP: 3140A06E4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       98054 | PA      | $101562.43     | 0.00%             | 2053-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 1H2524 FH 08/35 FLOATING VAR              | CUSIP: 3128QLPH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1881 | PA      | $1949.64       | 0.00%             | 2035-08-01      | Floating      | 6.47%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / GLP FINANCING II INC                                            | GLP CAPITAL LP / FIN II COMPANY GUAR 11/37 5.75             | CUSIP: 361841AW9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    15000000 | PA      | $14907339.00   | 0.03%             | 2037-11-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| PERFORMER FUNDING 1 PLC 1A                                                       | PERFORMER FUNDING PERFF 1A RC                               | CUSIP: ACI2M18T3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | GB        |       14000 | PA      | $0.03          | 0.00%             | 2035-06-21      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2024-RP3                                           | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2024 RP3 PT 144A        | CUSIP: 173112AS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   341821907 | PA      | $280672223.76  | 0.62%             | 2063-02-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| NOVASTAR HOME EQUITY LOAN 2003-3                                                 | NOVASTAR HOME EQUITY LOAN NHEL 2003 3 A1                    | CUSIP: 66987XCQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      149636 | PA      | $149777.10     | 0.00%             | 2033-12-25      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                                    | FORD MOTOR CREDIT CO LLC SR UNSECURED 03/29 5.8             | CUSIP: 345397E58<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    57900000 | PA      | $58771692.03   | 0.13%             | 2029-03-08      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 254016 FN 09/31 FIXED 8.5                         | CUSIP: 31371KDV0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         302 | PA      | $303.38        | 0.00%             | 2031-09-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| SOUTHWESTERN ELECTRIC POWER COMPANY                                              | SOUTHWESTERN ELEC POWER SR UNSECURED 09/28 4.1              | CUSIP: 845437BR2<br>LEI: R64UBJHEC74EB3HGQ410 | Long             | DBT              | CORP              | US        |      257000 | PA      | $256288.80     | 0.00%             | 2028-09-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DB1100 FN 04/54 FIXED 5.5                         | CUSIP: 3140AAGJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      869622 | PA      | $878396.33     | 0.00%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB8897 FN 04/43 FIXED 3                           | CUSIP: 31417F3F3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      495823 | PA      | $456190.55     | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 898810 FN 11/36 FIXED 6                           | CUSIP: 31410VR77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      139848 | PA      | $145739.79     | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2019-81                                                        | FANNIE MAE FNR 2019 81 QF                                   | CUSIP: 3136B8FD6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      374588 | PA      | $366089.40     | 0.00%             | 2049-12-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON MTGE PT TR 2006-AR3                                                | FIRST HORIZON MORTGAGE PASS TH FHASI 2006 AR3 3A1           | CUSIP: 32052EAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      329341 | PA      | $260247.94     | 0.00%             | 2036-10-25      | Floating      | 3.51%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CNH BOUGHT USD 20251016                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $115741.70     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AU2270 FN 08/43 FIXED 3                           | CUSIP: 3138X1QY5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       61411 | PA      | $56463.49      | 0.00%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 905097 FN 11/36 FIXED 6                           | CUSIP: 31411DRS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       14858 | PA      | $15404.21      | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SPECIALTY UNDERWRNG & RES FIN 2006-BC5                                           | SPECIALTY UNDERWRITING + RESID SURF 2006 BC5 A2C            | CUSIP: 84751NAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      354794 | PA      | $194419.62     | 0.00%             | 2037-11-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TREASURY BILL 01/26 0.00000                                 | CUSIP: 912797SF5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      507000 | PA      | $501407.41     | 0.00%             | 2026-01-13      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q50032 FG 08/47 FIXED 4                   | CUSIP: 3132XSBA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     6962789 | PA      | $6706463.84    | 0.01%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2023-4A                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2023 4A R 144A          | CUSIP: 21056DAL4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     5509843 | PA      | $2522435.33    | 0.01%             | 2053-11-25      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QI7629 FR 06/54 FIXED 5.5                 | CUSIP: 3133WEPN4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      445836 | PA      | $453928.61     | 0.00%             | 2054-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AD9746 FN 12/25 FIXED 3.5                         | CUSIP: 31418XZL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3027 | PA      | $3016.94       | 0.00%             | 2025-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2008-RR1                                              | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2008 RR1 A1A1 144A      | CUSIP: 173145AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      148156 | PA      | $132419.06     | 0.00%             | 2037-01-25      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2006-3                                               | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 3 2A1A            | CUSIP: 41161QAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3402262 | PA      | $1603001.60    | 0.00%             | 2036-06-19      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2135                                                                 | FREDDIE MAC FHR 2135 OH                                     | CUSIP: 3133TJX40<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       82221 | PA      | $84263.03      | 0.00%             | 2029-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BROOKFIELD FINANCE INC                                                           | BROOKFIELD FINANCE INC COMPANY GUAR 04/30 4.35              | CUSIP: 11271LAE2<br>LEI: 549300XH8D8K6OYWGD17 | Long             | DBT              | CORP              | CA        |     1200000 | PA      | $1199660.50    | 0.00%             | 2030-04-15      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                                    | FORD MOTOR CREDIT CO LLC SR UNSECURED 11/30 4               | CUSIP: 345397B36<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    12500000 | PA      | $11663893.63   | 0.03%             | 2030-11-13      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3149 FN 10/47 FIXED 4                           | CUSIP: 31418CQB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       87887 | PA      | $84521.65      | 0.00%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.25000 06/18/25-5Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $4988779.50    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 947893 FN 11/37 FIXED 5.5                         | CUSIP: 31413KRN3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1766 | PA      | $1838.68       | 0.00%             | 2037-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AE0103 FN 05/39 FIXED VAR                         | CUSIP: 31419ADH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       95587 | PA      | $100782.50     | 0.00%             | 2039-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CALIFORNIA STATE                                                                 | CALIFORNIA ST CAS 04/34 FIXED 7.5                           | CUSIP: 13063A5E0<br>LEI: 9845007J7054602FF597 | Long             | DBT              | MUN               | US        |        2000 | PA      | $2348.57       | 0.00%             | 2034-04-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 993926 FN 01/39 FIXED 4                           | CUSIP: 31416AD72<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       45689 | PA      | $44744.21      | 0.00%             | 2039-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZA2468 FR 08/37 FIXED 3                   | CUSIP: 31329KW59<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      216647 | PA      | $204922.84     | 0.00%             | 2037-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BARCLAYS COMMERCIAL MORTGAGE TRUST 2020-C6                                       | BARCLAYS COMMERCIAL MORTGAGE S BBCMS 2020 C6 ASB            | CUSIP: 05492TAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2625775 | PA      | $2545002.33    | 0.01%             | 2053-02-15      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM1217 FN 07/49 FIXED VAR                         | CUSIP: 3140X4K70<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       71607 | PA      | $66805.25      | 0.00%             | 2049-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH 1ST FRANKLIN MTG LN 2007-1                                         | MERRILL LYNCH FIRST FRANKLIN M FFMER 2007 1 A2B             | CUSIP: 59023LAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2056996 | PA      | $775010.20     | 0.00%             | 2037-04-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 684026 FN 02/33 FIXED 6                           | CUSIP: 31400C4K7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       31848 | PA      | $32527.73      | 0.00%             | 2033-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AP6681 FN 09/42 FIXED 4                           | CUSIP: 3138MAM70<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      150590 | PA      | $147290.15     | 0.00%             | 2042-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC CORP 2006-EMX9                                             | RESIDENTIAL ASSET SECURITIES C RASC 2006 EMX9 2A            | CUSIP: 74924VAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3530875 | PA      | $3293371.30    | 0.01%             | 2036-11-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | AT&T INC SNR S* ICE                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $23637.98      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD SEK BOUGHT USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |           1 | NC      | $-298363.70    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 959614 FN 11/37 FIXED 6                           | CUSIP: 31413YSB8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4974 | PA      | $5080.55       | 0.00%             | 2037-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NEW SOUTH WALES TREASURY CORPORATION                                             | NEW S WALES TREASURY CRP LOCAL GOVT G 11/25 2.75            | CUSIP: B29HRSII0<br>LEI: TC7LRO17HPNPLTAV0H77 | Long             | DBT              | NUSS              | AU        |     1616565 | PA      | $1072735.30    | 0.00%             | 2025-11-20      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AT2619 FN 08/43 FIXED 3                           | CUSIP: 3138WP4D3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        9844 | PA      | $9059.80       | 0.00%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| KIRKBY RMBS PLC 1A                                                               | KIRKBY RMBS KIRK 1A Y 144A                                  | CUSIP: ACI12JZ43<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |        2223 | PA      | $4821030.00    | 0.01%             | 2045-02-22      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| VIRGIN MEDIA SECURED FINANCE PLC                                                 | VIRGIN MEDIA SECURED FIN SR SECURED REGS 05/29 5.25         | CUSIP: ACI1BWMH9<br>LEI: 213800X3RLP4NOTPY579 | Long             | DBT              | CORP              | GB        |    10000000 | PA      | $13174318.07   | 0.03%             | 2029-05-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080156 G2 01/28 FLOATING VAR                   | CUSIP: 36225CE69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        7296 | PA      | $7272.20       | 0.00%             | 2028-01-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD EUR BOUGHT USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-24751.13     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3799 FN 10/34 FIXED 3.5                         | CUSIP: 31418DGH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      357602 | PA      | $349099.71     | 0.00%             | 2034-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT KRW SOLD USD 20251015                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $-1602.72      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS8359 FN 11/46 FIXED 3                           | CUSIP: 3138WJJD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        6941 | PA      | $6276.77       | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| RIPON MORTGAGES PLC 25-1A                                                        | RIPON MORTGAGES RIPON 2025 1A Z 144A                        | CUSIP: ACI2V5FF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    11760000 | PA      | $11917480.09   | 0.03%             | 2056-08-28      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 002660 G2 10/28 FIXED 7.5                      | CUSIP: 36202C5V1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         203 | PA      | $203.08        | 0.00%             | 2028-10-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                                                    | BOEING CO SR UNSECURED 05/30 5.15                           | CUSIP: 097023CY9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    30741000 | PA      | $31555578.09   | 0.07%             | 2030-05-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH5119 FN 08/47 FIXED 3.5                         | CUSIP: 3140GTVM9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       26865 | PA      | $25068.18      | 0.00%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2004-AR15                                           | INDYMAC INDX MORTGAGE LOAN TRU INDX 2004 AR15 1A1           | CUSIP: 45660LBE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      211243 | PA      | $189862.86     | 0.00%             | 2035-02-25      | Floating      | 3.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS7247 FN 05/46 FIXED 4                           | CUSIP: 3138WHBR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      354471 | PA      | $341066.65     | 0.00%             | 2046-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3408 FN 07/28 FIXED 3.5                         | CUSIP: 31418CYE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1758 | PA      | $1743.98       | 0.00%             | 2028-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                            | WELLS FARGO + COMPANY SR UNSECURED 04/31 VAR                | CUSIP: 95000U3W1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    18800000 | PA      | $19393867.75   | 0.04%             | 2031-04-23      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 902116 FN 09/36 FIXED 6                           | CUSIP: 31411AGZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5452 | PA      | $5641.12       | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UWM-2021-INV4                                                                    | UNITED WHOLESALE MORTGAGE LLC UWM 2021 INV4 A3 144A         | CUSIP: 918307AC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    76107983 | PA      | $62967802.86   | 0.14%             | 2051-12-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 003153 G2 10/31 FIXED 8                        | CUSIP: 36202DQE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          48 | PA      | $48.11         | 0.00%             | 2031-10-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS5668 FN 08/45 FIXED 4                           | CUSIP: 3138WFJN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1082496 | PA      | $1041783.08    | 0.00%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD SGD BOUGHT USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $2095093.00    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX8429 FN 04/53 FIXED 5.5                         | CUSIP: 3140NDLK1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3156985 | PA      | $3197124.91    | 0.01%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL BF3228 GN 01/48 FIXED 4                           | CUSIP: 3617G9SR3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5548 | PA      | $5275.73       | 0.00%             | 2048-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMIC 2082                                                           | FREDDIE MAC FHR 2082 Z                                      | CUSIP: 3133TG7D5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      167034 | PA      | $169993.36     | 0.00%             | 2028-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ8607 FN 04/33 FIXED 3                           | CUSIP: 3140HAR51<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      373526 | PA      | $361256.75     | 0.00%             | 2033-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL AB7792 GN 11/42 FIXED 3.5                         | CUSIP: 36178UUR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       15867 | PA      | $14841.54      | 0.00%             | 2042-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVEST LN TRUST-2005-11                                         | STRUCTURED ASSET INVESTMENT LO SAIL 2005 11 A3              | CUSIP: 86358EZP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      755778 | PA      | $747143.73     | 0.00%             | 2036-01-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| NEW ORLEANS HOTEL TRUST 2019-HNLA                                                | NEW ORLEANS HOTEL TRUST NOHT 2019 HNLA A 144A               | CUSIP: 647622AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2790000 | PA      | $2773982.89    | 0.01%             | 2032-04-15      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AD7712 FN 02/39 FIXED 5                           | CUSIP: 31418VSA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        7134 | PA      | $7318.22       | 0.00%             | 2039-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 735896 FN 09/35 FIXED VAR                         | CUSIP: 31402RRR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       39718 | PA      | $41856.10      | 0.00%             | 2035-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MF1 2022-FL8 LTD                                                                 | MF1 MULTIFAMILY HOUSING MORTGA MF1 2022 FL8 A 144A          | CUSIP: 55284JAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    18723926 | PA      | $18747459.77   | 0.04%             | 2037-02-19      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 903546 FN 10/36 FIXED 6                           | CUSIP: 31411BZK2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       23673 | PA      | $24428.73      | 0.00%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 434619 GN 11/29 FIXED 8.5                         | CUSIP: 36207KYQ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         557 | PA      | $558.40        | 0.00%             | 2029-11-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                            | WELLS FARGO + COMPANY SR UNSECURED 10/26 3                  | CUSIP: 949746SH5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     4263000 | PA      | $4220549.39    | 0.01%             | 2026-10-23      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-17                                                   | COUNTRYWIDE HOME LOANS CWHL 2005 17 1A6                     | CUSIP: 12669G5S6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      135700 | PA      | $136077.54     | 0.00%             | 2035-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL CQ6089 G2 11/47 FIXED 3                        | CUSIP: 3618A8XS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4421865 | PA      | $3935267.14    | 0.01%             | 2047-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL H09174 FG 03/38 FIXED 5.5                 | CUSIP: 3128UNFP2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4321 | PA      | $4399.68       | 0.00%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD KRW BOUGHT USD 20251022                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $-148072.38    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 936526 FN 07/37 FIXED 6                           | CUSIP: 31412V4K1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       27161 | PA      | $28636.77      | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 351217 FN 07/26 FLOATING VAR                      | CUSIP: 31376CDW1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         225 | PA      | $224.84        | 0.00%             | 2026-07-01      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AH3487 FN 02/26 FIXED 3.5                         | CUSIP: 3138A42V6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        9958 | PA      | $9917.66       | 0.00%             | 2026-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL BO1489 GN 06/49 FIXED 4                           | CUSIP: 3617KGUN8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1876458 | PA      | $1778929.52    | 0.00%             | 2049-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SECURITIES, INC. 2006-AB4                                         | DEUTSCHE ALT A SECURITIES INC DBALT 2006 AB4 A1A            | CUSIP: 251513AQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      265336 | PA      | $232394.67     | 0.00%             | 2036-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT ILS SOLD USD 20251113                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $42413.28      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED AIRLINES 2018-1 CLASS AA PASS THROUGH TRUST                               | UNITED AIR 2018 1 AA PTT PASS THRU CE 09/31 3.5             | CUSIP: 909318AA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     5189153 | PA      | $4987551.83    | 0.01%             | 2031-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                                                 | SOCIETE GENERALE SR UNSECURED 144A 12/26 VAR                | CUSIP: 83368RAZ5<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    21100000 | PA      | $20970524.49   | 0.05%             | 2026-12-14      | Floating      | 1.49%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-HYB2                                                 | COUNTRYWIDE HOME LOANS CWHL 2007 HYB2 3A1                   | CUSIP: 125438AB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      236229 | PA      | $216079.03     | 0.00%             | 2047-02-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL BB3477 GN 09/47 FIXED 5                           | CUSIP: 3617AT2J1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       96990 | PA      | $97107.79      | 0.00%             | 2047-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX2464 FN 12/52 FIXED 5.5                         | CUSIP: 3140N6W24<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1139444 | PA      | $1155284.14    | 0.00%             | 2052-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INTERNATIONAL CORP (CCI)                                            | CROWN CASTLE                                                | CUSIP: 22823PXM0<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |    19885000 | PA      | $19831409.94   | 0.04%             | 2025-10-21      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2005-AR15                                          | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR15 A2            | CUSIP: 45660LVM8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4733928 | PA      | $3887411.14    | 0.01%             | 2035-09-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| DRYDEN 52 EURO CLO 2017 17-52A                                                   | DRYDEN EURO CLO DRYD 2017 52A AR 144A                       | CUSIP: ACI1YL2T4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    15363761 | PA      | $18011904.19   | 0.04%             | 2034-05-15      | Floating      | 2.90%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 799903 FN 11/34 FLOATING VAR                      | CUSIP: 31405UU49<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       43954 | PA      | $44121.79      | 0.00%             | 2034-11-01      | Floating      | 6.03%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AU0336 FN 06/28 FIXED 3                           | CUSIP: 3138WZLS9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       33910 | PA      | $33387.25      | 0.00%             | 2028-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                                                            | ATHENE GLOBAL FUNDING SECURED 144A 08/26 VAR                | CUSIP: 04685A4B4<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |     5900000 | PA      | $5932021.54    | 0.01%             | 2026-08-27      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC6520 FN 05/46 FIXED 4                           | CUSIP: 3140F2G61<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      450827 | PA      | $434571.64     | 0.00%             | 2046-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2512 FN 01/46 FIXED 4                           | CUSIP: 31418BYJ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        6079 | PA      | $5851.41       | 0.00%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20251031                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $-22125.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20251016                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $-24446.82     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 906472 FN 01/37 FIXED 6                           | CUSIP: 31411FCH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       16470 | PA      | $17180.07      | 0.00%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL0958 FN 10/26 FIXED VAR                         | CUSIP: 3138EHB43<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      103684 | PA      | $103258.03     | 0.00%             | 2026-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BRITISH AIRWAYS 2018-1 CLASS AA PASS THROUGH TRUST                               | BRITISH AIR 18 1 AA PTT PASS THRU CE 144A 03/33 3.8         | CUSIP: 11042TAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1164594 | PA      | $1140156.29    | 0.00%             | 2033-03-20      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2008-12                                                               | FANNIE MAE FNR 2008 12 FA                                   | CUSIP: 31396YMD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       20452 | PA      | $20478.90      | 0.00%             | 2038-03-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 962371 FN 03/38 FIXED 5.5                         | CUSIP: 31414CT40<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       28770 | PA      | $29823.06      | 0.00%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                      | BNP PARIBAS JR SUBORDINA 144A 12/99 VAR                     | CUSIP: 05565ASK0<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    12400000 | PA      | $11338708.80   | 0.02%             | 2031-02-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 917554 FN 04/37 FIXED 6                           | CUSIP: 31411XMB8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       11825 | PA      | $12260.07      | 0.00%             | 2037-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080221 G2 08/28 FLOATING VAR                   | CUSIP: 36225CG75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        6351 | PA      | $6367.60       | 0.00%             | 2028-08-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 555285 FN 03/33 FIXED VAR                         | CUSIP: 31385W2S7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       36374 | PA      | $37695.06      | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INTERNATIONAL CORP (CCI)                                            | CROWN CASTLE                                                | CUSIP: 22823PX73<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |     2100000 | PA      | $2098117.56    | 0.00%             | 2025-10-07      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QG3948 FR 06/53 FIXED 5                   | CUSIP: 3133C4L51<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     7671215 | PA      | $7649408.44    | 0.02%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE2                                            | MORGAN STANLEY CAPITAL INC MSAC 2007 HE2 A2B                | CUSIP: 61753EAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4634644 | PA      | $2138284.51    | 0.00%             | 2037-01-25      | Floating      | 4.36%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA0644 FN 12/25 FIXED 4.5                         | CUSIP: 31417YWE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          15 | PA      | $15.43         | 0.00%             | 2025-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2006-6                                               | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 6 5A1A            | CUSIP: 41161UAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       51783 | PA      | $49445.57      | 0.00%             | 2036-08-19      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-2                                             | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 2 1A                | CUSIP: 12668NAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     9082624 | PA      | $8297668.07    | 0.02%             | 2037-08-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2005-24                                                               | FANNIE MAE FNR 2005 24 ZE                                   | CUSIP: 31394CF98<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      124502 | PA      | $127191.98     | 0.00%             | 2035-04-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BW5286 FN 04/53 FIXED 5.5                         | CUSIP: 3140MW2U9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3018103 | PA      | $3051610.85    | 0.01%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 942283 FN 08/37 FIXED 6                           | CUSIP: 31413DJ40<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2448 | PA      | $2581.10       | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS8666 FR 08/32 FIXED 3.5                 | CUSIP: 3132A9TX5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      140037 | PA      | $138391.88     | 0.00%             | 2032-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BW2284 FN 08/52 FIXED 4.5                         | CUSIP: 3140MTRE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3175140 | PA      | $3091498.53    | 0.01%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8258 FR 10/52 FIXED 5                   | CUSIP: 3132DWE74<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       93701 | PA      | $93435.01      | 0.00%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080397 G2 04/30 FLOATING VAR                   | CUSIP: 36225CNP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      131676 | PA      | $131908.41     | 0.00%             | 2030-04-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2004-8CB                                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2004 8CB M2            | CUSIP: 12667FGM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3568194 | PA      | $3940344.58    | 0.01%             | 2034-06-25      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB9663 FN 06/43 FIXED 3                           | CUSIP: 31417GWZ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      267143 | PA      | $244960.06     | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS AUD 4.00000 03/19/25-10Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |           1 | NC      | $-1905768.43   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 833337 FN 08/35 FIXED 6                           | CUSIP: 31407KZA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4102 | PA      | $4190.56       | 0.00%             | 2035-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 1G0872 FH 09/35 FLOATING VAR              | CUSIP: 3128NC6H2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2291 | PA      | $2347.77       | 0.00%             | 2035-09-01      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AW7405 FN 01/27 FIXED 3.5                         | CUSIP: 3138XXGP5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4113 | PA      | $4071.43       | 0.00%             | 2027-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CHF BOUGHT USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |           1 | NC      | $-7914.03      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS4746 FR 12/47 FIXED 3                   | CUSIP: 3132A5HX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       79959 | PA      | $72009.67      | 0.00%             | 2047-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LN TRUST 2007-A1                                           | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2007 A1 1A1A           | CUSIP: 466287AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      583625 | PA      | $500960.52     | 0.00%             | 2037-03-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| DUTCH MORTGAGE FINANCE BV 2024-1                                                 | DUTCH MORTGAGE FINANCE DMFI 2024 1A F                       | CUSIP: ACI2Q4L35<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | NL        |     1844000 | PA      | $2120942.49    | 0.00%             | 2067-08-22      | Floating      | 7.53%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI TRUST BANK LIMITED                                               | SUMITOMO MITSUI TR BK LT SR UNSECURED 144A 09/30 4.35       | CUSIP: 86563VCF4<br>LEI: 5493006GGLR4BTEL8O61 | Long             | DBT              | CORP              | JP        |    12800000 | PA      | $12840034.69   | 0.03%             | 2030-09-11      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THRU SEC T-56                                              | FHLMC STRUCTURED PASS THROUGH FSPC T 56 3AF                 | CUSIP: 31393RG61<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2334539 | PA      | $2341824.50    | 0.01%             | 2043-05-25      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-2130                                                                 | FREDDIE MAC FHR 2130 ZQ                                     | CUSIP: 3133TJQ55<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      304131 | PA      | $311516.27     | 0.00%             | 2029-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH5658 FN 06/47 FIXED 4                           | CUSIP: 3140GUJC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      191323 | PA      | $184005.40     | 0.00%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AV7161 FN 04/44 FIXED 4                           | CUSIP: 3138XJ5X1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       35274 | PA      | $34289.03      | 0.00%             | 2044-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVESTORS 2003-A2                                         | MERRILL LYNCH MORTGAGE INVESTO MLMI 2003 A2 1A1             | CUSIP: 589929M70<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        3701 | PA      | $3463.16       | 0.00%             | 2033-02-25      | Floating      | 6.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CNH BOUGHT USD 20251016                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $47708.18      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVEST LN TR 2003-BC2                                           | STRUCTURED ASSET INVESTMENT LO SAIL 2003 BC2 M1             | CUSIP: 86358EAN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      128940 | PA      | $132281.30     | 0.00%             | 2033-04-25      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2006-NC3                                                     | ACE SECURITIES CORP. ACE 2006 NC3 A2D                       | CUSIP: 00442EAH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    19524958 | PA      | $4904159.82    | 0.01%             | 2036-12-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| CHEVY CHASE FUNDING LLC MORTGAGE-BACKED CERTIFICATES SERIES 2004-3X              | CHEVY CHASE MORTGAGE FUNDING C CCMFC 2004 3X A1 REGS        | CUSIP: U16711BJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       86094 | PA      | $83679.97      | 0.00%             | 2035-08-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVS 2005-A9                                              | MERRILL LYNCH MORTGAGE INVESTO MLMI 2005 A9 2A1E            | CUSIP: 59020U2H7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      172123 | PA      | $166291.81     | 0.00%             | 2035-12-25      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| WARWICK FINANCE RESIDENTIAL MORTGAGES 3A                                         | WARWICK FINANCE RESIDENTIAL MO WARW 3A PRC 144A             | CUSIP: ACI0YB0Q6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |        1812 | PA      | $18907012.39   | 0.04%             | 2049-12-21      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| UNIVERSITY OF CALIFORNIA                                                         | UNIV OF CALIFORNIA CA REVENUES UNVHGR 05/27 FIXED 1.316     | CUSIP: 91412HGF4<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     5700000 | PA      | $5492423.67    | 0.01%             | 2027-05-15      | Fixed         | 1.32%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 820058 FN 05/35 FIXED 6                           | CUSIP: 31406UB31<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        8788 | PA      | $9066.70       | 0.00%             | 2035-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY4223 FN 06/53 FIXED 5.5                         | CUSIP: 3140NLVR7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3714045 | PA      | $3757825.76    | 0.01%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| VIBRANT CLO XII LTD 2021-12A                                                     | VIBRANT CLO LTD VIBR 2021 12A A1A2 144A                     | CUSIP: 92558WBE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    11700000 | PA      | $11700000.00   | 0.03%             | 2034-04-20      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2005-AR4                                            | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR4 2A1            | CUSIP: 86360QAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      244286 | PA      | $241663.48     | 0.00%             | 2036-06-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BA4302 FN 11/45 FIXED 4                           | CUSIP: 3140E8X86<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       21160 | PA      | $20385.97      | 0.00%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 981444 FN 09/38 FIXED 6                           | CUSIP: 31415AZH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        8568 | PA      | $8839.96       | 0.00%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                                                          | HYUNDAI CAPITAL AMERICA SR UNSECURED 144A 03/27 4.85        | CUSIP: 44891ADP9<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    22000000 | PA      | $22176602.14   | 0.05%             | 2027-03-25      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| SANTANDER HOLDINGS USA INC                                                       | SANTANDER HOLDINGS USA SR UNSECURED 03/29 VAR               | CUSIP: 80282KBP0<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |    20400000 | PA      | $20624096.45   | 0.05%             | 2029-03-20      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2023-1A                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2023 1A B 144A          | CUSIP: 21055PAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     9581530 | PA      | $9933782.62    | 0.02%             | 2053-11-25      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AJ7610 FN 11/26 FIXED 3.5                         | CUSIP: 3138E0N47<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       60869 | PA      | $60440.47      | 0.00%             | 2026-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2006-1F                                                  | GSR MORTGAGE LOAN TRUST GSR 2006 1F 2A12                    | CUSIP: 3623417L7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2362645 | PA      | $976031.07     | 0.00%             | 2036-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                          | GOLDMAN SACHS GROUP INC SR UNSECURED 01/31 VAR              | CUSIP: 38141GC69<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    33300000 | PA      | $33396762.81   | 0.07%             | 2031-01-28      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ4764 FN 01/48 FIXED 4                           | CUSIP: 3140H6JJ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       68678 | PA      | $66011.86      | 0.00%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2013-H10                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2013 H10 FT              | CUSIP: 38375BU26<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      110198 | PA      | $109922.79     | 0.00%             | 2063-04-20      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                     | UBS GROUP AG SR UNSECURED 144A 05/32 VAR                    | CUSIP: 225401AU2<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     3300000 | PA      | $3054499.70    | 0.01%             | 2032-05-14      | Floating      | 3.09%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SEC 2003-H                                                  | BANC OF AMERICA MORTGAGE SECUR BOAMS 2003 H 2A1             | CUSIP: 05948XTG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      137120 | PA      | $132061.37     | 0.00%             | 2033-09-25      | Floating      | 6.67%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZA2624 FR 05/26 FIXED 3.5                 | CUSIP: 31329K4H4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3565 | PA      | $3549.29       | 0.00%             | 2026-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM8138 FN 09/35 FIXED VAR                         | CUSIP: 3140XCBG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       23639 | PA      | $23343.40      | 0.00%             | 2035-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20251015                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-189919.78    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 985153 FN 09/38 FIXED 6                           | CUSIP: 31415PMA3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      144168 | PA      | $150368.06     | 0.00%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 310129 FN 07/27 FIXED VAR                         | CUSIP: 31374CPN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5677 | PA      | $5644.48       | 0.00%             | 2027-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS5888 FN 09/45 FIXED 4                           | CUSIP: 3138WFRJ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3166021 | PA      | $3047274.81    | 0.01%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 08/54 4.25                                  | CUSIP: 912810UC0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   117500000 | PA      | $108503906.25  | 0.24%             | 2054-08-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| APPLOVIN CORPORATION                                                             | APPLOVIN CORP SR UNSECURED 12/29 5.125                      | CUSIP: 03831WAB4<br>LEI: 549300LLVXMUAOL3SQ07 | Long             | DBT              | CORP              | US        |     7500000 | PA      | $7674427.95    | 0.02%             | 2029-12-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP OF AMERICA FINANCE LLC                                          | VOLKSWAGEN GROUP AMERICA COMPANY GUAR 144A 09/28 4.55       | CUSIP: 928668CW0<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |    23000000 | PA      | $23079170.37   | 0.05%             | 2028-09-11      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 804850 FN 01/35 FLOATING VAR                      | CUSIP: 31406BEX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        8473 | PA      | $8600.36       | 0.00%             | 2035-01-01      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2006-104                                                              | FANNIE MAE FNR 2006 104 GF                                  | CUSIP: 31396LLX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       78960 | PA      | $78333.46      | 0.00%             | 2036-11-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| SAUDI ARABIA GOVT                                                                | SAUDI INTERNATIONAL BOND SR UNSECURED 144A 03/37 3.75       | CUSIP: ACI2V6MH2<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |    22200000 | PA      | $25812668.48   | 0.06%             | 2037-03-05      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-2566918.71   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG/NEW YORK BRANCH                                                 | DEUTSCHE BANK NY 08/31 VAR                                  | CUSIP: 251526DB2<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    17100000 | PA      | $17265394.96   | 0.04%             | 2031-08-04      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MB0362 G2 05/55 FIXED 3.5                      | CUSIP: 3618N5ML0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    13590882 | PA      | $12400563.61   | 0.03%             | 2055-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QH2482 FR 10/53 FIXED 5.5                 | CUSIP: 3133CEXK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      254603 | PA      | $257894.68     | 0.00%             | 2053-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC1168 FN 06/46 FIXED 4                           | CUSIP: 3140EVJN8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       53215 | PA      | $51191.29      | 0.00%             | 2046-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NOMURA HOLDINGS INC                                                              | NOMURA HOLDINGS INC SR UNSECURED 07/28 2.172                | CUSIP: 65535HAY5<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |     1500000 | PA      | $1417685.42    | 0.00%             | 2028-07-14      | Fixed         | 2.17%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RA7374 FR 05/52 FIXED 3                   | CUSIP: 3133KPFP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2203573 | PA      | $1939403.69    | 0.00%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD JPY BOUGHT USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $43442.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MSC MTG CTFS 2003-AR2                                          | WASHINGTON MUTUAL MSC MORTGAGE WAMMS 2003 AR2 1A2           | CUSIP: 939336D59<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       81355 | PA      | $82873.87      | 0.00%             | 2033-05-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD2524 FR 10/52 FIXED 4                   | CUSIP: 3132DPYV4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    16444944 | PA      | $15551648.28   | 0.03%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20251017                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-85082.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-R1                                                   | COUNTRYWIDE HOME LOANS CWHL 2004 R1 3A 144A                 | CUSIP: 12669F7M9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       36489 | PA      | $36452.69      | 0.00%             | 2034-11-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TSY INFL IX N/B 02/47 0.875                                 | CUSIP: 912810RW0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   109598580 | PA      | $81017887.55   | 0.18%             | 2047-02-15      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMIC TRUST 2007-W6                                                   | FANNIEMAE WHOLE LOAN FNW 2007 W6 4A2                        | CUSIP: 31396WKZ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      111874 | PA      | $6322.09       | 0.00%             | 2037-06-25      | Floating      | 2.13%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 849972 FN 02/29 FIXED 8                           | CUSIP: 31408FJR1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       17389 | PA      | $17448.65      | 0.00%             | 2029-02-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| INTESA SANPAOLO SPA                                                              | INTESA SANPAOLO SPA 144A 11/33 7.2                          | CUSIP: 46115HCD7<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |     3900000 | PA      | $4446120.55    | 0.01%             | 2033-11-28      | Fixed         | 7.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD NZD BOUGHT USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |           1 | NC      | $12387.51      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 756236 FN 01/34 FIXED 6                           | CUSIP: 31403SEH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         686 | PA      | $705.38        | 0.00%             | 2034-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | GENERAL MOTORS COMPANY SNR S* ICE                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $408167.93     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK 2019-BN23                                                                   | BANK BANK 2019 BN23 A3                                      | CUSIP: 06541RBB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    26900000 | PA      | $25379985.91   | 0.06%             | 2052-12-15      | Fixed         | 2.92%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-29                                                   | COUNTRYWIDE HOME LOANS CWHL 2004 29 2A1                     | CUSIP: 12669GJB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       64804 | PA      | $60753.10      | 0.00%             | 2035-02-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 826486 FN 07/35 FIXED 6                           | CUSIP: 31407CF36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       16699 | PA      | $17528.09      | 0.00%             | 2035-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 903263 FN 10/36 FIXED 6                           | CUSIP: 31411BQQ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       51666 | PA      | $53266.00      | 0.00%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AZ8577 FN 10/45 FIXED 4                           | CUSIP: 3140E1Q71<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       43374 | PA      | $41760.25      | 0.00%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MASSMUTUAL GLOBAL FUNDING II                                                     | MASSMUTUAL GLOBAL FUNDIN SR SECURED 144A 07/26 VAR          | CUSIP: 57629TBQ9<br>LEI: 549300K1IE3K7YU6VG29 | Long             | DBT              | CORP              | US        |    58800000 | PA      | $59149237.31   | 0.13%             | 2026-07-10      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H22                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 H22 FD              | CUSIP: 38376RHB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3552202 | PA      | $3552020.95    | 0.01%             | 2065-09-20      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | VERIZON COMMUNICATIONS INC SNR S* ICE                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $274702.25     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-R2                                                   | COUNTRYWIDE HOME LOANS CWHL 2005 R2 2A2 144A                | CUSIP: 12669GP21<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      123517 | PA      | $127302.70     | 0.00%             | 2035-06-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| SAUDI ARABIA GOVT                                                                | SAUDI INTERNATIONAL BOND SR UNSECURED 144A 01/28 4.75       | CUSIP: 80413TBC2<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |    34700000 | PA      | $35214530.56   | 0.08%             | 2028-01-18      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| HSI ASSET LOAN OBLIGATION 2007-WF1                                               | HSI ASSET LOAN OBLIGATION HALO 2007 WF1 A1                  | CUSIP: 40431KAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       87103 | PA      | $24611.50      | 0.00%             | 2036-12-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| BANK 2022-BNK40                                                                  | BANK BANK 2022 BNK40 A4                                     | CUSIP: 06541LBG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    38300000 | PA      | $35722000.19   | 0.08%             | 2064-03-15      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2722 FN 08/46 FIXED 4                           | CUSIP: 31418CAY0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      140089 | PA      | $134762.32     | 0.00%             | 2046-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 008895 G2 06/26 FLOATING VAR                   | CUSIP: 36202K3C7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         128 | PA      | $127.48        | 0.00%             | 2026-06-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                                 | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 01/29 6.1               | CUSIP: 694308KL0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    25250000 | PA      | $26422944.31   | 0.06%             | 2029-01-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                     | UBS GROUP AG SR UNSECURED 144A 01/27 VAR                    | CUSIP: 902613AU2<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    42000000 | PA      | $42151340.28   | 0.09%             | 2027-01-12      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 745564 FN 02/33 FIXED VAR                         | CUSIP: 31403DJH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      190961 | PA      | $198115.12     | 0.00%             | 2033-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AI7594 FN 11/26 FIXED 3.5                         | CUSIP: 3138AMNL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1837 | PA      | $1831.33       | 0.00%             | 2026-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK NA                                                           | MORGAN STANLEY BANK NA SR UNSECURED 10/27 VAR               | CUSIP: 61690U8G8<br>LEI: G1MLHIS0N32I3QPILB75 | Long             | DBT              | CORP              | US        |     7600000 | PA      | $7619293.21    | 0.02%             | 2027-10-15      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 904749 FN 11/36 FIXED 6                           | CUSIP: 31411DEW5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       19932 | PA      | $20515.15      | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB3378 FN 08/26 FIXED 3.5                         | CUSIP: 31416YXG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       11016 | PA      | $10931.95      | 0.00%             | 2026-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-OH1                                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 OH1 A1B           | CUSIP: 02150KAX7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2850314 | PA      | $2824714.46    | 0.01%             | 2047-04-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| SUNTRUST ADJR MRTG LN TR 2007-S1                                                 | SUNTRUST ADJUSTABLE RATE MORTG STARM 2007 S1 1A             | CUSIP: 855541AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      977053 | PA      | $576412.04     | 0.00%             | 2037-01-25      | Floating      | 6.71%                 | No            |                  2 | On Loan: No      |
| QATAR GOVT                                                                       | STATE OF QATAR SR UNSECURED 144A 04/50 4.4                  | CUSIP: 74727PBE0<br>LEI: 52990074F6OJOAXK4P65 | Long             | DBT              | NUSS              | QA        |    46200000 | PA      | $41384168.83   | 0.09%             | 2050-04-16      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| PACIFICORP                                                                       | PACIFICORP 1ST MORTGAGE 02/31 5.3                           | CUSIP: 695114DC9<br>LEI: SGY07Y7FNYBNLM6Z1M11 | Long             | DBT              | CORP              | US        |    11300000 | PA      | $11723663.67   | 0.03%             | 2031-02-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL AM0874 GN 04/45 FIXED 3.5                         | CUSIP: 36184K6K8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      101349 | PA      | $94796.00      | 0.00%             | 2045-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2007-S2                                              | CHASE MORTGAGE FINANCE CORPORA CHASE 2007 S2 1A8            | CUSIP: 16163EAH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      499466 | PA      | $262516.99     | 0.00%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 531197 GN 06/30 FIXED 8.5                         | CUSIP: 36212EDA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         126 | PA      | $126.76        | 0.00%             | 2030-06-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| NOMURA ASSET ACCEPTANCE CORP 2004-R1                                             | NOMURA ASSET ACCEPTANCE CORPOR NAA 2004 R1 A2 144A          | CUSIP: 62951MAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      315756 | PA      | $297172.17     | 0.00%             | 2034-03-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-54CB                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 54CB 2A5          | CUSIP: 12668APJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      729755 | PA      | $380491.90     | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                                               | BANCO SANTANDER SA SR UNSECURED 03/28 VAR                   | CUSIP: 05964HAQ8<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    19200000 | PA      | $19175491.01   | 0.04%             | 2028-03-24      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT KRW SOLD USD 20251020                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $-336486.66    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 868936 FN 05/36 FIXED 6                           | CUSIP: 31409ELR0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       39192 | PA      | $41319.55      | 0.00%             | 2036-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-6                                             | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 6 2A3               | CUSIP: 12669LAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      830947 | PA      | $882476.19     | 0.00%             | 2037-09-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-8F                                                  | GSR MORTGAGE LOAN TRUST GSR 2005 8F 4A1                     | CUSIP: 362341WE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      587192 | PA      | $217661.49     | 0.00%             | 2035-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2025-HMST                             | BANC OF AMERICA MERRILL LYNCH BAMLL 2025 HMST B 144A        | CUSIP: 05555XAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    12000000 | PA      | $10621420.80   | 0.02%             | 2052-08-25      | Variable      | 3.11%                 | No            |                  3 | On Loan: No      |
| FREDDIE MAC REMICS 5513                                                          | FREDDIE MAC FHR 5513 MF                                     | CUSIP: 3137HKEX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    18760090 | PA      | $18792155.15   | 0.04%             | 2054-11-25      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE-2006-58                                                               | FANNIE MAE FNR 2006 58 FL                                   | CUSIP: 31395NC96<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      303493 | PA      | $302234.40     | 0.00%             | 2036-07-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TRUST 2004-1                                            | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2004 1 1A              | CUSIP: 41161PCX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       90320 | PA      | $84786.39      | 0.00%             | 2034-04-19      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20251229                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $-81004.27     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AY7770 FN 07/45 FIXED 4                           | CUSIP: 3138YMT41<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       28668 | PA      | $27568.84      | 0.00%             | 2045-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL BK5524 GN 05/49 FIXED 4                           | CUSIP: 3617J6D50<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      147506 | PA      | $140249.41     | 0.00%             | 2049-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT ILS SOLD USD 20251015                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $715869.43     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 900518 FN 11/36 FIXED 6                           | CUSIP: 31410XPB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       26760 | PA      | $27740.84      | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G61032 FG 06/47 FIXED 3.5                 | CUSIP: 31335BED4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5616787 | PA      | $5260301.69    | 0.01%             | 2047-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | OIS CAD CAONREPO/3.0000 01/08/25-9Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |           1 | NC      | $-499427.16    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DB5477 FN 06/54 FIXED 5.5                         | CUSIP: 3140AFCP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      986306 | PA      | $998188.03     | 0.00%             | 2054-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20260819                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $-303711.72    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BQ3060 FN 09/35 FIXED 3                           | CUSIP: 3140KNMJ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       80546 | PA      | $77876.41      | 0.00%             | 2035-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BW8087 FN 09/52 FIXED 4                           | CUSIP: 3140N06Z3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       84690 | PA      | $80048.51      | 0.00%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AEP TEXAS INC                                                                    | AEP TEXAS INC SR UNSECURED 06/28 3.95                       | CUSIP: 00108WAH3<br>LEI: 5493001L78U618KXNZ75 | Long             | DBT              | CORP              | US        |     5800000 | PA      | $5756560.09    | 0.01%             | 2028-06-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 995251 FN 11/38 FIXED VAR                         | CUSIP: 31416BTG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       24953 | PA      | $26309.69      | 0.00%             | 2038-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8343 FR 07/53 FIXED 6                   | CUSIP: 3132DWHU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    23950710 | PA      | $24547386.36   | 0.05%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20251020                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $785995.60     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK 2020-BN26                                                                   | BANK BANK 2020 BN26 A4                                      | CUSIP: 06540JBG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    54030000 | PA      | $49296501.94   | 0.11%             | 2063-03-15      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AD3815 FN 04/40 FIXED 5.5                         | CUSIP: 31418RGZ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       24290 | PA      | $25103.71      | 0.00%             | 2040-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AU5387 FN 07/43 FIXED 3                           | CUSIP: 3138X46Z8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      774500 | PA      | $712100.14     | 0.00%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NEW CENTURY HOME EQUITY LOAN TR 2005-1                                           | NEW CENTURY HOME EQUITY LOAN T NCHET 2005 1 M3              | CUSIP: 64352VKC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      508556 | PA      | $507874.60     | 0.00%             | 2035-03-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 929963 FN 08/36 FIXED 6                           | CUSIP: 31412NFC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       78241 | PA      | $82491.86      | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BARCLAYS CAPITAL REPO REPO                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |   334139000 | PA      | $334139000.00  | 0.74%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE TRUST-2005-5AR                                           | MORGAN STANLEY MORTGAGE LOAN T MSM 2005 5AR 2A1             | CUSIP: 61748HLA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1253292 | PA      | $302943.65     | 0.00%             | 2035-09-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QI4128 FR 04/54 FIXED 5.5                 | CUSIP: 3133WASR0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5103181 | PA      | $5163928.89    | 0.01%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 928205 FN 04/37 FIXED 6                           | CUSIP: 31412LGN4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4994 | PA      | $5265.14       | 0.00%             | 2037-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 735929 FN 08/32 FIXED VAR                         | CUSIP: 31402RSS9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       31083 | PA      | $32968.25      | 0.00%             | 2032-08-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3596                                                                 | FREDDIE MAC FHR 3596 FC                                     | CUSIP: 31398KUV0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      416199 | PA      | $416277.98     | 0.00%             | 2035-08-15      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20251020                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $39698.79      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS0247 FN 08/43 FIXED 4                           | CUSIP: 3138W9HZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      194237 | PA      | $187334.14     | 0.00%             | 2043-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MTG ASSOC 2004-17                                            | GOVERNMENT NATIONAL MORTGAGE A GNR 2004 17 MZ               | CUSIP: 38374FYS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      316774 | PA      | $316045.03     | 0.00%             | 2034-03-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 594742 FN 07/31 FIXED 8                           | CUSIP: 31387UWB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3678 | PA      | $3693.29       | 0.00%             | 2031-07-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA0214 FN 10/29 FIXED 5                           | CUSIP: 31417YGY7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       22109 | PA      | $22408.64      | 0.00%             | 2029-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| STORE CAPITAL LLC                                                                | STORE CAPITAL CORP SR UNSECURED 11/30 2.75                  | CUSIP: 862121AC4<br>LEI: 254900Z9PIEFQ6AYXK50 | Long             | DBT              | CORP              | US        |     4160000 | PA      | $3783921.81    | 0.01%             | 2030-11-18      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS6400 FN 12/45 FIXED 4                           | CUSIP: 3138WGDE1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      280190 | PA      | $268013.48     | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 837016 FN 08/35 FLOATING VAR                      | CUSIP: 31407P3Z9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      295789 | PA      | $301959.89     | 0.00%             | 2035-08-01      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-H14                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 H14 FG              | CUSIP: 38376R4U7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     6215442 | PA      | $6297427.70    | 0.01%             | 2067-06-20      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 773385 FN 05/34 FIXED 5.5                         | CUSIP: 31404NF27<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       14065 | PA      | $14301.24      | 0.00%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 256169 FN 02/26 FIXED 4.5                         | CUSIP: 31371MQW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         228 | PA      | $227.40        | 0.00%             | 2026-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FOOTBALL CLUB TERM NOTES 2024-XVII TRUST                                         | NATIONAL FOOTBAL LEAGUE 4.5YR                               | CUSIP: 902EYJ902<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    13800000 | PA      | $14136692.12   | 0.03%             | 2028-10-05      | Fixed         | 5.48%                 | Yes           |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD7350 FN 09/46 FIXED 4                           | CUSIP: 3140FFEY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       84154 | PA      | $80829.92      | 0.00%             | 2046-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MTGE INVEST INC 2005-A1                                            | MERRILL LYNCH MORTGAGE INVESTO MLMI 2005 A1 2A1             | CUSIP: 59020UQD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        3764 | PA      | $3809.23       | 0.00%             | 2034-12-25      | Floating      | 6.56%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080142 G2 12/27 FLOATING VAR                   | CUSIP: 36225CEQ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3281 | PA      | $3313.52       | 0.00%             | 2027-12-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | EURO-BUND FUTURE  DEC25 XEUR 20251208                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |       -3851 | NC      | $-2113577.12   | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| EVERGY METRO INC                                                                 | EVERGY METRO 1ST MORTGAGE 06/30 2.25                        | CUSIP: 30037DAA3<br>LEI: 1128SIJQ26096WL7IO82 | Long             | DBT              | CORP              | US        |     2600000 | PA      | $2383711.30    | 0.01%             | 2030-06-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 896541 FN 09/36 FIXED 6                           | CUSIP: 31410TBJ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3522 | PA      | $3702.11       | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES 2016-3 CLASS AA PASS THROUGH TRUST                             | AMER AIRLINE 16 3 AA PTT PASS THRU CE 04/30 3               | CUSIP: 023771R91<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    12504279 | PA      | $12037845.75   | 0.03%             | 2030-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2004-63                                                               | FANNIE MAE FNR 2004 63 FA                                   | CUSIP: 31394ANT9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2944 | PA      | $2894.67       | 0.00%             | 2034-08-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20251007                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $-20877.32     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 915016 FN 04/37 FIXED 6                           | CUSIP: 31411USD4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      220918 | PA      | $230227.99     | 0.00%             | 2037-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 770439 FN 04/34 FIXED 6                           | CUSIP: 31404J4Y8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2861 | PA      | $2928.65       | 0.00%             | 2034-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-192087.77    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20251124                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $-2440068.33   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT KRW SOLD USD 20251020                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $-160788.85    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 253481 FN 10/30 FIXED 8                           | CUSIP: 31371JRA4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         558 | PA      | $582.15        | 0.00%             | 2030-10-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB5794 FN 03/53 FIXED 5                           | CUSIP: 3140QRNL3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      524893 | PA      | $523293.80     | 0.00%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE ACQI CORP 2006-CW2                                            | JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 CW2 AF5           | CUSIP: 46629BAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1498438 | PA      | $889174.86     | 0.00%             | 2036-08-25      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MB0255 G2 03/55 FIXED 3.5                      | CUSIP: 3618N5H93<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    25358218 | PA      | $23143294.43   | 0.05%             | 2055-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A1                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2006 A1 1A1                  | CUSIP: 466247E33<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       23841 | PA      | $15635.07      | 0.00%             | 2036-02-25      | Floating      | 6.34%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA4941 FN 03/53 FIXED 5.5                         | CUSIP: 31418EP38<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    14213373 | PA      | $14399378.40   | 0.03%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 08/51 2                                     | CUSIP: 912810SZ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   246895600 | PA      | $144708789.93  | 0.32%             | 2051-08-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2017-RPL2                            | CREDIT SUISSE MORTGAGE TRUST CSMC 2017 RPL2 B3 144A         | CUSIP: 12594YAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    60885518 | PA      | $23293313.60   | 0.05%             | 2056-02-25      | Variable      | 3.05%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2006-117                                                              | FANNIE MAE FNR 2006 117 GF                                  | CUSIP: 31396LC99<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      132904 | PA      | $131550.80     | 0.00%             | 2036-12-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| BANK-2017-BNK8                                                                   | BANK BANK 2017 BNK8 A4                                      | CUSIP: 06650AAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6400000 | PA      | $6225705.60    | 0.01%             | 2050-11-15      | Fixed         | 3.49%                 | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC. 2003-E                                              | MLCC MORTGAGE INVESTORS INC MLCC 2003 E A1                  | CUSIP: 589929Y36<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        6646 | PA      | $6334.32       | 0.00%             | 2028-10-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL BP1829 GN 08/49 FIXED 4                           | CUSIP: 3617L8A64<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      224890 | PA      | $213201.11     | 0.00%             | 2049-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CERTS 2002-OPT1                                             | ASSET BACKED FUNDING CERTIFICA ABFC 2002 OPT1 M1            | CUSIP: 04542BBL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       94260 | PA      | $102171.08     | 0.00%             | 2032-05-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 828982 FN 08/35 FLOATING VAR                      | CUSIP: 31407E6T5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       59543 | PA      | $60826.47      | 0.00%             | 2035-08-01      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 882307 FN 07/36 FIXED 6                           | CUSIP: 31409YGQ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       34312 | PA      | $35499.30      | 0.00%             | 2036-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4062                                                          | FREDDIE MAC FHR 4062 AS                                     | CUSIP: 3137ARFP6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4341430 | PA      | $484105.51     | 0.00%             | 2042-06-15      | Floating      | 1.51%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2138                                                                 | FREDDIE MAC FHR 2138 Z                                      | CUSIP: 3133TJUD3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       20194 | PA      | $20662.54      | 0.00%             | 2029-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 893148 FN 08/36 FIXED 6                           | CUSIP: 31410PHZ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2071 | PA      | $2177.33       | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AT0129 FN 04/43 FIXED 3                           | CUSIP: 3138WMEB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      248692 | PA      | $228655.95     | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL CM2189 GN 03/52 FIXED 4                           | CUSIP: 3617YMNE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      618167 | PA      | $584371.86     | 0.00%             | 2052-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 887612 FN 07/36 FIXED 6                           | CUSIP: 31410FDR3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       43221 | PA      | $44923.84      | 0.00%             | 2036-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD NOK BOUGHT USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |           1 | NC      | $3483.56       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 889441 FN 05/38 FIXED VAR                         | CUSIP: 31410KEN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3499 | PA      | $3627.16       | 0.00%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 975942 FN 11/38 FIXED 6                           | CUSIP: 31414TWB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      118866 | PA      | $123640.91     | 0.00%             | 2038-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD KRW BOUGHT USD 20251022                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $1604.72       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 942869 FN 08/37 FIXED 6                           | CUSIP: 31413D6E2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4518 | PA      | $4707.97       | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 846937 FN 01/36 FLOATING VAR                      | CUSIP: 31408B4W5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       28586 | PA      | $28827.12      | 0.00%             | 2036-01-01      | Floating      | 6.09%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BA2164 FN 11/45 FIXED 3                           | CUSIP: 3140E6MN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       21443 | PA      | $19521.70      | 0.00%             | 2045-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 594243 FN 12/30 FLOATING VAR                      | CUSIP: 31387UEQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1371 | PA      | $1383.69       | 0.00%             | 2030-12-01      | Floating      | 6.63%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3233                                                          | FREDDIE MAC FHR 3233 PA                                     | CUSIP: 31397BYP0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1772 | PA      | $1852.35       | 0.00%             | 2036-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AMC1                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AMC1 A1 144A       | CUSIP: 17311BAS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7335285 | PA      | $4133092.53    | 0.01%             | 2036-12-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QG4791 FR 06/53 FIXED 5                   | CUSIP: 3133C5KC4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       23476 | PA      | $23417.09      | 0.00%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS  STRUC PROD INC 2007-R6                                             | BEAR STEARNS STRUCTURED PRODUC BSSP 2007 R6 1A1             | CUSIP: 07402FAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      644988 | PA      | $457180.82     | 0.00%             | 2036-01-26      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BA3017 FN 12/45 FIXED 4                           | CUSIP: 3140E7K74<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       38867 | PA      | $37389.47      | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BSPRT 2022-FL9 ISSUER LTD                                                        | BSPRT ISSUER, LTD. BSPRT 2022 FL9 A 144A                    | CUSIP: 055984AA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    21658145 | PA      | $21710219.19   | 0.05%             | 2039-07-15      | Floating      | 6.45%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2020-RPL1                                    | GS MORTGAGE BACKED SECURITIES GSMBS 2020 RPL1 A1 144A       | CUSIP: 36260AAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    70197166 | PA      | $66366654.01   | 0.15%             | 2059-07-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20251017                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $-108684.22    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHG-62-B                                                                         | FHLMC GNMA FHG 62 Z                                         | CUSIP: 3133TA5W8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       58438 | PA      | $59311.68      | 0.00%             | 2027-06-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| BANCO BILBAO VIZCAYA ARGENTARIA SA (BBVA)                                        | BANCO BILBAO VIZCAYA ARG SR UNSECURED 03/29 5.381           | CUSIP: 05946KAQ4<br>LEI: K8MS7FD7N5Z2WQ51AZ71 | Long             | DBT              | CORP              | ES        |    10600000 | PA      | $10954925.63   | 0.02%             | 2029-03-13      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TSY INFL IX N/B 02/52 0.125                                 | CUSIP: 912810TE8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    88888172 | PA      | $48231044.79   | 0.11%             | 2052-02-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2003-AR1                                            | STRUCTURED ASSET MORTGAGE INVE SAMI 2003 AR1 A3             | CUSIP: 86358HRX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      175716 | PA      | $163568.77     | 0.00%             | 2033-10-19      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| CANYON CLO 2021-4 LTD                                                            | CANYON CAPITAL CLO LTD CANYC 2021 4A AR 144A                | CUSIP: 13877PAL1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2650000 | PA      | $2650123.57    | 0.01%             | 2034-10-15      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 254638 FN 02/33 FIXED 6                           | CUSIP: 31371KZB0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         126 | PA      | $130.64        | 0.00%             | 2033-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2005-3                                               | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 3 2A1A            | CUSIP: 41161PMG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      345837 | PA      | $338776.03     | 0.00%             | 2035-06-19      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE5                                            | MORGAN STANLEY CAPITAL INC MSAC 2007 HE5 A1                 | CUSIP: 61753KAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8350782 | PA      | $3262496.21    | 0.01%             | 2037-03-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD EUR BOUGHT USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-23167900.57  | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD6973 FN 10/46 FIXED 4                           | CUSIP: 3140FEXB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1022812 | PA      | $982915.80     | 0.00%             | 2046-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| URSA RE LTD                                                                      | URSA RE LTD UNSECURED 144A 12/26 VAR                        | CUSIP: 90323WAP5<br>LEI: 549300O8X4DWGDJZ6W59 | Long             | DBT              | CORP              | BM        |    16800000 | PA      | $17322480.00   | 0.04%             | 2026-12-07      | Floating      | 9.48%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 889533 FN 06/38 FIXED VAR                         | CUSIP: 31410KHJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         644 | PA      | $668.99        | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-4                                                  | BEAR STEARNS ALT A TRUST BALTA 2005 4 24A1                  | CUSIP: 07386HTC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       32200 | PA      | $31672.58      | 0.00%             | 2035-05-25      | Floating      | 6.35%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080115 G2 09/27 FLOATING VAR                   | CUSIP: 36225CDV5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       12773 | PA      | $12810.53      | 0.00%             | 2027-09-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 535488 FN 09/30 FIXED VAR                         | CUSIP: 31384V2V3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1212 | PA      | $1256.44       | 0.00%             | 2030-09-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 549604 FN 08/30 FIXED 8                           | CUSIP: 31385QRZ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          56 | PA      | $55.73         | 0.00%             | 2030-08-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA3312 G2 12/45 FIXED 4.5                      | CUSIP: 36179RVD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        6498 | PA      | $6443.47       | 0.00%             | 2045-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                                                            | ATHENE GLOBAL FUNDING SECURED 144A 11/31 5.322              | CUSIP: 04685A4D0<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |     8000000 | PA      | $8192049.84    | 0.02%             | 2031-11-13      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY4193 FN 07/53 FIXED 5.5                         | CUSIP: 3140NLUT4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5230931 | PA      | $5301477.54    | 0.01%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2024-BA                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2024 BA B 144A          | CUSIP: 21050UAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     3888000 | PA      | $3953423.38    | 0.01%             | 2054-11-25      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB0057 FN 04/39 FIXED 5                           | CUSIP: 31416VB37<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       57398 | PA      | $58882.37      | 0.00%             | 2039-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 479820 GN 12/30 FIXED 8                           | CUSIP: 36209SAV3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3154 | PA      | $3165.26       | 0.00%             | 2030-12-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 256820 FN 07/27 FIXED 5                           | CUSIP: 31371NG58<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        7483 | PA      | $7493.07       | 0.00%             | 2027-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                     | UBS GROUP AG SR UNSECURED 144A 04/31 VAR                    | CUSIP: 225401AP3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     2550000 | PA      | $2521594.12    | 0.01%             | 2031-04-01      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DB3754 FN 05/54 FIXED 5.5                         | CUSIP: 3140ADE49<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     7210752 | PA      | $7290603.40    | 0.02%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES 2021-1 CLASS A PASS THROUGH TRUST                              | AMER AIRLINE 21 1A EETC PASS THRU CE 01/36 2.875            | CUSIP: 02379KAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1174783 | PA      | $1066685.00    | 0.00%             | 2036-01-11      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| CMO PLACEHOLDER                                                                  | PROJECT NOVA TERM LOAN                                      | CUSIP: BA000QBV9<br>LEI: N/A                  | Long             | LON              | CORP              | GB        |    10000000 | PA      | $10000000.00   | 0.02%             | 2026-08-31      | Floating      | 7.25%                 | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 255884 FN 08/35 FLOATING VAR                      | CUSIP: 31371MFZ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       31995 | PA      | $32964.86      | 0.00%             | 2035-08-01      | Floating      | 6.47%                 | No            |                  2 | On Loan: No      |
| ARBOR MULTIFAMILY MORTGAGE SECURITIES TRUST 2020-MF1                             | ARBOR MULTIFAMILY MORTGAGE SEC AMMST 2020 MF1 A5 144A       | CUSIP: 03881BAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7800000 | PA      | $7292779.26    | 0.02%             | 2053-05-15      | Fixed         | 2.76%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                     | ROMANIA SR UNSECURED 144A 03/30 5.25                        | CUSIP: ACI2TMXJ4<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    12000000 | PA      | $14527186.32   | 0.03%             | 2030-03-10      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AR4                                              | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AR4 2A2A           | CUSIP: 17311WAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      697283 | PA      | $608859.44     | 0.00%             | 2037-03-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR3                                                 | GSR MORTGAGE LOAN TRUST GSR 2005 AR3 6A1                    | CUSIP: 36242D4W0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        7253 | PA      | $5386.60       | 0.00%             | 2035-05-25      | Floating      | 4.32%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON COMPANY                                               | SOUTHERN CAL EDISON 1ST MORTGAGE 06/51 3.65                 | CUSIP: 842400HF3<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    15000000 | PA      | $10389620.70   | 0.02%             | 2051-06-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| NOVASTAR HOME EQUITY LOAN 2004-1                                                 | NOVASTAR HOME EQUITY LOAN NHEL 2004 1 M3                    | CUSIP: 66987XEC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        4281 | PA      | $4196.89       | 0.00%             | 2034-06-25      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT KWD SOLD USD 20260617                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $2223.28       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 970807 FN 11/38 FIXED 6                           | CUSIP: 31414NAG9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       57480 | PA      | $60317.50      | 0.00%             | 2038-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL BP0996 GN 08/49 FIXED 4                           | CUSIP: 3617L7C98<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      446022 | PA      | $423459.08     | 0.00%             | 2049-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVEST TR 2005-A7                                         | MERRILL LYNCH MORTGAGE INVESTO MLMI 2005 A7 1A1             | CUSIP: 59020UE35<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      733391 | PA      | $713512.06     | 0.00%             | 2035-09-25      | Floating      | 6.69%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MTGE PROD INC 2004-SL2                                         | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2004 SL2 A4             | CUSIP: 7609856D8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       56761 | PA      | $52983.43      | 0.00%             | 2031-10-25      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FISERV INC                                                                       | FISERV INC SR UNSECURED 06/30 2.65                          | CUSIP: 337738BC1<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |    37580000 | PA      | $34806790.29   | 0.08%             | 2030-06-01      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2009-47                                                               | FANNIE MAE FNR 2009 47 MT                                   | CUSIP: 31396QHD4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       13541 | PA      | $14053.92      | 0.00%             | 2039-07-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2021-7                                                  | JP MORGAN MORTGAGE TRUST JPMMT 2021 7 A3 144A               | CUSIP: 46592NAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2427285 | PA      | $2022477.04    | 0.00%             | 2051-11-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK NA                                                           | MORGAN STANLEY BANK NA MORGAN STANLEY BANK NA               | CUSIP: 61690U7W4<br>LEI: G1MLHIS0N32I3QPILB75 | Long             | DBT              | CORP              | US        |    24000000 | PA      | $24476113.44   | 0.05%             | 2026-10-30      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2005-AR13                                          | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR13 4A1           | CUSIP: 45660LRE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       13076 | PA      | $12001.58      | 0.00%             | 2035-08-25      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| FLEX LTD (AKA: FLEXTRONICS INTERNATIONAL LTD)                                    | FLEX LTD SR UNSECURED 05/30 4.875                           | CUSIP: 33938XAB1<br>LEI: 549300EAQH74YHD07T53 | Long             | DBT              | CORP              | SG        |    17200000 | PA      | $17374962.18   | 0.04%             | 2030-05-12      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL    | CHARTER COMM OPT LLC/CAP SR SECURED 04/51 3.7               | CUSIP: 161175BV5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     2200000 | PA      | $1452399.50    | 0.00%             | 2051-04-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G08696 FG 02/46 FIXED 4.5                 | CUSIP: 3128MJX21<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       18041 | PA      | $17938.11      | 0.00%             | 2046-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| DSLA MORTGAGE LOAN TRUST 2004-AR1                                                | DSLA MORTGAGE LOAN TRUST DSLA 2004 AR1 A2A                  | CUSIP: 23332UAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       27015 | PA      | $24462.71      | 0.00%             | 2044-09-19      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-3                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 3 2A2A             | CUSIP: 17307GTJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1699943 | PA      | $1623396.92    | 0.00%             | 2035-08-25      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 845355 FN 01/36 FIXED 6                           | CUSIP: 31408AE48<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       16809 | PA      | $17668.08      | 0.00%             | 2036-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 002754 G2 05/29 FIXED 6.5                      | CUSIP: 36202DBX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3052 | PA      | $3135.61       | 0.00%             | 2029-05-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL3247 FN 02/28 FIXED VAR                         | CUSIP: 3138EKTD7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        7724 | PA      | $7661.17       | 0.00%             | 2028-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP OF AMERICA FINANCE LLC                                          | VOLKSWAGEN GROUP AMERICA COMPANY GUAR 144A 11/28 4.75       | CUSIP: 928668AU6<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |    39500000 | PA      | $39812266.46   | 0.09%             | 2028-11-13      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY6045 FN 07/53 FIXED 5.5                         | CUSIP: 3140NNWF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      242111 | PA      | $245133.42     | 0.00%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 781334 GN 08/31 FIXED 8                           | CUSIP: 36225BPT9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2112 | PA      | $2237.92       | 0.00%             | 2031-08-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MTGE LN TR 2007-6XS                                               | MORGAN STANLEY MORTGAGE LOAN T MSM 2007 6XS 2A6S            | CUSIP: 61751JAM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1138815 | PA      | $389487.04     | 0.00%             | 2047-02-25      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY4531 FN 08/53 FIXED 6                           | CUSIP: 3140NMA98<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      221770 | PA      | $227166.51     | 0.00%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WAMU ASSET-BACKED CERTIFICATES 2007-HE2                                          | WAMU ASSET BACKED CERTIFICATES WMHE 2007 HE2 2A3            | CUSIP: 92926SAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     9227515 | PA      | $3348585.69    | 0.01%             | 2037-04-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 895740 FN 08/36 FIXED 6                           | CUSIP: 31410SEM5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         500 | PA      | $510.94        | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2006-FRE2                                              | MASTR ASSET BACKED SECURITIES MABS 2006 FRE2 A5             | CUSIP: 57643GAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4723159 | PA      | $2841457.50    | 0.01%             | 2036-03-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 915876 FN 04/37 FIXED 6                           | CUSIP: 31411VQ51<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       83220 | PA      | $87477.80      | 0.00%             | 2037-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-2980                                                                 | FREDDIE MAC FHR 2980 QB                                     | CUSIP: 31395UEH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5925 | PA      | $6289.95       | 0.00%             | 2035-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM1549 FN 09/48 FIXED VAR                         | CUSIP: 3140X4WK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5772646 | PA      | $5552600.31    | 0.01%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BAYVIEW MSR OPPORTUNITY MASTER FUND TRUST 2021-INV5                              | BAYVIEW OPPORTUNITY MASTER FUN BVINV 2021 5 A1 144A         | CUSIP: 07336JAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    34820860 | PA      | $30196796.27   | 0.07%             | 2051-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT KWD SOLD USD 20260615                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $8329.52       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2023-3A                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2023 3A D 144A          | CUSIP: 210928AE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     5579369 | PA      | $5813599.45    | 0.01%             | 2053-11-25      | Fixed         | 9.10%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 892814 FN 07/36 FIXED 6                           | CUSIP: 31410N3X4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2719 | PA      | $2798.73       | 0.00%             | 2036-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LXP INDUSTRIAL TRUST                                                             | LXP INDUSTRIAL TRUST COMPANY GUAR 09/30 2.7                 | CUSIP: 529043AE1<br>LEI: 549300S4MH2ICXDBFV43 | Long             | DBT              | CORP              | US        |      900000 | PA      | $822708.99     | 0.00%             | 2030-09-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BA6547 FN 11/45 FIXED 4                           | CUSIP: 3140EBHZ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      126737 | PA      | $121917.25     | 0.00%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SAMMONS FINANCIAL GROUP GLOBAL FUNDING                                           | SAMMONS FINANCIAL GLOBAL SECURED 144A 12/29 5.1             | CUSIP: 79587J2A0<br>LEI: 635400IPRNPM6HDHRS48 | Long             | DBT              | CORP              | US        |     5100000 | PA      | $5248678.16    | 0.01%             | 2029-12-10      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| RBSGC MORTGAGE PASS THROUGH CERTIFICATES 2005-RP1                                | RBSGC MORTGAGE PASS THROUGH CE RBSGC 2005 RP1 1F 144A       | CUSIP: 74927UAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    11619951 | PA      | $10689577.09   | 0.02%             | 2034-12-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                | HSBC HOLDINGS PLC SR UNSECURED 03/29 VAR                    | CUSIP: 404280EQ8<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |     2000000 | PA      | $2029271.56    | 0.00%             | 2029-03-03      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL8561 FN 06/31 FIXED VAR                         | CUSIP: 3138ETQP4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       37806 | PA      | $37460.13      | 0.00%             | 2031-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AK0498 FN 01/27 FIXED 3.5                         | CUSIP: 3138E4RU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5886 | PA      | $5844.50       | 0.00%             | 2027-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H21                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H21 FH              | CUSIP: 38376RZX7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       89543 | PA      | $89863.30      | 0.00%             | 2066-09-20      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 796272 FN 12/34 FIXED 5                           | CUSIP: 31405QT57<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       11480 | PA      | $11505.73      | 0.00%             | 2034-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 770846 FN 04/34 FLOATING VAR                      | CUSIP: 31404KL34<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         113 | PA      | $116.21        | 0.00%             | 2034-04-01      | Floating      | 6.47%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BA4737 FN 12/45 FIXED 4                           | CUSIP: 3140E9HP4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       13331 | PA      | $12903.66      | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2006-AR1                                                 | GSR MORTGAGE LOAN TRUST GSR 2006 AR1 2A1                    | CUSIP: 3623414A4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       32345 | PA      | $30567.46      | 0.00%             | 2036-01-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 791369 FN 09/34 FIXED 6                           | CUSIP: 31405KFJ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       16865 | PA      | $17386.09      | 0.00%             | 2034-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 555051 FN 11/32 FLOATING VAR                      | CUSIP: 31385WTG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1157 | PA      | $1173.06       | 0.00%             | 2032-11-01      | Floating      | 6.33%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-6                                                  | BEAR STEARNS ALT A TRUST BALTA 2006 6 2A1                   | CUSIP: 073868AM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2623412 | PA      | $1183852.07    | 0.00%             | 2036-11-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 810426 FN 03/35 FIXED 6                           | CUSIP: 31406HLF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         400 | PA      | $408.97        | 0.00%             | 2035-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2007-WMC1                                          | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 WMC1 3A3           | CUSIP: 83612NAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     9805262 | PA      | $2634626.95    | 0.01%             | 2037-02-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| LEHMAN MORTGAGE TRUST 2006-3 2006-3                                              | LEHMAN MORTGAGE TRUST LMT 2006 3 1A1                        | CUSIP: 52520CAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2462449 | PA      | $1227121.87    | 0.00%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SAMMONS FINANCIAL GROUP GLOBAL FUNDING                                           | SAMMONS FINANCIAL GLOBAL SR SECURED 144A 09/27 VAR          | CUSIP: 79587J2D4<br>LEI: 635400IPRNPM6HDHRS48 | Long             | DBT              | CORP              | US        |    20600000 | PA      | $20624199.85   | 0.05%             | 2027-09-02      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| THORNBURG MORTGAGE SECURITIES TR 2003-6                                          | THORNBURG MORTGAGE SECURITIES TMST 2003 6 A1                | CUSIP: 885220EP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       91640 | PA      | $89681.67      | 0.00%             | 2033-12-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080364 G2 01/30 FLOATING VAR                   | CUSIP: 36225CMN3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3718 | PA      | $3719.21       | 0.00%             | 2030-01-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL8841 FN 02/31 FIXED VAR                         | CUSIP: 3138ETZF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       63164 | PA      | $62938.49      | 0.00%             | 2031-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-60                                                        | FANNIE MAE FNR 2012 60 JZ                                   | CUSIP: 3136A6MF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    38066763 | PA      | $37959224.12   | 0.08%             | 2041-09-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 1G0361 FH 10/35 FLOATING VAR              | CUSIP: 3128NCMJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      133187 | PA      | $135759.64     | 0.00%             | 2035-10-01      | Floating      | 6.72%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G03249 FG 09/37 FIXED 6.5                 | CUSIP: 3128M45J8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        6343 | PA      | $6603.25       | 0.00%             | 2037-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8439 FR 06/54 FIXED 6                   | CUSIP: 3132DWLU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      409321 | PA      | $418657.58     | 0.00%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL3511 FN 03/28 FIXED VAR                         | CUSIP: 3138EK3V5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5713 | PA      | $5667.39       | 0.00%             | 2028-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 890272 FN 12/25 FIXED VAR                         | CUSIP: 31410LCH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        6659 | PA      | $6637.39       | 0.00%             | 2025-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 937666 FN 06/37 FIXED 6                           | CUSIP: 31412XFF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        7870 | PA      | $8272.41       | 0.00%             | 2037-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA0329 FN 02/30 FIXED 4                           | CUSIP: 31417YLK1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        8805 | PA      | $8785.20       | 0.00%             | 2030-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2023-INV1                                             | VERUS SECURITIZATION TRUST VERUS 2023 INV1 A1 144A          | CUSIP: 92539FAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3290236 | PA      | $3293361.54    | 0.01%             | 2068-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BRITISH TELECOMMUNICATIONS PL SNR SE ICE                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | GB        |           1 | NC      | $158853.92     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| KIRKBY RMBS PLC 1A                                                               | KIRKBY RMBS KIRK 1A C 144A                                  | CUSIP: ACI12K0V8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     9470000 | PA      | $8162629.28    | 0.02%             | 2045-02-22      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA                                                           | JP MORGAN CHASE BANK NA SR UNSECURED 12/26 VAR              | CUSIP: 48125LRV6<br>LEI: 7H6GLXDRUGQFU57RNE97 | Long             | DBT              | CORP              | US        |    27200000 | PA      | $27411499.58   | 0.06%             | 2026-12-08      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| CARLYLE GLOBAL MARKET STRATEGIES EURO CLO 2014-2 LTD 14-2A                       | CARLYLE GLOBAL MARKET STRATEGI CGMSE 2014 2A AR1 144A       | CUSIP: ACI1XGH29<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     8046008 | PA      | $9451834.16    | 0.02%             | 2031-11-15      | Floating      | 2.79%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080604 G2 05/32 FLOATING VAR                   | CUSIP: 36225CU61<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3141 | PA      | $3192.56       | 0.00%             | 2032-05-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.5815* 03/01/24-7Y* LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-68590.97     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL7549 FN 10/45 FIXED VAR                         | CUSIP: 3138EQL75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        9513 | PA      | $9158.85       | 0.00%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 6.5 SINGLE FAMILY MORTGAGE                   | CUSIP: 01F0626A4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    11300000 | PA      | $11679001.32   | 0.03%             | 2054-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2000-32                                                               | FANNIE MAE FNR 2000 32 FM                                   | CUSIP: 31358SNY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       40916 | PA      | $40855.76      | 0.00%             | 2030-10-18      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AH5228 FN 01/26 FIXED 3.5                         | CUSIP: 3138A6Y20<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1303 | PA      | $1297.72       | 0.00%             | 2026-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM3703 FN 06/35 FIXED VAR                         | CUSIP: 3140X7DH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      477945 | PA      | $466577.27     | 0.00%             | 2035-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CMLTI 2025-RP3                                                                   | CMLTI 2025 RP3 PT 144A 10/75 3.65                           | CUSIP: 1736549Z9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    97998136 | PA      | $84345458.43   | 0.19%             | 2075-10-01      | Fixed         | 3.65%                 | No            |                  3 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL C91240 FG 01/29 FIXED 4.5                 | CUSIP: 3128P7LV3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       46428 | PA      | $46473.48      | 0.00%             | 2029-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II TBA 30 YR 2.5 JUMBOS                                | CUSIP: 21H0226A4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    59828000 | PA      | $51517268.59   | 0.11%             | 2055-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-1180887.14   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT ILS SOLD USD 20251015                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $85006.77      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 894881 FN 09/36 FIXED 6                           | CUSIP: 31410RFW4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       23577 | PA      | $24299.88      | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DA4283 FN 11/53 FIXED 5.5                         | CUSIP: 3140A4XM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       39086 | PA      | $39519.06      | 0.00%             | 2053-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20251020                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $645461.89     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 923142 FN 04/36 FIXED 6                           | CUSIP: 31412ES72<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       40465 | PA      | $41345.11      | 0.00%             | 2036-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MTGE LN TRUST 2007-15AR                                           | MORGAN STANLEY MORTGAGE LOAN T MSM 2007 15AR 2A1            | CUSIP: 61756XAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5962405 | PA      | $4146086.81    | 0.01%             | 2037-11-25      | Floating      | 3.27%                 | No            |                  2 | On Loan: No      |
| RENEW WIND ENERGY AP2 / RENEW POWER PVT LTD OTHER 9 SUBSIDIARIES                 | 10 RENEW POWER SUBSIDIAR SR SECURED REGS 07/28 4.5          | CUSIP: Y7280PAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | IN        |     3700000 | PA      | $3574632.12    | 0.01%             | 2028-07-14      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UNITED WHOLESALE MORTGAGE LLC 2021-INV3                                          | UNITED WHOLESALE MORTGAGE LLC UWM 2021 INV3 A4 144A         | CUSIP: 90355RAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8162617 | PA      | $7323484.04    | 0.02%             | 2051-11-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 885865 FN 06/36 FIXED 6                           | CUSIP: 31410DFE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2810 | PA      | $2889.32       | 0.00%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BGC GROUP INC                                                                    | BGC GROUP INC SR UNSECURED 06/29 6.6                        | CUSIP: 05555LAB7<br>LEI: 2549001IGRCG4F0RLD36 | Long             | DBT              | CORP              | US        |    12600000 | PA      | $13109719.90   | 0.03%             | 2029-06-10      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2007-1                                                    | SEQUOIA MORTGAGE TRUST SEMT 2007 1 3A1                      | CUSIP: 81744HAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      839422 | PA      | $616628.24     | 0.00%             | 2047-01-20      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2001-14                                                               | FANNIE MAE FNR 2001 14 Z                                    | CUSIP: 31359SWU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1192 | PA      | $1226.48       | 0.00%             | 2031-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ELECTRICITE DE FRANCE SA (EDF)                                                   | ELECTRICITE DE FRANCE SA SR UNSECURED 144A 05/28 5.7        | CUSIP: 28504DAB9<br>LEI: 549300X3UK4GG3FNMO06 | Long             | DBT              | CORP              | FR        |     5000000 | PA      | $5174285.15    | 0.01%             | 2028-05-23      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q47956 FG 05/47 FIXED 3.5                 | CUSIP: 3132WMZW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3087036 | PA      | $2891105.54    | 0.01%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-86CB                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 86CB A11          | CUSIP: 12668BFL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      776252 | PA      | $438914.65     | 0.00%             | 2036-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 933554 FN 03/38 FIXED 6                           | CUSIP: 31412STK1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        8563 | PA      | $8995.40       | 0.00%             | 2038-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 13.4 07/10/25-01/02/29 CME                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |           1 | NC      | $617229.25     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB2054 FN 01/26 FIXED 3.5                         | CUSIP: 31416XH86<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       39545 | PA      | $39398.20      | 0.00%             | 2026-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AV2832 FN 11/28 FIXED 3.5                         | CUSIP: 3138XEEE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1266 | PA      | $1250.09       | 0.00%             | 2028-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2022-H25                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2022 H25 FA              | CUSIP: 38382YB85<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    77966438 | PA      | $79292818.89   | 0.17%             | 2072-11-20      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | TRS SOFRINDX/IBXXLLTR 12/22/25 BPS                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $-13083.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 886278 FN 06/36 FIXED 6                           | CUSIP: 31410DUB4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       53098 | PA      | $54755.69      | 0.00%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MTGE INV TRUST 2007-MLN1                                           | MERRILL LYNCH MORTGAGE INVESTO MLMI 2007 MLN1 A2D           | CUSIP: 59024UAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5664981 | PA      | $5330119.86    | 0.01%             | 2037-03-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QE9573 FR 09/52 FIXED 4                   | CUSIP: 3133BKT66<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      127379 | PA      | $120497.22     | 0.00%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| HUDSON PACIFIC PROPERTIES LP                                                     | HUDSON PACIFIC PROPERTIE COMPANY GUAR 02/28 5.95            | CUSIP: 44409MAD8<br>LEI: 5493007NTUGLGZ8T3526 | Long             | DBT              | CORP              | US        |    11567000 | PA      | $11415326.32   | 0.03%             | 2028-02-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL C33049 FG 12/29 FIXED 7.5                 | CUSIP: 31293YL61<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         371 | PA      | $373.65        | 0.00%             | 2029-12-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALT LOAN TR 2004-J4                                                  | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2004 J4 2A1            | CUSIP: 12667FFN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      708123 | PA      | $694443.85     | 0.00%             | 2034-06-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 948989 FN 08/37 FIXED 6                           | CUSIP: 31413LXS3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       30516 | PA      | $31495.24      | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON MTGE PASS-THRU TR 2005-AR4                                         | FIRST HORIZON MORTGAGE PASS TH FHASI 2005 AR4 4A1           | CUSIP: 32051GUA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      667026 | PA      | $647052.73     | 0.00%             | 2035-09-25      | Floating      | 6.06%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL A87714 FG 08/39 FIXED 4                   | CUSIP: 312934SB9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3771 | PA      | $3715.50       | 0.00%             | 2039-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ALABAMA POWER COMPANY                                                            | ALABAMA POWER CO SR UNSECURED 03/31 4.3                     | CUSIP: 010392GE2<br>LEI: 0RL818ELFOHP5JHOFU19 | Long             | DBT              | CORP              | US        |      800000 | PA      | $799701.94     | 0.00%             | 2031-03-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| EDISON INTERNATIONAL                                                             | EDISON INTERNATIONAL SR UNSECURED 06/27 5.75                | CUSIP: 281020AN7<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |     4700000 | PA      | $4756738.49    | 0.01%             | 2027-06-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | MEXICO LA SP MYC                                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $7642.11       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ASSET BACKED SEC CORP HOME EQ 2003-HE2                                           | ASSET BACKED SECURITIES CORP H ABSHE 2003 HE2 M1            | CUSIP: 04541GDS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      381032 | PA      | $381669.85     | 0.00%             | 2033-04-15      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 735718 FN 07/35 FIXED VAR                         | CUSIP: 31402RK73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         653 | PA      | $686.10        | 0.00%             | 2035-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| DUTCH MORTGAGE FINANCE BV 2024-1                                                 | DUTCH MORTGAGE FINANCE DMFI 2024 1A D                       | CUSIP: ACI2Q4LP6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | NL        |     4118000 | PA      | $4873983.73    | 0.01%             | 2067-08-22      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-7984.78      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CAD SOLD USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |           1 | NC      | $-233589.70    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM2414 FN 02/35 FIXED VAR                         | CUSIP: 3140X5VG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       18918 | PA      | $18467.86      | 0.00%             | 2035-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20251030                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $238186.82     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZK3471 FR 08/26 FIXED 3.5                 | CUSIP: 3131X62C3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       11391 | PA      | $11332.42      | 0.00%             | 2026-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-NC2                                            | MORGAN STANLEY CAPITAL INC MSAC 2007 NC2 A2B                | CUSIP: 61753NAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1760060 | PA      | $777653.48     | 0.00%             | 2037-02-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080198 G2 05/28 FLOATING VAR                   | CUSIP: 36225CGG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5952 | PA      | $5989.81       | 0.00%             | 2028-05-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 883974 FN 07/36 FIXED 6                           | CUSIP: 31410BCK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        7961 | PA      | $8130.69       | 0.00%             | 2036-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20251020                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $-7647.21      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                       | JAPAN (30 YEAR ISSUE) BONDS 06/55 2.8                       | CUSIP: ACI2YH5D3<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        | 12340000000 | PA      | $79081639.11   | 0.17%             | 2055-06-20      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS6796 FN 03/46 FIXED 4                           | CUSIP: 3138WGRS5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       30493 | PA      | $29352.72      | 0.00%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LOANCORE 2022-CRE7 ISSUER LTD                                                    | LOANCORE 2022 CRE7 ISSUER LTD. LNCR 2022 CRE7 A 144A        | CUSIP: 53946PAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    63393230 | PA      | $63570038.54   | 0.14%             | 2037-01-17      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BU4178 FN 09/53 FIXED 5.5                         | CUSIP: 3140M5UC7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5327135 | PA      | $5391162.25    | 0.01%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080030 G2 01/27 FLOATING VAR                   | CUSIP: 36225CA89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       21648 | PA      | $21653.70      | 0.00%             | 2027-01-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| STARWOOD PROPERTY MORTGAGE TRUST 2021-FL2                                        | STARWOOD COMMERCIAL MORTGAGE T STWD 2021 FL2 A 144A         | CUSIP: 78486BAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    41602789 | PA      | $41735521.33   | 0.09%             | 2038-04-18      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| CSMC TRUST 2018-RPL1                                                             | CREDIT SUISSE MORTGAGE TRUST CSMC 2018 RPL1 PT 144A         | CUSIP: 12653HAK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     9047800 | PA      | $6909974.83    | 0.02%             | 2057-07-25      | Floating      | 2.84%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                                | REPUBLIC OF SOUTH AFRICA SR UNSECURED 02/48 8.75            | CUSIP: ACI0289D8<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |   131800000 | PA      | $6597097.51    | 0.01%             | 2048-02-28      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 940639 FN 08/37 FIXED 6                           | CUSIP: 31413BPY1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       14529 | PA      | $15269.92      | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLINES 2014-2 CLASS A PASS THROUGH TRUST                                | UNITED AIR 2014 2 A PTT PASS THRU CE 03/28 3.75             | CUSIP: 90932QAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      890628 | PA      | $883364.63     | 0.00%             | 2028-03-03      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL2224 FN 07/27 FIXED VAR                         | CUSIP: 3138EJPJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       20211 | PA      | $20063.42      | 0.00%             | 2027-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 942351 FN 07/37 FIXED 6                           | CUSIP: 31413DL88<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      193371 | PA      | $201721.91     | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2005-8                                             | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2005 8 1A1              | CUSIP: 007036QB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       45665 | PA      | $44055.95      | 0.00%             | 2035-11-25      | Floating      | 6.62%                 | No            |                  2 | On Loan: No      |
| FIELDSTONE MORTGAGE INVESTMENT TRUST SERIES 2006-1                               | FIELDSTONE MORTGAGE INVESTMENT FMIC 2006 1 A2               | CUSIP: 31659TEY7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5197605 | PA      | $3919416.06    | 0.01%             | 2036-05-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 313343 FN 02/27 FLOATING VAR                      | CUSIP: 31374GBL0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2359 | PA      | $2360.89       | 0.00%             | 2027-02-01      | Floating      | 6.32%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD EUR BOUGHT USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $164220.74     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK 2019-BN19                                                                   | BANK BANK 2019 BN19 ASB                                     | CUSIP: 06540WBB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2508789 | PA      | $2463175.16    | 0.01%             | 2061-08-15      | Fixed         | 3.07%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3221                                                                 | FREDDIE MAC FHR 3221 SI                                     | CUSIP: 31397BBL4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       65060 | PA      | $7024.62       | 0.00%             | 2036-09-15      | Floating      | 2.09%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2005-3                               | BEAR STEARNS ADJUSTABLE RATE M BSARM 2005 3 1A1             | CUSIP: 07387AAV7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       14105 | PA      | $13896.86      | 0.00%             | 2035-06-25      | Floating      | 6.23%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 995011 FN 10/38 FIXED VAR                         | CUSIP: 31416BKY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       77628 | PA      | $81849.60      | 0.00%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 250547 FN 03/26 FIXED 6                           | CUSIP: 31371FHY1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          30 | PA      | $30.14         | 0.00%             | 2026-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB3246 FN 04/52 FIXED 3                           | CUSIP: 3140QNTC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1902501 | PA      | $1681341.26    | 0.00%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-1                                                  | BEAR STEARNS ALT A TRUST BALTA 2006 1 11A1                  | CUSIP: 07386HA92<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      477916 | PA      | $454575.98     | 0.00%             | 2036-02-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| ISRAEL GOVT                                                                      | STATE OF ISRAEL STATE OF ISRAEL                             | CUSIP: 46514BRL3<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |    27000000 | PA      | $27771780.15   | 0.06%             | 2034-03-12      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -322229692 | PA      | $-322229692.00 | -0.71%            |  |  |  | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                                                    | BOEING CO SR UNSECURED 05/27 5.04                           | CUSIP: 097023CU7<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     7968000 | PA      | $8056082.81    | 0.02%             | 2027-05-01      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 252874 FN 11/29 FIXED 7.5                         | CUSIP: 31371H2F4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2801 | PA      | $2894.27       | 0.00%             | 2029-11-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                                                                     | ENBRIDGE INC ENBRIDGE INC                                   | CUSIP: 29250NCA1<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |     1100000 | PA      | $1117166.82    | 0.00%             | 2027-04-05      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 190405 FN 10/40 FIXED VAR                         | CUSIP: 31368HNW9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2908 | PA      | $2847.78       | 0.00%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CALIFORNIA HEALTH FACILITIES FINANCING AUTHORITY                                 | CALIFORNIA ST HLTH FACS FING A CASMED 06/29 FIXED 2.584     | CUSIP: 13032UVG0<br>LEI: 5493007RI8BUDOGHZ546 | Long             | DBT              | MUN               | US        |     3600000 | PA      | $3423479.76    | 0.01%             | 2029-06-01      | Fixed         | 2.58%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2023-4A                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2023 4A E 144A          | CUSIP: 21056DAK6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1919170 | PA      | $1950073.85    | 0.00%             | 2053-11-25      | Fixed         | 9.35%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-S3                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2006 S3 1A10                 | CUSIP: 46629AAK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      373680 | PA      | $120375.84     | 0.00%             | 2036-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MEXICO GOVT                                                                      | UNITED MEXICAN STATES SR UNSECURED 09/35 5.625              | CUSIP: 91087BBL3<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    28400000 | PA      | $28302304.00   | 0.06%             | 2035-09-22      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BA3779 FN 01/46 FIXED 4                           | CUSIP: 3140E8FV5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      417960 | PA      | $401678.48     | 0.00%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PROTEUS RMBS DAC 1A                                                              | PROTEUS RMBS DAC PROTE 1A FR 144A                           | CUSIP: ACI1747D2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |    33620000 | PA      | $27784047.47   | 0.06%             | 2054-10-29      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL C91370 FG 05/31 FIXED 4.5                 | CUSIP: 3128P7QX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4682 | PA      | $4714.24       | 0.00%             | 2031-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                          | GOLDMAN SACHS GROUP INC SR UNSECURED 10/27 VAR              | CUSIP: 38141GYM0<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     8600000 | PA      | $8398676.41    | 0.02%             | 2027-10-21      | Floating      | 1.95%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 553163 FN 09/30 FIXED 8                           | CUSIP: 31385UQQ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         465 | PA      | $480.57        | 0.00%             | 2030-09-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| SYMPHONY CLO XXIV LTD 2020-24A                                                   | SYMPHONY CLO LTD SYMP 2020 24A A1R 144A                     | CUSIP: 87167QAQ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    13300000 | PA      | $13299919.14   | 0.03%             | 2035-10-23      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 1997-45                                                               | FANNIE MAE FNR 1997 45 CD                                   | CUSIP: 31359PH74<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         668 | PA      | $678.51        | 0.00%             | 2027-07-18      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 767043 FN 09/35 FIXED 6                           | CUSIP: 31404FEQ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       17278 | PA      | $17670.68      | 0.00%             | 2035-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 323424 FN 12/28 FIXED VAR                         | CUSIP: 31374TG94<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          53 | PA      | $53.40         | 0.00%             | 2028-12-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AU6716 FN 09/43 FIXED 4                           | CUSIP: 3138X6PA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      199430 | PA      | $194133.04     | 0.00%             | 2043-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC1352 FN 03/46 FIXED 4                           | CUSIP: 3140EVQE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      584117 | PA      | $561904.56     | 0.00%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2024-B                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2024 B C                 | CUSIP: 78450CAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1100000 | PA      | $1155543.95    | 0.00%             | 2052-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 1Q0365 FH 06/37 FLOATING VAR              | CUSIP: 3128S4MN4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         692 | PA      | $711.22        | 0.00%             | 2037-06-01      | Floating      | 6.89%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS3154 FN 08/44 FIXED 4                           | CUSIP: 3138WCQG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       27137 | PA      | $26172.39      | 0.00%             | 2044-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL AJ9940 GN 12/44 FIXED 3.5                         | CUSIP: 36183GBH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       59449 | PA      | $55604.91      | 0.00%             | 2044-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TSY INFL IX N/B 02/54 2.125                                 | CUSIP: 912810TY4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   142291077 | PA      | $131486865.58  | 0.29%             | 2054-02-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080076 G2 05/27 FLOATING VAR                   | CUSIP: 36225CCN4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5155 | PA      | $5166.73       | 0.00%             | 2027-05-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT PLN SOLD USD 20251015                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $61362.17      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RIO OIL FINANCE TRUST SERIES 2014-3                                              | RIO OIL FINANCE TRUST SR SECURED 144A 01/27 9.75            | CUSIP: 76716XAB8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     6718727 | PA      | $6966729.06    | 0.02%             | 2027-01-06      | Variable      | 9.75%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL H09207 FG 08/38 FIXED 6.5                 | CUSIP: 3128UNGQ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5296 | PA      | $5439.60       | 0.00%             | 2038-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BA4766 FN 01/46 FIXED 4                           | CUSIP: 3140E9JL1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      355227 | PA      | $340827.26     | 0.00%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC4224 FN 03/46 FIXED 4                           | CUSIP: 3140EYVS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1580183 | PA      | $1520093.85    | 0.00%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 813630 FN 07/35 FLOATING VAR                      | CUSIP: 31406L4P0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       46346 | PA      | $47601.59      | 0.00%             | 2035-07-01      | Floating      | 6.18%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QD9717 FR 04/52 FIXED 3                   | CUSIP: 3133B7YN2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      600926 | PA      | $529506.58     | 0.00%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3318                                                                 | FREDDIE MAC FHR 3318 F                                      | CUSIP: 31397HDF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      118532 | PA      | $117018.25     | 0.00%             | 2037-05-15      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-21                                                   | COUNTRYWIDE HOME LOANS CWHL 2005 21 A1                      | CUSIP: 126694CD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      844174 | PA      | $448951.59     | 0.00%             | 2035-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AVIATION CAPITAL GROUP LLC                                                       | AVIATION CAPITAL GROUP SR UNSECURED 144A 04/28 6.25         | CUSIP: 05369AAN1<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |     8318000 | PA      | $8677129.07    | 0.02%             | 2028-04-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| CENTENE CORPORATION                                                              | CENTENE CORP SR UNSECURED 07/28 2.45                        | CUSIP: 15135BAY7<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |    26571000 | PA      | $24711905.78   | 0.05%             | 2028-07-15      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 1944                                                                 | FREDDIE MAC FHR 1944 GC                                     | CUSIP: 3133T9LJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         643 | PA      | $642.77        | 0.00%             | 2027-03-17      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 781603 FN 10/34 FIXED 5.5                         | CUSIP: 31404XKQ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         201 | PA      | $203.39        | 0.00%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 559805 FN 10/40 FLOATING VAR                      | CUSIP: 31386C3N0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       31735 | PA      | $31832.81      | 0.00%             | 2040-10-01      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 08/45 4.875                                 | CUSIP: 912810UN6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   273100000 | PA      | $279223415.43  | 0.62%             | 2045-08-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVESTORS 2003-A4                                         | MERRILL LYNCH MORTGAGE INVESTO MLMI 2003 A4 3A              | CUSIP: 589929W87<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        2733 | PA      | $2690.98       | 0.00%             | 2033-05-25      | Floating      | 7.00%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLINES 2024-1 CLASS AA PASS THROUGH TRUST                               | UNITED AIR 2024 1 AA PTT PASS THRU CE 08/38 5.45            | CUSIP: 90932WAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    29351852 | PA      | $30296189.51   | 0.07%             | 2038-08-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | OIS CAD CAONREPO/2.8500 12/19/24-8Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |           1 | NC      | $-21390.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| IMPAC CMB TR 2004-6                                                              | IMPAC CMB TRUST IMM 2004 6 1A2                              | CUSIP: 45254NKD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       26617 | PA      | $26623.68      | 0.00%             | 2034-10-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| HARVEST CLO XVI DAC 16A                                                          | HARVEST CLO HARVT 16A ARR 144A                              | CUSIP: ACI1VVSJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    13927406 | PA      | $16365285.58   | 0.04%             | 2031-10-15      | Floating      | 2.67%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA0546 FN 10/25 FIXED 3.5                         | CUSIP: 31417YTC1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          83 | PA      | $82.89         | 0.00%             | 2025-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AE0349 FN 04/40 FIXED VAR                         | CUSIP: 31419AL70<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      351392 | PA      | $370499.51     | 0.00%             | 2040-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BA2905 FN 11/45 FIXED 4                           | CUSIP: 3140E7GP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       23053 | PA      | $22356.14      | 0.00%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BW5118 FN 01/53 FIXED 5.5                         | CUSIP: 3140MWVL7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      441752 | PA      | $447572.62     | 0.00%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BANK 2019-BN16                                                                   | BANK BANK 2019 BN16 A4                                      | CUSIP: 065405AE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    17268000 | PA      | $17065650.12   | 0.04%             | 2052-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MRTG CAPITAL CERT 2006-6                                           | CREDIT SUISSE MORTGAGE TRUST CSMC 2006 6 1A11               | CUSIP: 22942JAL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      778647 | PA      | $352938.52     | 0.00%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                             | JPMORGAN CHASE + CO SR UNSECURED 05/28 VAR                  | CUSIP: 46647PAF3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     2000000 | PA      | $1983278.38    | 0.00%             | 2028-05-01      | Floating      | 3.54%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MTGE PROD 2006-RS1                                             | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2006 RS1 AI3            | CUSIP: 76112BT91<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2091966 | PA      | $1951627.58    | 0.00%             | 2036-01-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AJ9821 FN 12/26 FIXED 3.5                         | CUSIP: 3138E24F9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2383 | PA      | $2366.93       | 0.00%             | 2026-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AI8599 FN 09/26 FIXED 4                           | CUSIP: 3138ANRV7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2495 | PA      | $2487.01       | 0.00%             | 2026-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 435082 GN 04/31 FIXED 7                           | CUSIP: 36207LJ33<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          34 | PA      | $34.36         | 0.00%             | 2031-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AU3363 FN 08/43 FIXED 3                           | CUSIP: 3138X2WZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      309601 | PA      | $284625.31     | 0.00%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q46777 FG 03/47 FIXED 3.5                 | CUSIP: 3132WLQ74<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      717431 | PA      | $671970.62     | 0.00%             | 2047-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR GBP SONIO/3.75000 09/17/25-5Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |           1 | NC      | $-948209.13    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AJ1441 FN 09/26 FIXED 3.5                         | CUSIP: 3138ASS78<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5685 | PA      | $5654.88       | 0.00%             | 2026-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2995 FN 05/47 FIXED 4                           | CUSIP: 31418CKH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5183 | PA      | $4986.02       | 0.00%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL3039 FN 10/27 FIXED VAR                         | CUSIP: 3138EKLV5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       39004 | PA      | $38822.91      | 0.00%             | 2027-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FS4156 FN 09/52 FIXED VAR                         | CUSIP: 3140XKTN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    26988869 | PA      | $25522400.09   | 0.06%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AT2397 FN 04/28 FIXED 3                           | CUSIP: 3138WPUX0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1798 | PA      | $1770.28       | 0.00%             | 2028-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 880217 FN 02/36 FIXED 7                           | CUSIP: 31409V4A8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       51764 | PA      | $53474.74      | 0.00%             | 2036-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| MUTUAL OF OMAHA COMPANIES GLOBAL FUNDING                                         | MUTUAL OF OMAHA GLOBAL SECURED 144A 07/26 5.8               | CUSIP: 62829D2A7<br>LEI: 635400AL5J3F1ZPTAN95 | Long             | DBT              | CORP              | US        |    15800000 | PA      | $16025310.37   | 0.04%             | 2026-07-27      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FINANCIAL GROUP INC (MUFG)                                        | MITSUBISHI UFJ FIN GRP SR UNSECURED 10/27 VAR               | CUSIP: 606822BZ6<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |     6200000 | PA      | $6039050.85    | 0.01%             | 2027-10-13      | Floating      | 1.64%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS6527 FN 01/46 FIXED 4                           | CUSIP: 3138WGHD9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      217189 | PA      | $209042.98     | 0.00%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT JPY SOLD USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $-6266.96      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2006-AM3                                               | MASTR ASSET BACKED SECURITIES MABS 2006 AM3 A4              | CUSIP: 57645EAM2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3951793 | PA      | $3551140.73    | 0.01%             | 2036-10-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2018-RP2                                           | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2018 RP2 B3 144A        | CUSIP: 17326UAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1760000 | PA      | $1318525.12    | 0.00%             | 2058-02-25      | Variable      | 3.08%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST-2004-A1                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2004 A1 1A1                  | CUSIP: 466247BL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       82247 | PA      | $75674.05      | 0.00%             | 2034-02-25      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 1G1753 FH 10/35 FLOATING VAR              | CUSIP: 3128QJ5N2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      495815 | PA      | $508440.49     | 0.00%             | 2035-10-01      | Floating      | 6.97%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-22                                                   | COUNTRYWIDE HOME LOANS CWHL 2005 22 3A1                     | CUSIP: 126694LW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1030168 | PA      | $828479.42     | 0.00%             | 2035-10-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 008781 G2 01/26 FLOATING VAR                   | CUSIP: 36202KXJ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1038 | PA      | $1036.31       | 0.00%             | 2026-01-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 892918 FN 08/36 FIXED 6                           | CUSIP: 31410PAT0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       13213 | PA      | $13782.74      | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAN TR 2005-3                                               | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2005 3 1A              | CUSIP: 542514NT7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3614247 | PA      | $3570269.26    | 0.01%             | 2045-08-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN ABS 2006-FF13                                            | FIRST FRANKLIN MTG LOAN ASSET FFML 2006 FF13 A2D            | CUSIP: 30247DAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3175958 | PA      | $2094731.83    | 0.00%             | 2036-10-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080088 G2 06/27 FLOATING VAR                   | CUSIP: 36225CC20<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        6162 | PA      | $6162.15       | 0.00%             | 2027-06-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DB5273 FN 06/54 FIXED 5.5                         | CUSIP: 3140AE2F5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1936468 | PA      | $1969467.46    | 0.00%             | 2054-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| HESTIA RE LTD                                                                    | HESTIA RE LTD UNSECURED 144A 03/32 VAR                      | CUSIP: 42815KAC6<br>LEI: 549300QRKQ1ZKOXEMZ38 | Long             | DBT              | CORP              | BM        |      400000 | PA      | $408820.00     | 0.00%             | 2032-03-13      | Floating      | 10.71%                | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT PLN SOLD USD 20251022                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-79707.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AU3736 FN 08/43 FIXED 3                           | CUSIP: 3138X3EJ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      495232 | PA      | $455437.42     | 0.00%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080045 G2 02/27 FLOATING VAR                   | CUSIP: 36225CBP0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       13309 | PA      | $13305.74      | 0.00%             | 2027-02-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL BT9024 GN 03/50 FIXED 4                           | CUSIP: 3617MYAZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      563661 | PA      | $534364.74     | 0.00%             | 2050-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MTGE P/T 2007-HY1                                              | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2007 HY1 A2A           | CUSIP: 93936AAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5882745 | PA      | $4585554.68    | 0.01%             | 2037-02-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| BENCHMARK MORTGAGE TRUST 2019-B9                                                 | BENCHMARK MORTGAGE TRUST BMARK 2019 B9 A5                   | CUSIP: 08160JAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    32609000 | PA      | $32005215.02   | 0.07%             | 2052-03-15      | Fixed         | 4.02%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TREASURY BILL 11/25 0.00000                                 | CUSIP: 912797RM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      903000 | PA      | $899585.74     | 0.00%             | 2025-11-04      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SB8007 FR 09/34 FIXED 3.5                 | CUSIP: 3132D53Q3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       27232 | PA      | $26794.01      | 0.00%             | 2034-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SECURITIES INC 2006-AR1                                           | DEUTSCHE ALT A SECURITIES INC DBALT 2006 AR1 1A3            | CUSIP: 251510LD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5074208 | PA      | $5023328.58    | 0.01%             | 2036-02-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| MARS INCORPORATED                                                                | MARS INC SR UNSECURED 144A 03/28 4.6                        | CUSIP: 571676AX3<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |    16900000 | PA      | $17110295.32   | 0.04%             | 2028-03-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 2.5 SINGLE FAMILY MORTGAGE                   | CUSIP: 01F0226B6<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -25000000 | PA      | $-21070209.00  | -0.05%            | 2055-11-13      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| THORNBURG MORTGAGE SECURITIES TR 2007-4                                          | THORNBURG MORTGAGE SECURITIES TMST 2007 4 2A1               | CUSIP: 88522YAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      370678 | PA      | $368250.89     | 0.00%             | 2037-09-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL CO3413 G2 04/47 FIXED 3                        | CUSIP: 3617FEYJ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5127219 | PA      | $4573121.18    | 0.01%             | 2047-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 815859 FN 02/35 FIXED 5.5                         | CUSIP: 31406PMG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       49713 | PA      | $51750.96      | 0.00%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB4358 FN 07/52 FIXED 3                           | CUSIP: 3140QPZY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5342965 | PA      | $4706070.30    | 0.01%             | 2052-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-42CB                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 42CB A1           | CUSIP: 12667G4S9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1025941 | PA      | $575407.04     | 0.00%             | 2035-10-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| ISRAEL GOVT                                                                      | STATE OF ISRAEL STATE OF ISRAEL                             | CUSIP: 46514BRM1<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |     3900000 | PA      | $3696979.26    | 0.01%             | 2054-03-12      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 886653 FN 08/36 FIXED 6                           | CUSIP: 31410EBW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        6166 | PA      | $6364.55       | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8261 FR 09/52 FIXED 6                   | CUSIP: 3132DWFA6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      252781 | PA      | $259601.32     | 0.00%             | 2052-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2024-RP4                                           | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2024 RP4 SA 144A        | CUSIP: 17332EAS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       99920 | PA      | $98496.54      | 0.00%             | 2064-09-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3898 FN 01/35 FIXED 3.5                         | CUSIP: 31418DKL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      150773 | PA      | $147187.39     | 0.00%             | 2035-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 783456 GN 10/41 FIXED 3.5                         | CUSIP: 36241LZV1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       14768 | PA      | $13875.56      | 0.00%             | 2041-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2007-1F                                                  | GSR MORTGAGE LOAN TRUST GSR 2007 1F 3A13                    | CUSIP: 3622MPBC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      457221 | PA      | $274862.55     | 0.00%             | 2037-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| VIBRANT CLO XI LTD 2019-11A                                                      | VIBRANT CLO LTD VIBR 2019 11A A1R1 144A                     | CUSIP: 92558NAJ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    14372088 | PA      | $14395805.11   | 0.03%             | 2032-07-20      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 1G1744 FH 08/35 FLOATING VAR              | CUSIP: 3128QJ5D4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1982 | PA      | $2019.26       | 0.00%             | 2035-08-01      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 847534 FH 03/36 FLOATING VAR              | CUSIP: 3128JRLP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3694 | PA      | $3777.65       | 0.00%             | 2036-03-01      | Floating      | 6.51%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2025-4                                                         | FANNIE MAE FNR 2025 4 FB                                    | CUSIP: 3136BUU65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    22091093 | PA      | $22205602.16   | 0.05%             | 2053-12-25      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| ROUNDSTONE SECURITIES NO 2 DESIGNATED ACTIVITY CO 2A                             | ROUNDSTONE SECURITIES RNST 2A E 144A                        | CUSIP: ACI2NGD06<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |    14495000 | PA      | $16836583.25   | 0.04%             | 2058-06-28      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-7                                                  | BEAR STEARNS ALT A TRUST BALTA 2006 7 23A1                  | CUSIP: 073875AN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      141843 | PA      | $98968.36      | 0.00%             | 2046-12-25      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| BLUEMOUNTAIN FUJI EUR CLO III DAC 3A                                             | BLUEMOUNTAIN FUJI EUR CLO BLUME 3A A1R 144A                 | CUSIP: ACI1XNPD1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     7366940 | PA      | $8646133.38    | 0.02%             | 2031-01-15      | Floating      | 2.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD2676 FN 06/46 FIXED 4                           | CUSIP: 3140F96N0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       57653 | PA      | $55246.59      | 0.00%             | 2046-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC. 2003-A                                              | MLCC MORTGAGE INVESTORS INC MLCC 2003 A 1A                  | CUSIP: 589929F94<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        2480 | PA      | $2418.10       | 0.00%             | 2028-03-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 398058 FN 12/26 FIXED 8                           | CUSIP: 31378GE74<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1477 | PA      | $1478.44       | 0.00%             | 2026-12-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| JERSEY CENTRAL POWER & LIGHT COMPANY                                             | JERSEY CENTRAL PWR + LT SR UNSECURED 144A 01/31 4.4         | CUSIP: 476556DG7<br>LEI: 549300W9UGH9ZPLNPF79 | Long             | DBT              | CORP              | US        |     8600000 | PA      | $8574450.60    | 0.02%             | 2031-01-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2006-AR2                                                 | GSR MORTGAGE LOAN TRUST GSR 2006 AR2 2A1                    | CUSIP: 36297TAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       25309 | PA      | $15160.95      | 0.00%             | 2036-04-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS8658 FR 06/32 FIXED 3.5                 | CUSIP: 3132A9TP2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       86117 | PA      | $85132.35      | 0.00%             | 2032-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB1600 FN 10/25 FIXED 3.5                         | CUSIP: 31416WX64<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        7876 | PA      | $7852.02       | 0.00%             | 2025-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20251128                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $150119.52     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL4082 FN 10/27 FIXED VAR                         | CUSIP: 3138ELRC9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        7567 | PA      | $7538.25       | 0.00%             | 2027-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| EPR PROPERTIES                                                                   | EPR PROPERTIES COMPANY GUAR 04/28 4.95                      | CUSIP: 26884UAE9<br>LEI: 549300YSSXFHMPOWZ492 | Long             | DBT              | CORP              | US        |    25572000 | PA      | $25775541.10   | 0.06%             | 2028-04-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTG LN 2004-20                                          | STRUCTURED ADJUSTABLE RATE MOR SARM 2004 20 3A1             | CUSIP: 863579HD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       39299 | PA      | $38995.07      | 0.00%             | 2035-01-25      | Floating      | 3.93%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                     | BROADCOM INC COMPANY GUAR 11/32 4.3                         | CUSIP: 11135FAS0<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     8280000 | PA      | $8175959.48    | 0.02%             | 2032-11-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL8387 FN 03/46 FIXED VAR                         | CUSIP: 3138ETJ98<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      463414 | PA      | $446737.33     | 0.00%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE4                                            | MORGAN STANLEY CAPITAL INC MSAC 2007 HE4 A2D                | CUSIP: 61753VAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3591949 | PA      | $1138365.38    | 0.00%             | 2037-02-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2006-A1                                              | CHASE MORTGAGE FINANCE CORPORA CHASE 2006 A1 2A3            | CUSIP: 16163CAH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       18555 | PA      | $16625.95      | 0.00%             | 2036-09-25      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD INR BOUGHT USD 20251017                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $6482.66       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MDPKE 14A                                                                        | MADISON PARK EURO FUNDING MDPKE 14A A1R 144A                | CUSIP: ACI2289F9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    14426981 | PA      | $16955225.95   | 0.04%             | 2032-07-15      | Floating      | 2.83%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BK9855 FN 09/33 FIXED 3.5                         | CUSIP: 3140HP5R4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      189428 | PA      | $187146.42     | 0.00%             | 2033-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2006-AR3                                            | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR3 11A1           | CUSIP: 86360KAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      138918 | PA      | $126618.43     | 0.00%             | 2036-04-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMIC 2102                                                           | FREDDIE MAC FHR 2102 Z                                      | CUSIP: 3133THHD2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      134360 | PA      | $136695.03     | 0.00%             | 2028-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM7832 FN 05/35 FIXED VAR                         | CUSIP: 3140XBV23<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5434 | PA      | $5358.19       | 0.00%             | 2035-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB3355 FN 08/41 FIXED 5                           | CUSIP: 31416YWR5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        9814 | PA      | $10055.65      | 0.00%             | 2041-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CARRINGTON MTGE LOAN TRUST 2006-FRE2                                             | CARRINGTON MORTGAGE LOAN TRUST CARR 2006 FRE2 A4            | CUSIP: 14454AAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3233933 | PA      | $2487957.61    | 0.01%             | 2036-10-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3345 FN 04/28 FIXED 3.5                         | CUSIP: 31418CWF7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       32065 | PA      | $31874.12      | 0.00%             | 2028-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CHASEFLEX TRUST 2007-M1                                                          | CHASEFLEX TRUST CFLX 2007 M1 2F4                            | CUSIP: 16165YAT9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      488241 | PA      | $416064.16     | 0.00%             | 2037-08-25      | Variable      | 6.85%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2023-D                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2023 D B 144A            | CUSIP: 78450PAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    12921000 | PA      | $13787957.75   | 0.03%             | 2053-09-15      | Fixed         | 6.93%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN MORTGAGE TRUST 2023-DSC1                                             | JP MORGAN MORTGAGE TRUST JPMMT 2023 DSC1 A1 144A            | CUSIP: 46656NAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4658930 | PA      | $4579789.02    | 0.01%             | 2063-07-25      | Variable      | 4.62%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZK2723 FR 11/25 FIXED 3.5                 | CUSIP: 3131X6AY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1515 | PA      | $1510.12       | 0.00%             | 2025-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SAUDI ARABIA GOVT                                                                | SAUDI INTERNATIONAL BOND SR UNSECURED 144A 01/34 5          | CUSIP: 80413TBG3<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |    12600000 | PA      | $12920518.17   | 0.03%             | 2034-01-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 888222 FN 02/37 FIXED VAR                         | CUSIP: 31410FYT6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4694 | PA      | $4948.60       | 0.00%             | 2037-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2007-3                                                    | SEQUOIA MORTGAGE TRUST SEMT 2007 3 1A1                      | CUSIP: 81744MAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       10038 | PA      | $8693.03       | 0.00%             | 2036-07-20      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| NOMURA HOLDINGS INC                                                              | NOMURA HOLDINGS INC SR UNSECURED 07/28 6.07                 | CUSIP: 65535HBM0<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |    12000000 | PA      | $12558326.04   | 0.03%             | 2028-07-12      | Fixed         | 6.07%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2023-3A                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2023 3A A1 144A         | CUSIP: 210928AA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     9116682 | PA      | $9156700.70    | 0.02%             | 2053-11-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 313182 FN 10/26 FIXED VAR                         | CUSIP: 31374F2P3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |           2 | PA      | $1.97          | 0.00%             | 2026-10-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| DATABRICKS INC                                                                   | DATABRICKS INC DELAYED DRAW TERM LOAN                       | CUSIP: BA000D1C1<br>LEI: 984500FEDAC7FBD96273 | Long             | LON              | CORP              | US        |     4493218 | PA      | $4493218.14    | 0.01%             | 2031-01-03      | Floating      | 1.00%                 | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 412543 FN 01/28 FIXED 6.5                         | CUSIP: 31378YHU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          42 | PA      | $43.24         | 0.00%             | 2028-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL D80490 FG 06/27 FIXED 7.5                 | CUSIP: 3128FPRK2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          97 | PA      | $97.59         | 0.00%             | 2027-06-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 897253 FN 11/36 FIXED 6                           | CUSIP: 31410TZS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       44138 | PA      | $46396.05      | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FIDELITY NATIONAL FINANCIAL INC                                                  | FIDELITY NATL FINANCIAL COMPANY GUAR 03/31 2.45             | CUSIP: 31620RAK1<br>LEI: 549300CAZYIH39SYQ287 | Long             | DBT              | CORP              | US        |     4900000 | PA      | $4343900.27    | 0.01%             | 2031-03-15      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2003-6A                                                | STRUCTURED ASSET SECURITIES CO SASC 2003 6A 2A1             | CUSIP: 86359AMR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      228407 | PA      | $225580.93     | 0.00%             | 2033-03-25      | Floating      | 6.70%                 | No            |                  2 | On Loan: No      |
| GSR MTGE LOAN TRUST 2003-2F                                                      | GSR MORTGAGE LOAN TRUST GSR 2003 2F 3A1                     | CUSIP: 36228FNB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        2114 | PA      | $2184.57       | 0.00%             | 2032-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AU2032 FN 07/43 FIXED 3                           | CUSIP: 3138X1HJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      476641 | PA      | $437399.78     | 0.00%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALT LOAN TRUST 2006-43CB                                             | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 43CB 1A10         | CUSIP: 02149FAK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       68903 | PA      | $34553.43      | 0.00%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                        | REPUBLIC OF PERU SR UNSECURED 144A 08/31 6.95               | CUSIP: 715638BD3<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    14481000 | PA      | $4619547.65    | 0.01%             | 2031-08-12      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 807392 FN 10/31 FIXED 8                           | CUSIP: 31406D7D2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         366 | PA      | $371.83        | 0.00%             | 2031-10-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS3470 FN 10/44 FIXED 4                           | CUSIP: 3138WC2C6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      177044 | PA      | $170715.68     | 0.00%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 003053 G2 03/31 FIXED 6.5                      | CUSIP: 36202DMA6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4686 | PA      | $4889.49       | 0.00%             | 2031-03-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB0259 FN 03/37 FIXED 6                           | CUSIP: 31416VJD7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       22963 | PA      | $24136.51      | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS7400 FN 03/46 FIXED 4                           | CUSIP: 3138WHGJ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      225298 | PA      | $216755.25     | 0.00%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZK2641 FR 10/25 FIXED 3.5                 | CUSIP: 3131X55A6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1194 | PA      | $1190.54       | 0.00%             | 2025-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AT5213 FN 06/43 FIXED 3                           | CUSIP: 3138WSYK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      558396 | PA      | $513586.00     | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ADANI RENEWABLE ENERGY RJ LTD/KODANGAL SOLAR PARKS PVT LTD/WARDHA SOLAR MAHARASH | ADANIREN KODSOPAR WARSOM SR SECURED 144A 10/39 4.625        | CUSIP: 00654CAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | IN        |     6847000 | PA      | $5836023.33    | 0.01%             | 2039-10-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2080                                                                 | FREDDIE MAC FHR 2080 Z                                      | CUSIP: 3133TG3U1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       50583 | PA      | $51309.35      | 0.00%             | 2028-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD IDR BOUGHT USD 20251015                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-76336.91     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SBA TOWER TRUST                                                                  | SBA TOWER TRUST ASSET BACKED 144A 07/50 1.884               | CUSIP: 78403DAP5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    24900000 | PA      | $24712326.21   | 0.05%             | 2050-07-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2017-RPL2                                            | LEGACY MORTGAGE ASSET TRUST LMAT 2017 RPL2 B2 144A          | CUSIP: 52473LAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    66948496 | PA      | $49039036.89   | 0.11%             | 2056-12-25      | Variable      | 3.05%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SECUR TR 2005-FRE1                                            | MASTR ASSET BACKED SECURITIES MABS 2005 FRE1 M1             | CUSIP: 57643LMA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6004852 | PA      | $5857511.84    | 0.01%             | 2035-10-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 947087 FN 10/37 FIXED 6                           | CUSIP: 31413JUL6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5352 | PA      | $5642.65       | 0.00%             | 2037-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 486085 GN 07/30 FIXED 8.5                         | CUSIP: 36209Y6W3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3389 | PA      | $3401.44       | 0.00%             | 2030-07-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5038 FN 06/53 FIXED 5                           | CUSIP: 31418ES43<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      307824 | PA      | $306791.29     | 0.00%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                      | BANK OF AMERICA CORP SR UNSECURED 07/29 VAR                 | CUSIP: 06051GHM4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      850000 | PA      | $853120.69     | 0.00%             | 2029-07-23      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                     | BARCLAYS PLC SR UNSECURED 09/27 VAR                         | CUSIP: 06738ECM5<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    29000000 | PA      | $29310209.81   | 0.06%             | 2027-09-13      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 902336 FN 11/36 FIXED 6                           | CUSIP: 31411APV1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       41240 | PA      | $42977.24      | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                     | UBS GROUP AG SR UNSECURED REGS 10/26 VAR                    | CUSIP: ACI24F276<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     1360000 | PA      | $1596750.81    | 0.00%             | 2026-10-13      | Floating      | 2.12%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q46361 FG 02/47 FIXED 3.5                 | CUSIP: 3132WLB70<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1055818 | PA      | $987111.23     | 0.00%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-53                                                               | FANNIE MAE FNR 2007 53 SA                                   | CUSIP: 31396WCJ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       37642 | PA      | $2601.02       | 0.00%             | 2037-06-25      | Floating      | 1.63%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 800071 FN 12/34 FLOATING VAR                      | CUSIP: 31405U2C2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        6936 | PA      | $6999.99       | 0.00%             | 2034-12-01      | Floating      | 5.96%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR16                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR16 3A3           | CUSIP: 92925GAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3957826 | PA      | $3552584.17    | 0.01%             | 2036-12-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE-1997-38                                                               | FANNIE MAE FNR 1997 38 PH                                   | CUSIP: 31359PXL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2304 | PA      | $2303.57       | 0.00%             | 2027-05-17      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUST RATE MTG LN 2004-13                                            | STRUCTURED ADJUSTABLE RATE MOR SARM 2004 13 A2              | CUSIP: 863579BM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      689509 | PA      | $642116.85     | 0.00%             | 2034-09-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 796183 FN 11/34 FIXED 5                           | CUSIP: 31405QRC4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2396 | PA      | $2420.73       | 0.00%             | 2034-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RATE MORTGAGES TRUST                                            | MASTR ADJUSTABLE RATE MORTGAGE MARM 2002 3 4A1              | CUSIP: 576433BM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       64859 | PA      | $65922.64      | 0.00%             | 2032-10-25      | Floating      | 6.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AO9716 FN 07/42 FIXED 4                           | CUSIP: 3138M1YN2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       23020 | PA      | $22382.01      | 0.00%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AH3614 FN 01/26 FIXED 3.5                         | CUSIP: 3138A5AQ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        6892 | PA      | $6863.45       | 0.00%             | 2026-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2023-5A                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2023 5A D 144A          | CUSIP: 21056EAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     3745325 | PA      | $3904107.78    | 0.01%             | 2053-11-25      | Fixed         | 9.10%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA4130 G2 12/46 FIXED 5                        | CUSIP: 36179SST5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2862 | PA      | $2925.30       | 0.00%             | 2046-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 806506 FN 10/44 FLOATING VAR                      | CUSIP: 31406DAF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1089723 | PA      | $1103211.28    | 0.00%             | 2044-10-01      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.93000 03/24/25-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-1526158.94   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G07203 FG 06/41 FIXED 4.5                 | CUSIP: 3128M9KQ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        9244 | PA      | $9294.22       | 0.00%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                                 | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 06/33 6.4               | CUSIP: 694308KM8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    15500000 | PA      | $16668871.90   | 0.04%             | 2033-06-15      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LIMITED                                                  | AVOLON HOLDINGS FNDG LTD COMPANY GUAR 144A 10/32 4.95       | CUSIP: 05401ABC4<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    14100000 | PA      | $13934837.82   | 0.03%             | 2032-10-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC2838 FN 09/46 FIXED 4                           | CUSIP: 3140EXEL3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      185281 | PA      | $178235.23     | 0.00%             | 2046-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2005-1                               | BEAR STEARNS ADJUSTABLE RATE M BSARM 2005 1 2A1             | CUSIP: 07387AAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      640866 | PA      | $589730.63     | 0.00%             | 2035-03-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL FUNDING MTG SEC I 2006-SA1                                           | RESIDENTIAL FUNDING MTG SEC I RFMSI 2006 SA1 1A1            | CUSIP: 76111XG72<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      721118 | PA      | $687808.68     | 0.00%             | 2036-02-25      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| MEXICO GOVT                                                                      | UNITED MEXICAN STATES SR UNSECURED 09/29 3.5                | CUSIP: ACI30CGM7<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     6100000 | PA      | $7204177.98    | 0.02%             | 2029-09-19      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 882576 FN 07/36 FIXED 6                           | CUSIP: 31409YQ59<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       33269 | PA      | $34600.05      | 0.00%             | 2036-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DB2217 FN 05/54 FIXED 5.5                         | CUSIP: 3140ABPB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      488931 | PA      | $493939.86     | 0.00%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-182                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 182 FW              | CUSIP: 38380UAY9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      452070 | PA      | $436041.03     | 0.00%             | 2047-05-20      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 259006 FN 03/30 FIXED 8                           | CUSIP: 31371QU71<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5840 | PA      | $5876.06       | 0.00%             | 2030-03-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II TBA 30 YR 5 JUMBOS                                  | CUSIP: 21H0506A5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    89000000 | PA      | $88541966.84   | 0.20%             | 2054-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 257595 FN 03/29 FIXED 5                           | CUSIP: 31371PC81<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4200 | PA      | $4228.78       | 0.00%             | 2029-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 961099 FN 04/28 FIXED 5                           | CUSIP: 31414BGG9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       11441 | PA      | $11503.91      | 0.00%             | 2028-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                             | JPMORGAN CHASE + CO SR UNSECURED 07/28 VAR                  | CUSIP: 46647PDG8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     7660000 | PA      | $7762979.89    | 0.02%             | 2028-07-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                               | ENERGY TRANSFER LP SR UNSECURED 12/26 6.05                  | CUSIP: 29273VAR1<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     2400000 | PA      | $2445485.30    | 0.01%             | 2026-12-01      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080120 G2 10/27 FLOATING VAR                   | CUSIP: 36225CD29<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         394 | PA      | $395.45        | 0.00%             | 2027-10-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BK1475 FN 05/48 FIXED 4                           | CUSIP: 3140HET93<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      539882 | PA      | $519350.94     | 0.00%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 946606 FN 09/37 FLOATING VAR                      | CUSIP: 31413JDK7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4412 | PA      | $4521.79       | 0.00%             | 2037-09-01      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| GSR MTGE LOAN TRUST 2004-7                                                       | GSR MORTGAGE LOAN TRUST GSR 2004 7 1A1                      | CUSIP: 36228F4P8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       80823 | PA      | $79306.04      | 0.00%             | 2034-06-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-2467111.00   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.97500 03/21/25-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-1070837.94   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2004-15                                            | COUNTRYWIDE ASSET BACKED CERTI CWL 2004 15 MV5              | CUSIP: 126673UR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      466699 | PA      | $460659.15     | 0.00%             | 2035-04-25      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2006-15                                                               | FANNIE MAE FNR 2006 15 FC                                   | CUSIP: 31395BVE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      219914 | PA      | $216851.17     | 0.00%             | 2036-03-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2010-109                                                       | FANNIE MAE FNR 2010 109 N                                   | CUSIP: 31398NRZ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3864894 | PA      | $3712206.04    | 0.01%             | 2040-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB9435 FN 05/43 FIXED 3                           | CUSIP: 31417GPV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4893 | PA      | $4500.49       | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AV9349 FN 03/29 FIXED 3.5                         | CUSIP: 3138XML73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      352525 | PA      | $348259.50     | 0.00%             | 2029-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CNH BOUGHT USD 20251016                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $13199.27      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 866888 FN 01/36 FLOATING VAR                      | CUSIP: 31409CCZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4401 | PA      | $4475.06       | 0.00%             | 2036-01-01      | Floating      | 6.47%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 846399 FN 05/29 FIXED 8                           | CUSIP: 31408BKL1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       84234 | PA      | $86167.73      | 0.00%             | 2029-05-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 878337 FN 12/36 FIXED 6                           | CUSIP: 31409TZA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       20184 | PA      | $20615.65      | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL CS4179 G2 07/47 FIXED 3                        | CUSIP: 3618AWUC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2268947 | PA      | $2024714.31    | 0.00%             | 2047-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 31750R594 PIMCO FXVAN PUT EUR USD 1.09750000                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    12238500 | NC      | $245229.22     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2018-RP2                                           | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2018 RP2 SA 144A        | CUSIP: 17326UAP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       30542 | PA      | $10058.31      | 0.00%             | 2058-02-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 897545 FN 05/37 FIXED 6                           | CUSIP: 31410UES7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1791 | PA      | $1845.74       | 0.00%             | 2037-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2005-10                                            | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 10 1A2A            | CUSIP: 17307GT57<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      791508 | PA      | $486422.04     | 0.00%             | 2035-12-25      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 783357 FN 03/37 FIXED 6                           | CUSIP: 31405AJA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2063 | PA      | $2133.90       | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080384 G2 03/30 FLOATING VAR                   | CUSIP: 36225CNA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       47110 | PA      | $47336.71      | 0.00%             | 2030-03-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20251121                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $-235246.97    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOUTH AFRICA EM SP CBK                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $400076.36     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HARVARD UNIVERSITY                                                               | PRES + FELLOWS OF HARVAR UNSECURED 10/50 2.517              | CUSIP: 740816AP8<br>LEI: 6S3X7J22E861RNTJSA74 | Long             | DBT              | CORP              | US        |      550000 | PA      | $339788.32     | 0.00%             | 2050-10-15      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2018-RP2                                           | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2018 RP2 AIOS 144A      | CUSIP: 17326UAM6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    15281860 | PA      | $80348.20      | 0.00%             | 2058-02-25      | Variable      | 0.11%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 003011 G2 12/30 FIXED 7.5                      | CUSIP: 36202DKY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          29 | PA      | $30.44         | 0.00%             | 2030-12-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY0178 FN 05/53 FIXED 5                           | CUSIP: 3140NGFU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2427145 | PA      | $2434527.57    | 0.01%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3012                                                                 | FREDDIE MAC FHR 3012 EF                                     | CUSIP: 31395WUV7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       67589 | PA      | $66972.25      | 0.00%             | 2035-08-15      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY8484 FN 08/53 FIXED 5                           | CUSIP: 3140NRNA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      289278 | PA      | $287929.70     | 0.00%             | 2053-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 394759 GN 07/30 FIXED 8.5                         | CUSIP: 36205MQL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         662 | PA      | $664.01        | 0.00%             | 2030-07-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY DEAN WITTER 2002-NC4                                              | MORGAN STANLEY DEAN WITTER CAP MSDWC 2002 NC4 M1            | CUSIP: 61746WVS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      181402 | PA      | $180929.29     | 0.00%             | 2032-09-25      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AJ9282 FN 12/26 FIXED 3.5                         | CUSIP: 3138E2J48<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      124733 | PA      | $124013.92     | 0.00%             | 2026-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                     | BARCLAYS PLC SR UNSECURED 11/32 VAR                         | CUSIP: 06738EBV6<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |     2209000 | PA      | $1991366.65    | 0.00%             | 2032-11-24      | Floating      | 2.89%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AU1974 FN 07/43 FIXED 3                           | CUSIP: 3138X1FQ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3522 | PA      | $3224.26       | 0.00%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AA4742 FN 10/25 FIXED 3.5                         | CUSIP: 31416NHU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1614 | PA      | $1608.79       | 0.00%             | 2025-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 002471 G2 08/27 FIXED 7                        | CUSIP: 36202CW82<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2500 | PA      | $2564.28       | 0.00%             | 2027-08-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 948843 FN 08/37 FIXED 6                           | CUSIP: 31413LS83<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3505 | PA      | $3695.06       | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RBSSP RESECURITIZATION TRUST 2011-4                                              | RBSSP RESECURITIZATION TRUST RBSSP 2011 4 5A1 144A          | CUSIP: 74930PAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     9300500 | PA      | $8259593.62    | 0.02%             | 2037-09-27      | Floating      | 3.34%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DA3518 FN 10/53 FIXED 5.5                         | CUSIP: 3140A34C4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      133478 | PA      | $135432.56     | 0.00%             | 2053-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NBA (HARDWOOD FUNDING LLC)                                                       | HARDWOOD FUNDING LLC CORP0HRF2                              | CUSIP: 955NUGII9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    13900000 | PA      | $14314882.75   | 0.03%             | 2032-06-07      | Fixed         | 5.16%                 | Yes           |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB7015 FN 09/53 FIXED 5.5                         | CUSIP: 3140QSYM7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    35651436 | PA      | $36104721.61   | 0.08%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT KWD SOLD USD 20260504                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-97.95        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AI0892 FN 04/26 FIXED 3.5                         | CUSIP: 3138AD7E9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3438 | PA      | $3423.02       | 0.00%             | 2026-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CONVENTION CTR AUTH RI REV                                                       | RHODE ISLAND ST CONVENTION CTR RISFAC 05/35 FIXED 6.06      | CUSIP: 212474GG9<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      165000 | PA      | $179351.21     | 0.00%             | 2035-05-15      | Fixed         | 6.06%                 | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC. 2003-C                                              | MLCC MORTGAGE INVESTORS INC MLCC 2003 C A1                  | CUSIP: 589929S41<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       76747 | PA      | $71530.93      | 0.00%             | 2028-06-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| ALEXANDRIA REAL ESTATE EQUITIES INC                                              | ALEXANDRIA REAL ESTATE E COMPANY GUAR 01/28 3.95            | CUSIP: 015271AK5<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              | CORP              | US        |      600000 | PA      | $596700.51     | 0.00%             | 2028-01-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2005-3                                             | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 3 MF1               | CUSIP: 126673ZV7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    16720178 | PA      | $16290066.09   | 0.04%             | 2035-08-25      | Variable      | 5.58%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MTGE INV TRUST 2005-A4                                             | MERRILL LYNCH MORTGAGE INVESTO MLMI 2005 A4 2A2             | CUSIP: 59020UXK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       84190 | PA      | $75857.56      | 0.00%             | 2035-07-25      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ9234 FN 06/48 FIXED 4                           | CUSIP: 3140HBHL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      576338 | PA      | $553253.03     | 0.00%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ANTARES HOLDINGS LP                                                              | ANTARES HOLDINGS SR UNSECURED 144A 07/26 3.95               | CUSIP: 03666HAC5<br>LEI: 5493008EAIGV4283RM42 | Long             | DBT              | CORP              | US        |     6200000 | PA      | $6163657.15    | 0.01%             | 2026-07-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| AMERICAN ASSETS TRUST LP                                                         | AMERICAN ASSETS TRUST LP COMPANY GUAR 02/31 3.375           | CUSIP: 02401LAA2<br>LEI: 549300V1TI0SMG9Z6U69 | Long             | DBT              | CORP              | US        |    28500000 | PA      | $25899161.54   | 0.06%             | 2031-02-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK NA                                                           | MORGAN STANLEY BANK NA SR UNSECURED 01/28 VAR               | CUSIP: 61690U7Z7<br>LEI: G1MLHIS0N32I3QPILB75 | Long             | DBT              | CORP              | US        |    11800000 | PA      | $11863084.92   | 0.03%             | 2028-01-14      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MB0482 G2 07/55 FIXED 4                        | CUSIP: 3618N5RC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     6223435 | PA      | $5855570.86    | 0.01%             | 2055-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AK9469 FN 03/27 FIXED 3.5                         | CUSIP: 3138EEQX0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1268 | PA      | $1256.93       | 0.00%             | 2027-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20251119                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-58979.37     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2023-3A                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2023 3A R 144A          | CUSIP: 210928AL1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    14781196 | PA      | $6851328.30    | 0.02%             | 2053-11-25      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2070 FN 10/29 FIXED 3.5                         | CUSIP: 31418BJQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       35270 | PA      | $34918.30      | 0.00%             | 2029-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SMALL BUSINESS ADMINISTRATION PARTICIPATION CERTIFICATES 2006-20G                | SMALL BUSINESS ADMINISTRATION SBAP 2006 20G 1               | CUSIP: 83162CQK2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |        5360 | PA      | $5365.85       | 0.00%             | 2026-07-01      | Fixed         | 6.07%                 | No            |                  2 | On Loan: No      |
| THAMES WATER UTILITIES FINANCE PLC                                               | THAMES WATER UTIL FIN SR SECURED REGS 04/29 4               | CUSIP: ACI2C9P27<br>LEI: 213800ESMPQ4RQ7G8351 | Long             | DBT              | CORP              | GB        |     1900000 | PA      | $1576736.15    | 0.00%             | 2029-04-18      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| IMPAC CMB TR 2004-4                                                              | IMPAC CMB TRUST IMM 2004 4 2A2                              | CUSIP: 45254NJF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       72404 | PA      | $81856.51      | 0.00%             | 2034-09-25      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II TBA 30 YR 4.5 JUMBOS                                | CUSIP: 21H0426A2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    60100000 | PA      | $58291841.62   | 0.13%             | 2055-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT JPY SOLD USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $-3445.56      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| OBX 2023-NQM8 TRUST                                                              | ONSLOW BAY FINANCIAL LLC OBX 2023 NQM8 A1 144A              | CUSIP: 67118CAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6228126 | PA      | $6323624.12    | 0.01%             | 2063-09-25      | Fixed         | 7.04%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AP8746 FN 10/42 FIXED 3                           | CUSIP: 3138MCWG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       88251 | PA      | $81204.77      | 0.00%             | 2042-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 357628 FN 10/34 FIXED 5.5                         | CUSIP: 31376KHD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       20004 | PA      | $20774.99      | 0.00%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FS6809 FN 02/54 FIXED VAR                         | CUSIP: 3140XNR71<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    18571587 | PA      | $18799108.55   | 0.04%             | 2054-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| HOMEBANC MORTGAGE TRUST 2004-1                                                   | HOMEBANC MORTGAGE TRUST HMBT 2004 1 2A                      | CUSIP: 43739EAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      190049 | PA      | $186650.83     | 0.00%             | 2029-08-25      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM1107 FN 06/49 FIXED VAR                         | CUSIP: 3140X4GR1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    11315312 | PA      | $10882225.50   | 0.02%             | 2049-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GOVT                                                              | UNITED KINGDOM GILT BONDS REGS 07/54 4.375                  | CUSIP: ACI2MLPN3<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |   178073000 | PA      | $200508449.72  | 0.44%             | 2054-07-31      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THRU SEC T-54                                              | FHLMC STRUCTURED PASS THROUGH FSPC T 54 2A                  | CUSIP: 31393LFK4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1259963 | PA      | $1270344.19    | 0.00%             | 2043-02-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SB8042 FR 04/35 FIXED 3.5                 | CUSIP: 3132D55B4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4040312 | PA      | $3936758.57    | 0.01%             | 2035-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA5652 G2 12/48 FIXED 4.5                      | CUSIP: 36179UH54<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     7397109 | PA      | $7307978.40    | 0.02%             | 2048-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL AM4306 GN 04/45 FIXED 3.5                         | CUSIP: 36184QYB4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       55431 | PA      | $51846.63      | 0.00%             | 2045-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CDX ITRAXX XOV42 5Y 35-100% SP JPM                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |           1 | NC      | $21504901.21   | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 05/49 2.875                                 | CUSIP: 912810SH2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   361383700 | PA      | $263725399.89  | 0.58%             | 2049-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM3343 FN 02/30 FIXED VAR                         | CUSIP: 3140X6WD9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3820095 | PA      | $3754871.55    | 0.01%             | 2030-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AZ6991 FN 09/45 FIXED 4                           | CUSIP: 3138YYXV0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        6356 | PA      | $6066.93       | 0.00%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 841035 FN 11/35 FLOATING VAR                      | CUSIP: 31407ULQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      465751 | PA      | $479901.33     | 0.00%             | 2035-11-01      | Floating      | 6.18%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ZAR BOUGHT USD 20251120                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $-31037.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 923105 FN 03/37 FIXED 6                           | CUSIP: 31412ER24<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         271 | PA      | $280.15        | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL CQ6597 G2 05/47 FIXED 3                        | CUSIP: 3618A9KJ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1423880 | PA      | $1270003.62    | 0.00%             | 2047-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 405212 FN 06/28 FIXED 6.5                         | CUSIP: 31378QDR9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         105 | PA      | $105.31        | 0.00%             | 2028-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MASTR ADJ RATE MTGE TRUST 2007-HF1                                               | MASTR ADJUSTABLE RATE MORTGAGE MARM 2007 HF1 A1             | CUSIP: 57645RAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      590810 | PA      | $231350.06     | 0.00%             | 2037-05-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3340 FN 04/33 FIXED 3.5                         | CUSIP: 31418CWA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      343521 | PA      | $339060.47     | 0.00%             | 2033-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2879 FN 01/47 FIXED 4                           | CUSIP: 31418CFV1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       23539 | PA      | $22644.00      | 0.00%             | 2047-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2006-S1                                                              | GSAMP TRUST GSAMP 2006 S1 A2A                               | CUSIP: 3623413A5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      349975 | PA      | $26090.21      | 0.00%             | 2035-11-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 942912 FN 08/37 FIXED 6                           | CUSIP: 31413EAM7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       51329 | PA      | $52919.37      | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 838578 FN 10/35 FIXED 5.5                         | CUSIP: 31407RUB8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       12855 | PA      | $13156.86      | 0.00%             | 2035-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-76                                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 76 1A1            | CUSIP: 12668BDC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       16166 | PA      | $15420.60      | 0.00%             | 2036-01-25      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| THAMES WATER SUPER SENIOR ISSUER PLC                                             | THAMES WATER SUPER SEN SR SECURED 144A 10/27 9.75           | CUSIP: ACI2VXTH6<br>LEI: 635400LBEYCV7F4FC741 | Long             | DBT              | CORP              | GB        |     1872679 | PA      | $2812805.54    | 0.01%             | 2027-10-10      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                                         | AT+T INC SR UNSECURED 08/30 4.7                             | CUSIP: 00206RMX7<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    14200000 | PA      | $14446746.30   | 0.03%             | 2030-08-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY3520 FN 06/53 FIXED 5.5                         | CUSIP: 3140NK4E8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      592284 | PA      | $599078.00     | 0.00%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3556                                                                 | FREDDIE MAC FHR 3556 FA                                     | CUSIP: 31398EK29<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       92340 | PA      | $93151.71      | 0.00%             | 2037-07-15      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QG7959 FR 07/53 FIXED 4.5                 | CUSIP: 3133C8ZY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1007838 | PA      | $979002.59     | 0.00%             | 2053-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ZAR BOUGHT USD 20251120                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $-112296.13    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FS1073 FN 03/52 FIXED VAR                         | CUSIP: 3140XGFP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    26032551 | PA      | $22917073.85   | 0.05%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE TRUST 2005-A7                                                     | JP MORGAN MORTGAGE TRUST JPMMT 2005 A7 2A5                  | CUSIP: 466247WS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3198560 | PA      | $3010889.51    | 0.01%             | 2035-10-25      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS6861 FR 01/29 FIXED 3.5                 | CUSIP: 3132A7TS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      106946 | PA      | $106176.14     | 0.00%             | 2029-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLINES 2019-1 CLASS AA PASS THROUGH TRUST                               | UNITED AIR 2019 1 AA PTT PASS THRU CE 02/33 4.15            | CUSIP: 90931CAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     8945874 | PA      | $8749075.92    | 0.02%             | 2033-02-25      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL A27671 FG 10/34 FIXED 6.5                 | CUSIP: 31297FQY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        8925 | PA      | $9225.57       | 0.00%             | 2034-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 843863 FN 11/35 FIXED 6                           | CUSIP: 31407XQQ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       20875 | PA      | $21848.57      | 0.00%             | 2035-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GSMPS MORTGAGE LOAN TRUST 2003-3                                                 | GSMPS MORTGAGE LOAN TRUST GSMPS 2003 3 A2 144A              | CUSIP: 36290PAT4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1595806 | PA      | $1458547.21    | 0.00%             | 2043-06-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BA7220 FN 01/46 FIXED 4                           | CUSIP: 3140ECAW9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        9639 | PA      | $9246.93       | 0.00%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT SEK SOLD USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |           1 | NC      | $59050.01      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 002603 G2 06/28 FIXED 6.5                      | CUSIP: 36202C3L5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3044 | PA      | $3126.46       | 0.00%             | 2028-06-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MTGE LOAN TRUST 2006-7                                                | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 7 2A1A            | CUSIP: 41161VAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1232340 | PA      | $1086989.63    | 0.00%             | 2046-09-19      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG/NEW YORK BRANCH                                                 | DEUTSCHE BANK NY 05/32 VAR                                  | CUSIP: 251526CK3<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |      400000 | PA      | $365521.37     | 0.00%             | 2032-05-28      | Floating      | 3.04%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                              | BOEING CO/THE SNR S* ICE                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $359628.43     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TSY INFL IX N/B 02/43 0.625                                 | CUSIP: 912810RA8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      843018 | PA      | $640924.28     | 0.00%             | 2043-02-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 31750R9L3 PIMCO FXVAN CALL USD SEK 10.12500000              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    20220000 | NC      | $161.76        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RA9799 FR 09/53 FIXED 6                   | CUSIP: 3133KR3G7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      117211 | PA      | $120330.39     | 0.00%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BONANZA RE LTD                                                                   | BONANZA RE LTD UNSECURED 144A 01/26 VAR                     | CUSIP: 09785EAN1<br>LEI: 5493003F0CXUQ2C83105 | Long             | DBT              | CORP              | BM        |      300000 | PA      | $292200.00     | 0.00%             | 2026-01-08      | Floating      | 3.97%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2004-12                                                               | FANNIE MAE FNR 2004 12 ZX                                   | CUSIP: 31393XBU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      562435 | PA      | $591008.31     | 0.00%             | 2034-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                                         | LLOYDS BANKING GROUP PLC SR UNSECURED 08/27 VAR             | CUSIP: 539439AY5<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |     1100000 | PA      | $1115896.30    | 0.00%             | 2027-08-07      | Floating      | 5.99%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS5775 FN 09/45 FIXED 4                           | CUSIP: 3138WFMZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      791780 | PA      | $762410.75     | 0.00%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FS0744 FN 02/52 FIXED VAR                         | CUSIP: 3140XFZJ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    14340035 | PA      | $12626933.29   | 0.03%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 908808 FN 03/37 FIXED 6                           | CUSIP: 31411HU99<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       10039 | PA      | $10325.92      | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINANCIAL GROUP INC                                              | SUMITOMO MITSUI FINL GRP SR UNSECURED 07/26 5.88            | CUSIP: 86562MDA5<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |     2300000 | PA      | $2333002.88    | 0.01%             | 2026-07-13      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 994897 FN 09/33 FIXED 5.5                         | CUSIP: 31416BGE2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       29628 | PA      | $30382.57      | 0.00%             | 2033-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR6                                                 | GSR MORTGAGE LOAN TRUST GSR 2005 AR6 4A5                    | CUSIP: 362341SF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        6978 | PA      | $6371.53       | 0.00%             | 2035-09-25      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2002 57                                                               | FANNIE MAE FNR 2002 57 ZF                                   | CUSIP: 31392D4P4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      708979 | PA      | $735333.39     | 0.00%             | 2032-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MTGE LN TR 2007-7AX                                               | MORGAN STANLEY MORTGAGE LOAN T MSM 2007 7AX 2A3             | CUSIP: 61754HAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2179793 | PA      | $572662.89     | 0.00%             | 2037-04-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| PANTHEON SENIOR DEBT SECONDARIES III                                             | PANTHEON SNR DBT SCNDRS IIIUSD TERM LOAN                    | CUSIP: BA000HYC6<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    15300000 | PA      | $15301822.23   | 0.03%             | 2026-03-26      | Floating      | 6.38%                 | Yes           |                  3 | On Loan: No      |
| N/A                                                                              | CDX IG41 5Y ICE                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $8584.16       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC4501 FN 03/46 FIXED 4                           | CUSIP: 3140F0AB0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2016116 | PA      | $1933485.07    | 0.00%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR4                                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR4 A5             | CUSIP: 92922FG77<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      934399 | PA      | $907467.95     | 0.00%             | 2035-04-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| BARROW FUNDING PLC 1A                                                            | BARROW FUNDING PLC BARRO 1A Z 144A                          | CUSIP: ACI2P7X44<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    11905000 | PA      | $12424854.06   | 0.03%             | 2062-11-16      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AV8780 FN 02/44 FIXED 5                           | CUSIP: 3138XLXJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      542052 | PA      | $546601.30     | 0.00%             | 2044-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2005-D                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2005 D A1               | CUSIP: 06051GDM8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        8291 | PA      | $7771.75       | 0.00%             | 2035-05-25      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2005-12                              | BEAR STEARNS ADJUSTABLE RATE M BSARM 2005 12 13A1           | CUSIP: 07387AFZ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       30001 | PA      | $26541.82      | 0.00%             | 2036-02-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 895005 FN 10/36 FIXED 6                           | CUSIP: 31410RKS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       46053 | PA      | $47050.73      | 0.00%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD3932 FN 08/46 FIXED 4                           | CUSIP: 3140FBLN8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1540797 | PA      | $1479925.87    | 0.00%             | 2046-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2023-4A                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2023 4A A2 144A         | CUSIP: 21056DAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    16460000 | PA      | $17094297.62   | 0.04%             | 2053-11-25      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA0268 FN 12/29 FIXED 5                           | CUSIP: 31417YJN8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       25019 | PA      | $25358.87      | 0.00%             | 2029-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QH4289 FR 11/53 FIXED 5.5                 | CUSIP: 3133CGXS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       80977 | PA      | $81818.94      | 0.00%             | 2053-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA8487 G2 12/52 FIXED 3.5                      | CUSIP: 36179XNC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    25986280 | PA      | $23756021.05   | 0.05%             | 2052-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TR 2002-5                                               | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2002 5 M1              | CUSIP: 68389FCT9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      888051 | PA      | $1046428.18    | 0.00%             | 2032-10-25      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2084                                                                 | FREDDIE MAC FHR 2084 ZC                                     | CUSIP: 3133TG5U9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       74803 | PA      | $76259.23      | 0.00%             | 2028-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| QUEST DIAGNOSTICS INC.                                                           | QUEST DIAGNOSTICS INC SR UNSECURED 12/27 4.6                | CUSIP: 74834LBE9<br>LEI: 8MCWUBXQ0WE04KMXBX50 | Long             | DBT              | CORP              | US        |     1700000 | PA      | $1721461.46    | 0.00%             | 2027-12-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL BB7223 GN 08/47 FIXED 5                           | CUSIP: 3617AYAY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      147600 | PA      | $147542.59     | 0.00%             | 2047-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC 2005-3                                               | MLCC MORTGAGE INVESTORS INC MLCC 2005 3 5A                  | CUSIP: 59020UL78<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        3470 | PA      | $3336.46       | 0.00%             | 2035-11-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOME MORTGAGE INVT TR 2006-1                                            | AMERICAN HOME MORTGAGE INVESTM AHM 2006 1 2A3               | CUSIP: 02660TJG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1194145 | PA      | $409191.74     | 0.00%             | 2035-12-25      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM2264 FN 01/35 FIXED VAR                         | CUSIP: 3140X5QS5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      265189 | PA      | $258883.36     | 0.00%             | 2035-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FS1381 FN 03/52 FIXED VAR                         | CUSIP: 3140XGRB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    31590274 | PA      | $27809792.34   | 0.06%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-5                                                  | BEAR STEARNS ALT A TRUST BALTA 2005 5 25A1                  | CUSIP: 07386HUM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4109070 | PA      | $2752904.54    | 0.01%             | 2035-07-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BO1869 FN 12/48 FIXED 3.5                         | CUSIP: 3140JWCF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5610 | PA      | $5349.27       | 0.00%             | 2048-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA4028 FN 05/35 FIXED 3.5                         | CUSIP: 31418DPN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      326305 | PA      | $317941.37     | 0.00%             | 2035-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 910589 FN 01/37 FIXED 6                           | CUSIP: 31411KUN1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2093 | PA      | $2165.79       | 0.00%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20251119                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $109057.20     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | TRS SOFRINDX/IBXXLLTR 12/22/25 MYC                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $-1577.26      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 754784 FN 04/34 FIXED 6                           | CUSIP: 31403QRD4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        6379 | PA      | $6537.01       | 0.00%             | 2034-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVST LN TR 2005-4                                              | STRUCTURED ASSET INVESTMENT LO SAIL 2005 4 M4               | CUSIP: 86358ESN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2942951 | PA      | $2903816.87    | 0.01%             | 2035-05-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AE7597 FN 11/25 FIXED 3.5                         | CUSIP: 31419JNP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3424 | PA      | $3413.04       | 0.00%             | 2025-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 781289 GN 04/31 FIXED 8.5                         | CUSIP: 36225BNE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2059 | PA      | $2193.96       | 0.00%             | 2031-04-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                        | REPUBLIC OF PERU BONDS 144A 08/40 5.35                      | CUSIP: 715638DB5<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     6400000 | PA      | $1636123.90    | 0.00%             | 2040-08-12      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TWD SOLD USD 20251020                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $-51108.52     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL C91349 FG 12/30 FIXED 4.5                 | CUSIP: 3128P7QA4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        6192 | PA      | $6231.74       | 0.00%             | 2030-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT EUR SOLD USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $69457.96      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080123 G2 10/27 FLOATING VAR                   | CUSIP: 36225CD52<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         113 | PA      | $113.01        | 0.00%             | 2027-10-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD INR BOUGHT USD 20251020                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $34821.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 889117 FN 10/35 FIXED VAR                         | CUSIP: 31410GYN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4236 | PA      | $4295.98       | 0.00%             | 2035-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.7317* 03/01/24-7Y* LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-674673.12    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G02554 FG 11/34 FIXED 6.5                 | CUSIP: 3128M4E33<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1040 | PA      | $1074.04       | 0.00%             | 2034-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AJ1992 FN 10/26 FIXED 3                           | CUSIP: 3138ATGA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2186 | PA      | $2165.71       | 0.00%             | 2026-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-OA4                                                  | COUNTRYWIDE HOME LOANS CWHL 2006 OA4 A1                     | CUSIP: 126694E95<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5312514 | PA      | $1461313.36    | 0.00%             | 2046-04-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO                                                                      | SOUTHERN CO SR UNSECURED 03/28 1.75                         | CUSIP: 842587DH7<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |     7190000 | PA      | $6789650.16    | 0.01%             | 2028-03-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                                                             | GLENCORE FUNDING LLC COMPANY GUAR 144A 10/27 3.875          | CUSIP: 378272AQ1<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |     1417000 | PA      | $1407007.78    | 0.00%             | 2027-10-27      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 888021 FN 12/36 FIXED VAR                         | CUSIP: 31410FSJ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1544 | PA      | $1627.52       | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LOGICOR FINANCING SARL                                                           | LOGICOR FINANCING SARL COMPANY GUAR REGS 07/27 1.625        | CUSIP: ACI1D58V1<br>LEI: 254900IS16Q1A2TQFN22 | Long             | DBT              | CORP              | LU        |     7200000 | PA      | $8287591.02    | 0.02%             | 2027-07-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20251027                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $37097.06      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | PEMEX LCDS SP DUB                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $100755.83     | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| BEAR STEARNS ASSETBACKED SEC 2001-3                                              | BEAR STEARNS ASSET BACKED SECU BSABS 2001 3 A2              | CUSIP: 07384YBM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       48864 | PA      | $48817.22      | 0.00%             | 2032-10-27      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT SEK SOLD USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |           1 | NC      | $7835.95       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ADANI TRANSMISSION STEP ONE LIMITED                                              | ADANI TRANS STEP ONE LTD SR SECURED REGS 08/26 4            | CUSIP: ACI0NYD68<br>LEI: 335800Z8CGS7O7D72N41 | Long             | DBT              | CORP              | IN        |     3704000 | PA      | $3672181.60    | 0.01%             | 2026-08-03      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 829708 FN 06/35 FLOATING VAR                      | CUSIP: 31407FYD6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3336 | PA      | $3425.00       | 0.00%             | 2035-06-01      | Floating      | 6.41%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 682229 GN 07/49 FIXED 4                           | CUSIP: 36295V4N6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2678896 | PA      | $2542722.16    | 0.01%             | 2049-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20251104                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-5423.29      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 256713 FN 05/27 FIXED 5                           | CUSIP: 31371NDS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        8923 | PA      | $8934.76       | 0.00%             | 2027-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTGAGE TRUST 2006-1                                            | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2006 1 2A1              | CUSIP: 225470A94<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      109815 | PA      | $53586.44      | 0.00%             | 2036-03-25      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5039 FN 06/53 FIXED 5.5                         | CUSIP: 31418ES50<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    61258949 | PA      | $62021729.37   | 0.14%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| KRATON CORP (AKA: KRATON PERFORMANCE POLYMERS INC)                               | KRATON CORP KRATON CORP                                     | CUSIP: 50077CAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1200000 | PA      | $1219120.09    | 0.00%             | 2027-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| PINNACLE WEST CAPITAL CORPORATION                                                | PINNACLE WEST CAPITAL SR UNSECURED 06/26 VAR                | CUSIP: 723484AL5<br>LEI: TWSEY0NEDUDCKS27AH81 | Long             | DBT              | CORP              | US        |    46200000 | PA      | $46345605.77   | 0.10%             | 2026-06-10      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOAN, INC. 2007-QS4                                         | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QS4 2A1            | CUSIP: 74923HAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      959739 | PA      | $178173.59     | 0.00%             | 2037-03-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BW3560 FN 06/52 FIXED 3                           | CUSIP: 3140MU5W6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5770129 | PA      | $5092210.56    | 0.01%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT SEK SOLD USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |           1 | NC      | $361.48        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS7056 FR 12/29 FIXED 3.5                 | CUSIP: 3132A7ZV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       96201 | PA      | $95465.28      | 0.00%             | 2029-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 602153 FN 09/31 FIXED 6                           | CUSIP: 31388D5N4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4921 | PA      | $5030.19       | 0.00%             | 2031-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL8511 FN 05/31 FIXED VAR                         | CUSIP: 3138ETN51<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      129515 | PA      | $128258.85     | 0.00%             | 2031-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AE3212 FN 11/25 FIXED 4                           | CUSIP: 31419DSA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          16 | PA      | $16.42         | 0.00%             | 2025-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2024-A                                        | CONSUMER LOAN FINANCE ISSUER T CLFT 2024 A A2 144A          | CUSIP: 21050QAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    27963000 | PA      | $28608651.69   | 0.06%             | 2054-11-25      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                     | UBS GROUP AG SR UNSECURED REGS 01/28 VAR                    | CUSIP: ACI1HYKW8<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     2000000 | PA      | $2293851.12    | 0.01%             | 2028-01-14      | Floating      | 0.65%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AD8269 FN 09/40 FIXED 4                           | CUSIP: 31418WFK1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       12219 | PA      | $11981.06      | 0.00%             | 2040-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST 2016-C1                                      | CITIGROUP COMMERCIAL MORTGAGE CGCMT 2016 C1 A4              | CUSIP: 17290YAR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    17500000 | PA      | $17368989.75   | 0.04%             | 2049-05-10      | Fixed         | 3.21%                 | No            |                  2 | On Loan: No      |
| KOREA DEVELOPMENT BANK                                                           | KOREA DEVELOPMENT BANK SR UNSECURED 01/26 3                 | CUSIP: 500630CJ5<br>LEI: 549300ML2LNRZUCS7149 | Long             | DBT              | CORP              | KR        |     2600000 | PA      | $2591799.96    | 0.01%             | 2026-01-13      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                     | BARCLAYS PLC SR UNSECURED 11/28 VAR                         | CUSIP: 06738ECD5<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    31700000 | PA      | $33625152.41   | 0.07%             | 2028-11-02      | Floating      | 7.38%                 | No            |                  2 | On Loan: No      |
| HILTON USA TRUST 2016-SFP                                                        | HILTON USA TRUST HILT 2016 SFP A 144A                       | CUSIP: 43289VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    34800000 | PA      | $29179469.40   | 0.06%             | 2035-11-05      | Fixed         | 2.83%                 | No            |                  2 | On Loan: No      |
| BENCHMARK MORTGAGE TRUST2022-B35                                                 | BENCHMARK MORTGAGE TRUST BMARK 2022 B35 A5                  | CUSIP: 08163RBQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    36500000 | PA      | $35785676.75   | 0.08%             | 2055-05-15      | Variable      | 4.59%                 | No            |                  2 | On Loan: No      |
| ROLLS-ROYCE PLC                                                                  | ROLLS ROYCE PLC COMPANY GUAR 144A 10/27 5.75                | CUSIP: 77578JAC2<br>LEI: X57JK1U580XATGR67572 | Long             | DBT              | CORP              | GB        |     5548000 | PA      | $5700651.94    | 0.01%             | 2027-10-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 888967 FN 12/37 FIXED VAR                         | CUSIP: 31410GTY9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2735 | PA      | $2883.39       | 0.00%             | 2037-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.68900 03/01/24-7Y* LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-1606765.03   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 830989 FN 08/35 FIXED 6                           | CUSIP: 31407HF68<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         685 | PA      | $718.96        | 0.00%             | 2035-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2003-AC7                              | BEAR STEARNS ASSET BACKED SECU BSABS 2003 AC7 A1            | CUSIP: 07384YPH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       13349 | PA      | $11141.54      | 0.00%             | 2034-01-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 735962 FN 10/35 FLOATING VAR                      | CUSIP: 31402RTT6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       37622 | PA      | $38133.69      | 0.00%             | 2035-10-01      | Floating      | 6.54%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 881960 FN 02/36 FLOATING VAR                      | CUSIP: 31409XZZ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       25903 | PA      | $26644.08      | 0.00%             | 2036-02-01      | Floating      | 6.97%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS7974 FR 09/32 FIXED 3.5                 | CUSIP: 3132A82F5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      147359 | PA      | $145407.76     | 0.00%             | 2032-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2001-55                                                               | FANNIE MAE FNR 2001 55 PC                                   | CUSIP: 313921DF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1468 | PA      | $1516.79       | 0.00%             | 2031-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| EPR PROPERTIES                                                                   | EPR PROPERTIES COMPANY GUAR 06/27 4.5                       | CUSIP: 26884UAD1<br>LEI: 549300YSSXFHMPOWZ492 | Long             | DBT              | CORP              | US        |     7800000 | PA      | $7807910.37    | 0.02%             | 2027-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-3185                                                                 | FREDDIE MAC FHR 3185 GT                                     | CUSIP: 31396UBX7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1940 | PA      | $1943.16       | 0.00%             | 2026-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL BH6692 G2 06/48 FIXED 4                        | CUSIP: 3617H4NH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4253430 | PA      | $4029629.07    | 0.01%             | 2048-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                                    | FORD MOTOR CREDIT CO LLC SR UNSECURED 11/27 7.35            | CUSIP: 345397C35<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     2445000 | PA      | $2550536.81    | 0.01%             | 2027-11-04      | Fixed         | 7.35%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 735961 FN 09/35 FLOATING VAR                      | CUSIP: 31402RTS8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        9496 | PA      | $9548.12       | 0.00%             | 2035-09-01      | Floating      | 6.10%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 892980 FN 09/36 FIXED 6                           | CUSIP: 31410PCR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       29862 | PA      | $30795.11      | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2001-22                                                               | FANNIE MAE FNR 2001 22 F                                    | CUSIP: 31359SVU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       48001 | PA      | $48096.80      | 0.00%             | 2031-04-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| ONTARIO TEACHERS CADILLAC FAIRVIEW PROPERTIES TRUST                              | CADILLAC FAIRVIEW PRP TR SR UNSECURED 144A 02/29 4.125      | CUSIP: 68327LAC0<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |     4700000 | PA      | $4669159.49    | 0.01%             | 2029-02-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2007-AR7                                           | INDYMAC INDX MORTGAGE LOAN TRU INDX 2007 AR7 1A1            | CUSIP: 45670CAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      687552 | PA      | $233789.94     | 0.00%             | 2037-06-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTGE LN 2005-22                                         | STRUCTURED ADJUSTABLE RATE MOR SARM 2005 22 5A1             | CUSIP: 863579G77<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      536314 | PA      | $306879.36     | 0.00%             | 2035-12-25      | Variable      | 4.69%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 008720 G2 10/25 FLOATING VAR                   | CUSIP: 36202KVM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         286 | PA      | $285.56        | 0.00%             | 2025-10-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 929839 FN 08/38 FIXED 6                           | CUSIP: 31412NBG0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       29238 | PA      | $30827.50      | 0.00%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2021-HP1                                     | GS MORTGAGE BACKED SECURITIES GSMBS 2021 HP1 A2 144A        | CUSIP: 36262RAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    53780957 | PA      | $44662019.66   | 0.10%             | 2052-01-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3682 FN 06/34 FIXED 3.5                         | CUSIP: 31418DCU4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      104032 | PA      | $102409.65     | 0.00%             | 2034-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-25                                                   | COUNTRYWIDE HOME LOANS CWHL 2005 25 A11                     | CUSIP: 126694HQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      213756 | PA      | $97926.35      | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 08/45 2.875                                 | CUSIP: 912810RN0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   321230000 | PA      | $244178718.57  | 0.54%             | 2045-08-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE SA                                                               | CREDIT AGRICOLE SA 144A 10/29 VAR                           | CUSIP: 22535WAJ6<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |    16750000 | PA      | $17663922.55   | 0.04%             | 2029-10-03      | Floating      | 6.32%                 | No            |                  2 | On Loan: No      |
| ABILENE DC 5 LLC/ABILENE DC 6 LLC                                                | PROJECT FLASH TERM LOAN                                     | CUSIP: BA000KZ79<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    31183577 | PA      | $31183577.48   | 0.07%             | 2030-04-30      | Floating      | 1.98%                 | No            |                  3 | On Loan: No      |
| N/A                                                                              | BOUGHT GBP SOLD USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $-2565.70      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-HE4                                            | MORGAN STANLEY CAPITAL INC MSAC 2006 HE4 A3                 | CUSIP: 61748BAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5461987 | PA      | $2739506.34    | 0.01%             | 2036-06-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AE8349 FN 08/37 FIXED 6                           | CUSIP: 31419KH32<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        9046 | PA      | $9239.68       | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 544535 GN 05/31 FIXED 7.5                         | CUSIP: 36212U4U2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         583 | PA      | $587.55        | 0.00%             | 2031-05-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL C69448 FG 07/32 FIXED 7.5                 | CUSIP: 31287VP95<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         117 | PA      | $117.19        | 0.00%             | 2032-07-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 008991 G2 10/26 FLOATING VAR                   | CUSIP: 36202K7C3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2252 | PA      | $2256.38       | 0.00%             | 2026-10-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AO6792 FN 06/42 FIXED 4                           | CUSIP: 3138LXRN1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       14096 | PA      | $13715.21      | 0.00%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| XYLEM INC                                                                        | XYLEM INC SR UNSECURED 11/26 3.25                           | CUSIP: 98419MAJ9<br>LEI: 549300DF5MV96DRYLQ48 | Long             | DBT              | CORP              | US        |     2400000 | PA      | $2375810.57    | 0.01%             | 2026-11-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR2                                                 | GSR MORTGAGE LOAN TRUST GSR 2005 AR2 3A1                    | CUSIP: 36242DH89<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      202713 | PA      | $205348.64     | 0.00%             | 2035-04-25      | Floating      | 6.90%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-21                                                   | COUNTRYWIDE HOME LOANS CWHL 2007 21 1A1                     | CUSIP: 17025WAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      793090 | PA      | $341909.76     | 0.00%             | 2038-02-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2022-B                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2022 B A1A 144A          | CUSIP: 83206NAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    26320941 | PA      | $25761439.17   | 0.06%             | 2055-02-16      | Fixed         | 3.94%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES 2016-2 CLASS A PASS THROUGH TRUST                              | AMERN AIRLINE 16 2 A PTT PASS THRU CE 12/29 3.65            | CUSIP: 023764AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     3203746 | PA      | $3091416.90    | 0.01%             | 2029-12-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| PROVINCE OF ONTARIO CANADA                                                       | ONTARIO (PROVINCE OF) SR UNSECURED 06/33 3.65               | CUSIP: 68333ZAY3<br>LEI: C7PVKCRGLG18EBQGZV36 | Long             | DBT              | NUSS              | CA        |      700000 | PA      | $512760.98     | 0.00%             | 2033-06-02      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL BN9288 GN 07/49 FIXED 4                           | CUSIP: 3617KDJ99<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       24416 | PA      | $23187.37      | 0.00%             | 2049-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DA4789 FN 09/53 FIXED 6                           | CUSIP: 3140A5KB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      180961 | PA      | $185494.68     | 0.00%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4066                                                          | FREDDIE MAC FHR 4066 SA                                     | CUSIP: 3137ARFG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      399489 | PA      | $34430.20      | 0.00%             | 2038-05-15      | Floating      | 1.88%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ4567 FN 01/48 FIXED 4                           | CUSIP: 3140H6CD9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       35052 | PA      | $33887.58      | 0.00%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 753994 FN 12/33 FIXED 6                           | CUSIP: 31403NUT2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1983 | PA      | $2033.05       | 0.00%             | 2033-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT PLN SOLD USD 20251015                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $130286.27     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB2300 FN 02/26 FIXED 3.5                         | CUSIP: 31416XRW2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         364 | PA      | $362.94        | 0.00%             | 2026-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD SGD BOUGHT USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $70196.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS4168 FN 12/44 FIXED 4                           | CUSIP: 3138WDT27<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      242324 | PA      | $233535.01     | 0.00%             | 2044-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080149 G2 01/28 FLOATING VAR                   | CUSIP: 36225CEX0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       35001 | PA      | $34914.61      | 0.00%             | 2028-01-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD MXN BOUGHT USD 20251217                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $-4435.83      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS8142 FN 10/46 FIXED 4                           | CUSIP: 3138WJBL1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      321835 | PA      | $309598.18     | 0.00%             | 2046-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA2545 FN 07/33 FIXED 3                           | CUSIP: 3140Q9ZK2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      170486 | PA      | $165543.39     | 0.00%             | 2033-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2024-B                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2024 B D                 | CUSIP: 78450CAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1194518 | PA      | $1253100.63    | 0.00%             | 2052-03-15      | Fixed         | 8.29%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                                         | LLOYDS BANKING GROUP PLC SR UNSECURED 11/28 VAR             | CUSIP: 53944YBC6<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |     1750000 | PA      | $1781384.59    | 0.00%             | 2028-11-26      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MSC MTG CTFS 2003-AR3                                          | WASHINGTON MUTUAL MSC MORTGAGE WAMMS 2003 AR3 2A2           | CUSIP: 939336G49<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      581664 | PA      | $510963.65     | 0.00%             | 2033-06-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FS4840 FN 05/53 FIXED VAR                         | CUSIP: 3140XLLW6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    21776601 | PA      | $22048436.12   | 0.05%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS7601 FN 07/46 FIXED 4                           | CUSIP: 3138WHNT5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       79654 | PA      | $76625.93      | 0.00%             | 2046-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA4044 FN 06/35 FIXED 3.5                         | CUSIP: 31418DP63<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      157347 | PA      | $153312.84     | 0.00%             | 2035-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA0171 FN 09/29 FIXED 4.5                         | CUSIP: 31417YFM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       11739 | PA      | $11770.53      | 0.00%             | 2029-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 840267 FN 11/35 FIXED 6                           | CUSIP: 31407TQU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         940 | PA      | $969.22        | 0.00%             | 2035-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2005-J14                                         | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 J14 A3            | CUSIP: 12668AQ24<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      773749 | PA      | $461908.30     | 0.00%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QG1074 FR 04/53 FIXED 5.5                 | CUSIP: 3133C1FP0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     6748323 | PA      | $6840025.88    | 0.02%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZK2801 FR 01/26 FIXED 3.5                 | CUSIP: 3131X6DE7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         924 | PA      | $920.77        | 0.00%             | 2026-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ2737 FN 04/48 FIXED 4                           | CUSIP: 3140H4BF0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       12000 | PA      | $11455.16      | 0.00%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 803597 FN 10/34 FLOATING VAR                      | CUSIP: 31405YX22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      124178 | PA      | $125461.67     | 0.00%             | 2034-10-01      | Floating      | 6.21%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE0950 FN 11/46 FIXED 3                           | CUSIP: 3140FLBU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      143232 | PA      | $129526.65     | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL C91239 FG 03/29 FIXED 4.5                 | CUSIP: 3128P7LU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       16726 | PA      | $16786.08      | 0.00%             | 2029-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BRAZIL GOVT                                                                      | LETRA TESOURO NACIONAL BILLS 04/26 0.00000                  | CUSIP: ACI2MFC91<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |  2838500000 | PA      | $498217850.62  | 1.10%             | 2026-04-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 532706 GN 07/30 FIXED 8.5                         | CUSIP: 36212FYB4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          11 | PA      | $11.82         | 0.00%             | 2030-07-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 930112 FN 11/38 FIXED 5.5                         | CUSIP: 31412NKZ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        7777 | PA      | $8036.99       | 0.00%             | 2038-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ3439 FN 02/33 FIXED 3                           | CUSIP: 3140H4ZD9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      605447 | PA      | $585795.63     | 0.00%             | 2033-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080444 G2 08/30 FLOATING VAR                   | CUSIP: 36225CP67<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       22530 | PA      | $22696.44      | 0.00%             | 2030-08-20      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080013 G2 11/26 FLOATING VAR                   | CUSIP: 36225CAP1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        6862 | PA      | $6872.47       | 0.00%             | 2026-11-20      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST 2022-GC48                                    | CITIGROUP COMMERCIAL MORTGAGE CGCMT 2022 GC48 A5            | CUSIP: 29426VAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    36400000 | PA      | $36333475.36   | 0.08%             | 2054-05-15      | Fixed         | 4.74%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE FIRST BOSTON MORTGAGE SECURITIES CORP 2018-SP3                     | CREDIT SUISSE MORTGAGE TRUST CSMC 2018 SP3 PT 144A          | CUSIP: 12654RAM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   294785806 | PA      | $254779717.21  | 0.56%             | 2048-06-25      | Fixed         | 4.41%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE GLOBAL FUNDING                                                        | COREBRIDGE GLOB FUNDING SR SECURED 144A 07/26 5.75          | CUSIP: 00138CAU2<br>LEI: 54930057MDZ7KOVOTV71 | Long             | DBT              | CORP              | US        |     2500000 | PA      | $2530401.95    | 0.01%             | 2026-07-02      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS7882 FN 09/46 FIXED 3                           | CUSIP: 3138WHXL1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       23653 | PA      | $21397.94      | 0.00%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVESTORS 2003-A3                                         | MERRILL LYNCH MORTGAGE INVESTO MLMI 2003 A3 1A              | CUSIP: 589929R26<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      580663 | PA      | $566982.57     | 0.00%             | 2033-05-25      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TWD SOLD USD 20251020                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $-241481.89    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2010-RR1                                                          | BCAP LLC TRUST BCAP 2010 RR1 1A4 144A                       | CUSIP: 05532TAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1019324 | PA      | $840028.52     | 0.00%             | 2037-03-26      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                     | BARCLAYS PLC BARCLAYS PLC                                   | CUSIP: 06738ECU7<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |     2100000 | PA      | $2131790.03    | 0.00%             | 2030-09-10      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC4407 FN 03/46 FIXED 4                           | CUSIP: 3140EY3R0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      644597 | PA      | $620487.71     | 0.00%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SLM STUDENT LOAN TRUST 2008-5                                                    | SLM STUDENT LOAN TRUST SLMA 2008 5 A4                       | CUSIP: 78444YAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      198898 | PA      | $199781.66     | 0.00%             | 2026-01-27      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERTIFICATES 2007-HY4                                              | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY4 3A1            | CUSIP: 933636AG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      338230 | PA      | $309201.15     | 0.00%             | 2037-04-25      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 781078 GN 08/29 FIXED 8.5                         | CUSIP: 36225BFT0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         758 | PA      | $764.07        | 0.00%             | 2029-08-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 443096 FN 12/28 FIXED 6                           | CUSIP: 31380LGD4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |           5 | PA      | $5.21          | 0.00%             | 2028-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL5851 FN 10/29 FIXED VAR                         | CUSIP: 3138ENQD4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      236572 | PA      | $234511.30     | 0.00%             | 2029-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL CO9554 G2 11/46 FIXED 3                        | CUSIP: 3617FMTK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1868417 | PA      | $1666487.43    | 0.00%             | 2046-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 889299 FN 04/38 FIXED VAR                         | CUSIP: 31410G7L1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         754 | PA      | $795.36        | 0.00%             | 2038-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2021-10                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2021 10 A3 144A              | CUSIP: 46654AAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1433990 | PA      | $1190722.10    | 0.00%             | 2051-12-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| PERFORMER FUNDING 1 PLC 1A                                                       | PERFORMER FUNDING PERFF 1A F 144A                           | CUSIP: ACI2M1B51<br>LEI: N/A                  | Long             | ABS-O            | CORP              | GB        |     9300000 | PA      | $12704784.35   | 0.03%             | 2035-06-21      | Floating      | 11.47%                | No            |                  2 | On Loan: No      |
| ICON INVESTMENTS SIX DESIGNATED ACTIVITY COMPANY                                 | ICON INVESTMENTS SIX DAC ICON INVESTMENTS SIX DAC           | CUSIP: 45115AAA2<br>LEI: 635400FQ1M7J2CHLAS59 | Long             | DBT              | CORP              | IE        |     1400000 | PA      | $1429125.54    | 0.00%             | 2027-05-08      | Fixed         | 5.81%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G30482 FG 05/30 FIXED 4.5                 | CUSIP: 3128CURB4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       36324 | PA      | $36491.02      | 0.00%             | 2030-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL U99114 FG 02/44 FIXED 3.5                 | CUSIP: 3132H7DU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       31098 | PA      | $29426.61      | 0.00%             | 2044-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2007-AR1                                           | INDYMAC INDX MORTGAGE LOAN TRU INDX 2007 AR1 2A1            | CUSIP: 45669BAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2773548 | PA      | $2493850.75    | 0.01%             | 2037-04-25      | Floating      | 3.69%                 | No            |                  2 | On Loan: No      |
| CTRLP 2024-1                                                                     | SERIES 2024 1 CLN 2031 SERIES 2024 1 CLN 2031               | CUSIP: 15487CAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    43000000 | PA      | $43273020.76   | 0.10%             | 2031-10-25      | Floating      | 7.99%                 | No            |                  3 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD7578 FR 04/55 FIXED 6                   | CUSIP: 3132DVM36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    51749930 | PA      | $53793387.87   | 0.12%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 906874 FN 12/36 FIXED 6                           | CUSIP: 31411FQ31<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5562 | PA      | $5680.28       | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | OIS CAD CAONREPO/2.7404 03/10/25-9Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |           1 | NC      | $109747.45     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZK3059 FR 03/26 FIXED 3.5                 | CUSIP: 3131X6MG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2720 | PA      | $2707.61       | 0.00%             | 2026-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 936154 FN 05/37 FIXED 6                           | CUSIP: 31412VQF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         702 | PA      | $731.56        | 0.00%             | 2037-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2343                                                                 | FREDDIE MAC FHR 2343 UZ                                     | CUSIP: 313399MW4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      267496 | PA      | $277168.73     | 0.00%             | 2031-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-89                                                        | FANNIE MAE FNR 2012 89 DZ                                   | CUSIP: 3136A7X56<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    12648477 | PA      | $11991944.32   | 0.03%             | 2042-08-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX5626 FN 01/53 FIXED 5.5                         | CUSIP: 3140NAHC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       94617 | PA      | $95819.74      | 0.00%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 781328 GN 09/31 FIXED 7                           | CUSIP: 36225BPM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3175 | PA      | $3318.52       | 0.00%             | 2031-09-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 253399 FN 08/30 FIXED 8.5                         | CUSIP: 31371JNQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          92 | PA      | $94.50         | 0.00%             | 2030-08-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY5                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY5 3A1            | CUSIP: 92990GAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      553411 | PA      | $484919.61     | 0.00%             | 2037-05-25      | Floating      | 3.88%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVS 2005-A5                                              | MERRILL LYNCH MORTGAGE INVESTO MLMI 2005 A5 A9              | CUSIP: 59020UYU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      761450 | PA      | $735648.37     | 0.00%             | 2035-06-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                     | BARCLAYS PLC SR UNSECURED 11/33 VAR                         | CUSIP: 06738ECE3<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |     3191000 | PA      | $3662457.20    | 0.01%             | 2033-11-02      | Floating      | 7.44%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINANCIAL GROUP INC                                              | SUMITOMO MITSUI FINL GRP SR UNSECURED 01/28 5.52            | CUSIP: 86562MCR9<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |    19000000 | PA      | $19606461.76   | 0.04%             | 2028-01-13      | Fixed         | 5.52%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-3                                                                | FANNIE MAE FNR 2007 3 SH                                    | CUSIP: 31396PRU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5703 | PA      | $385.92        | 0.00%             | 2037-02-25      | Floating      | 1.60%                 | No            |                  2 | On Loan: No      |
| CDC MORTGAGE CAPITAL TRUST 2004-HE2                                              | CDC MORTGAGE CAPITAL TRUST CDCMC 2004 HE2 M1                | CUSIP: 12506YCW7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      178399 | PA      | $228198.09     | 0.00%             | 2034-07-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 829139 FN 10/35 FIXED 6                           | CUSIP: 31407FEL0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4530 | PA      | $4687.11       | 0.00%             | 2035-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | US 10YR FUT OPTN  NOV25P 111 EXP 10/24/2025                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -1340 | NC      | $-149360.42    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB2444 FN 03/26 FIXED 3.5                         | CUSIP: 31416XWE6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       39966 | PA      | $39790.37      | 0.00%             | 2026-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 892937 FN 08/36 FIXED 6                           | CUSIP: 31410PBE2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       24649 | PA      | $25176.74      | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC8935 FN 06/46 FIXED 4                           | CUSIP: 3140F44V5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1689735 | PA      | $1625483.83    | 0.00%             | 2046-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC7891 FN 03/46 FIXED 4                           | CUSIP: 3140F3XV5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      118790 | PA      | $114371.53     | 0.00%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LAZARD GROUP LLC                                                                 | LAZARD GROUP LLC SR UNSECURED 09/28 4.5                     | CUSIP: 52107QAJ4<br>LEI: FI94J2CJ1D7BIGVMS874 | Long             | DBT              | CORP              | US        |     7000000 | PA      | $7033710.39    | 0.02%             | 2028-09-19      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL C91196 FG 05/28 FIXED 4.5                 | CUSIP: 3128P7KH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        7010 | PA      | $7010.52       | 0.00%             | 2028-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2021-HP1                                     | GS MORTGAGE BACKED SECURITIES GSMBS 2021 HP1 A9 144A        | CUSIP: 36262RAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7772284 | PA      | $7275678.11    | 0.02%             | 2052-01-25      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                                                          | HYUNDAI CAPITAL AMERICA SR UNSECURED 144A 03/26 5.5         | CUSIP: 44891ACB1<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    17500000 | PA      | $17590934.03   | 0.04%             | 2026-03-30      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON MTGE PASS-THRU TR 2005-AR5                                         | FIRST HORIZON MORTGAGE PASS TH FHASI 2005 AR5 4A1           | CUSIP: 32051GXV2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      329479 | PA      | $291934.80     | 0.00%             | 2035-11-25      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20251017                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-87812.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE LN TR 2007-5AX                                           | MORGAN STANLEY MORTGAGE LOAN T MSM 2007 5AX 2A3             | CUSIP: 61751GAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      406310 | PA      | $78779.30      | 0.00%             | 2037-02-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 903132 FN 10/36 FIXED 6                           | CUSIP: 31411BLM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5929 | PA      | $6232.29       | 0.00%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH ALTERNATIVE NT 2007-AF1                                            | MERRILL LYNCH ALTERNATIVE NOTE MANA 2007 AF1 AV1            | CUSIP: 59024KAX1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      643662 | PA      | $290525.13     | 0.00%             | 2037-06-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                             | JPMORGAN CHASE + CO SR UNSECURED 07/28 VAR                  | CUSIP: 46647PEM4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    25500000 | PA      | $25675148.79   | 0.06%             | 2028-07-22      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CDX ITRAXX XOV42 5Y 35-100% SP BPS                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |           1 | NC      | $27391717.72   | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERTIFICATES 2007-HY4                                              | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY4 1A1            | CUSIP: 933636AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1173259 | PA      | $1061345.28    | 0.00%             | 2037-04-25      | Floating      | 3.71%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL AL5242 GN 02/45 FIXED 3.5                         | CUSIP: 36184BZF7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       17975 | PA      | $16812.93      | 0.00%             | 2045-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| YELLOW TULIP BIDCO BV                                                            | YELLOW TULIP ASSETCO B.V. GALIBIER ASSETCO PPN              | CUSIP: ACI2QBL39<br>LEI: 7245007F7OM6G569EP33 | Long             | DBT              | CORP              | NL        |     4250000 | PA      | $4953038.71    | 0.01%             | 2036-07-30      | Variable      | 0.00%                 | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2972 FN 04/32 FIXED 3.5                         | CUSIP: 31418CJS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       18980 | PA      | $18769.62      | 0.00%             | 2032-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 008967 G2 09/26 FLOATING VAR                   | CUSIP: 36202K6C4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          66 | PA      | $65.62         | 0.00%             | 2026-09-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| CONSUMERS 2023 SECURITIZATION FUNDING LLC                                        | CONSUMERS 23 SECURE FUND SR SECURED 03/28 5.55              | CUSIP: 21071BAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    14517880 | PA      | $14706085.57   | 0.03%             | 2028-03-01      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AO4595 FN 06/42 FIXED 4                           | CUSIP: 3138LVC92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      712202 | PA      | $693283.95     | 0.00%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL1005 FN 11/26 FIXED VAR                         | CUSIP: 3138EHDK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       38739 | PA      | $38508.31      | 0.00%             | 2026-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 805530 FN 11/34 FIXED 6                           | CUSIP: 31406B4P2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       32308 | PA      | $33471.33      | 0.00%             | 2034-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE TRUST-2005-11AR                                          | MORGAN STANLEY MORTGAGE LOAN T MSM 2005 11AR A1             | CUSIP: 61748HTG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5321827 | PA      | $2840203.44    | 0.01%             | 2036-01-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ9184 FN 05/33 FIXED 3                           | CUSIP: 3140HBF29<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1186792 | PA      | $1156892.24    | 0.00%             | 2033-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CENTENE CORPORATION                                                              | CENTENE CORP SR UNSECURED 02/30 3.375                       | CUSIP: 15135BAV3<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |     4800000 | PA      | $4418697.31    | 0.01%             | 2030-02-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ARM 2003-1                                                          | BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 1 3A1             | CUSIP: 07384MTK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       84605 | PA      | $85641.25      | 0.00%             | 2033-04-25      | Floating      | 6.63%                 | No            |                  2 | On Loan: No      |
| EMPIRE STATE DEVELOPMENT CORPORATION                                             | NEW YORK ST URBAN DEV CORP REV NYSDEV 03/31 FIXED 2.027     | CUSIP: 650036AZ9<br>LEI: 54930039Y2EMGXN6LM88 | Long             | DBT              | MUN               | US        |    23000000 | PA      | $20605897.80   | 0.05%             | 2031-03-15      | Fixed         | 2.03%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL AJ3305 GN 11/44 FIXED 3.5                         | CUSIP: 36182XU66<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      292732 | PA      | $273802.13     | 0.00%             | 2044-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB3585 FN 05/52 FIXED 3                           | CUSIP: 3140QN6X5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    37257709 | PA      | $32838825.43   | 0.07%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AC3654 FN 10/39 FIXED 5                           | CUSIP: 31417NBY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        7677 | PA      | $7867.37       | 0.00%             | 2039-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AO9769 FN 08/42 FIXED 4                           | CUSIP: 3138M12B3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       12799 | PA      | $12458.81      | 0.00%             | 2042-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2023-2                                                | VERUS SECURITIZATION TRUST VERUS 2023 2 A1 144A             | CUSIP: 92539DAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3147296 | PA      | $3156257.31    | 0.01%             | 2068-03-25      | Fixed         | 6.19%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3209 FN 12/47 FIXED 3                           | CUSIP: 31418CR71<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5495 | PA      | $4932.73       | 0.00%             | 2047-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 889588 FN 06/38 FIXED VAR                         | CUSIP: 31410KJ96<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1585 | PA      | $1648.16       | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GE-WMC MORTGAGE SECURITIES LLC 2006-1                                            | GE WMC MORTGAGE SECURITIES LLC GEWMC 2006 1 A2A             | CUSIP: 36829JAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        4709 | PA      | $1999.44       | 0.00%             | 2036-08-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 883594 FN 04/36 FIXED 6                           | CUSIP: 31410AUT1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       15868 | PA      | $16430.09      | 0.00%             | 2036-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY PENNSYLVANIA ELECTRIC CO                                             | METROPOLITAN EDISON CO SR UNSECURED 144A 01/29 4.3          | CUSIP: 591894CC2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1760000 | PA      | $1763412.38    | 0.00%             | 2029-01-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2023-2A                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2023 2A C 144A          | CUSIP: 210927AD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     9603919 | PA      | $9986362.50    | 0.02%             | 2053-11-25      | Fixed         | 7.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT KWD SOLD USD 20260707                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $3261.65       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD8944 FN 10/46 FIXED 4                           | CUSIP: 3140FG5E5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       40766 | PA      | $39263.23      | 0.00%             | 2046-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL AL1504 GN 02/45 FIXED 3.5                         | CUSIP: 36183WU59<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      258329 | PA      | $241630.84     | 0.00%             | 2045-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2005-23CB                                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 23CB A3           | CUSIP: 12667GLD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      386211 | PA      | $350230.67     | 0.00%             | 2035-07-25      | Floating      | 8.05%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE INTERNATIONAL NV                                                    | ENEL FINANCE INTL NV SR UNSECURED 144A 06/32 5              | CUSIP: 29278GAX6<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |    12900000 | PA      | $13125625.90   | 0.03%             | 2032-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2248                                                                 | FREDDIE MAC FHR 2248 ZA                                     | CUSIP: 3133TPVV8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       22361 | PA      | $23119.46      | 0.00%             | 2030-09-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| LOUISIANA LOCAL GOVERNMENT ENVIRONMENTAL FACILITIES & COMMUNITY DEVELOPMENT AUTH | LOUISIANA ST LOCAL GOVT ENVRNM LASGOV 02/36 FIXED 4.275     | CUSIP: 54627RAN0<br>LEI: 5493004WIZ1HV87IVF85 | Long             | DBT              | MUN               | US        |     1600000 | PA      | $1579800.64    | 0.00%             | 2036-02-01      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM6047 FN 05/29 FIXED VAR                         | CUSIP: 3140X9WH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       52103 | PA      | $51595.48      | 0.00%             | 2029-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE TRUST 2005-ALT1                                                   | JP MORGAN MORTGAGE TRUST JPMMT 2005 ALT1 2A1                | CUSIP: 466247XG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      528331 | PA      | $402010.66     | 0.00%             | 2035-10-25      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 817547 FN 10/35 FLOATING VAR                      | CUSIP: 31406RHY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       29737 | PA      | $30042.83      | 0.00%             | 2035-10-01      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR7                                                 | GSR MORTGAGE LOAN TRUST GSR 2005 AR7 4A1                    | CUSIP: 362341XC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1477195 | PA      | $685516.68     | 0.00%             | 2035-11-25      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-12                                                   | COUNTRYWIDE HOME LOANS CWHL 2004 12 10A1                    | CUSIP: 12669FN41<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      249505 | PA      | $235509.89     | 0.00%             | 2034-08-25      | Floating      | 6.51%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317UADVA7 PIMCO SWAPTION 3.685 PUT USD 2025101              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -83600000 | NC      | $-279048.44    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BETH ISRAEL LAHEY HEALTH INC                                                     | BETH ISRAEL LAHEY HEALTH SECURED 07/28 2.22                 | CUSIP: 08661UAA4<br>LEI: 549300QPZ5W3279DU141 | Long             | DBT              | CORP              | US        |     2900000 | PA      | $2712283.96    | 0.01%             | 2028-07-01      | Fixed         | 2.22%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | HESS CORPORATION SNR S* ICE                                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $20928.83      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 1G0382 FH 10/35 FLOATING VAR              | CUSIP: 3128NCM76<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1010567 | PA      | $1047614.13    | 0.00%             | 2035-10-01      | Floating      | 6.72%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-14CB                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 14CB A1           | CUSIP: 021468AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6175022 | PA      | $3305510.52    | 0.01%             | 2036-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BV3393 FN 03/52 FIXED 3                           | CUSIP: 3140MGXX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      679452 | PA      | $598362.22     | 0.00%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL D98559 FG 02/31 FIXED 4.5                 | CUSIP: 3128E5QL6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       77157 | PA      | $77376.53      | 0.00%             | 2031-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2006-HY13                                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 HY13 4A1          | CUSIP: 02149DAN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4676822 | PA      | $4144776.02    | 0.01%             | 2037-02-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| SANTANDER HOLDINGS USA INC                                                       | SANTANDER HOLDINGS USA SANTANDER HOLDINGS USA               | CUSIP: 80282KBM7<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |    15600000 | PA      | $15916605.74   | 0.04%             | 2030-09-06      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOAN MORTGAGE PASS THROUGH TRUST 2007-J1                        | COUNTRYWIDE HOME LOANS CWHL 2007 J1 1A1                     | CUSIP: 12669MAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1963347 | PA      | $1791733.79    | 0.00%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 678879 FN 01/33 FIXED 6                           | CUSIP: 31391WFU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         880 | PA      | $900.83        | 0.00%             | 2033-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20251017                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-71269.39     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT DKK SOLD USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |           1 | NC      | $13924.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2006-4                                                    | GSAA HOME EQUITY TRUST GSAA 2006 4 3A1                      | CUSIP: 362334FG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3932815 | PA      | $1578760.73    | 0.00%             | 2036-03-25      | Floating      | 4.36%                 | No            |                  2 | On Loan: No      |
| FORESEA HOLDING SA                                                               | DRILLCO HLDG LUX S A COMMON STOCK                           | CUSIP: 000000000<br>LEI: 254900BAD50AKYGIMV79 | Long             | EC               | CORP              | LU        |      176073 | NS      | $3814915.06    | 0.01%             |  |  |  | Yes           |                  3 | On Loan: No      |
| FREDDIE MAC REMICS 3382                                                          | FREDDIE MAC FHR 3382 FG                                     | CUSIP: 31397PHA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      106644 | PA      | $106524.79     | 0.00%             | 2037-11-15      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS3713 FN 11/44 FIXED 4                           | CUSIP: 3138WDDT5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      280394 | PA      | $270254.02     | 0.00%             | 2044-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BAYER US FINANCE LLC                                                             | BAYER US FINANCE LLC COMPANY GUAR 144A 01/29 6.25           | CUSIP: 07274EAJ2<br>LEI: 54930093Q75GSEM74I71 | Long             | DBT              | CORP              | US        |    43100000 | PA      | $45340519.02   | 0.10%             | 2029-01-21      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2266                                                                 | FREDDIE MAC FHR 2266 F                                      | CUSIP: 3133TQFM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         138 | PA      | $137.46        | 0.00%             | 2030-11-15      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-81                                                        | FANNIE MAE FNR 2013 81 ES                                   | CUSIP: 3136AFH23<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      741062 | PA      | $84780.00      | 0.00%             | 2042-12-25      | Floating      | 1.68%                 | No            |                  2 | On Loan: No      |
| GATEWAY CREDIT TENANT LEASE                                                      | GATEWAY LEASE CTL A WHLN03785                               | CUSIP: 963SPPII4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | CA        |    85471362 | PA      | $57522192.57   | 0.13%             | 2038-03-12      | Fixed         | 5.00%                 | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 922504 FN 04/37 FIXED 6                           | CUSIP: 31412D3M8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       46490 | PA      | $48167.19      | 0.00%             | 2037-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 778961 FN 06/34 FLOATING VAR                      | CUSIP: 31404UMJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         449 | PA      | $456.55        | 0.00%             | 2034-06-01      | Floating      | 6.43%                 | No            |                  2 | On Loan: No      |
| NOMURA HOLDINGS INC                                                              | NOMURA HOLDINGS INC SR UNSECURED 07/30 2.679                | CUSIP: 65535HAS8<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |     9500000 | PA      | $8735020.58    | 0.02%             | 2030-07-16      | Fixed         | 2.68%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT GBP SOLD USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $-4361.79      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20251006                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $505657.62     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE1                                            | MORGAN STANLEY CAPITAL INC MSAC 2007 HE1 A2B                | CUSIP: 617526AD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1147148 | PA      | $675865.32     | 0.00%             | 2036-11-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080124 G2 10/27 FLOATING VAR                   | CUSIP: 36225CD60<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3386 | PA      | $3384.52       | 0.00%             | 2027-10-20      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-20                                                   | COUNTRYWIDE HOME LOANS CWHL 2006 20 1A36                    | CUSIP: 12544ABM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      809878 | PA      | $346130.01     | 0.00%             | 2037-02-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AK5586 FN 04/42 FIXED 4                           | CUSIP: 3138EAF44<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       74531 | PA      | $72598.15      | 0.00%             | 2042-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 933032 FN 10/37 FIXED 6                           | CUSIP: 31412SA96<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1256 | PA      | $1251.70       | 0.00%             | 2037-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20251217                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $-450495.71    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20251104                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $2831653.69    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FHR 2046                                                                         | FREDDIE MAC FHR 2046 G                                      | CUSIP: 3133TDCL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1256 | PA      | $1271.83       | 0.00%             | 2028-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE LN TR-2006-8AR                                           | MORGAN STANLEY MORTGAGE LOAN T MSM 2006 8AR 5A1             | CUSIP: 61749LAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       54992 | PA      | $53692.67      | 0.00%             | 2036-06-25      | Floating      | 6.03%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FS6838 FN 11/53 FIXED VAR                         | CUSIP: 3140XNS47<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    38443852 | PA      | $38923733.74   | 0.09%             | 2053-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-NC2                                            | MORGAN STANLEY CAPITAL INC MSAC 2007 NC2 A2C                | CUSIP: 61753NAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      745461 | PA      | $329351.68     | 0.00%             | 2037-02-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 836133 FN 09/35 FLOATING VAR                      | CUSIP: 31407N4S9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         405 | PA      | $411.96        | 0.00%             | 2035-09-01      | Floating      | 6.33%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE8875 FN 03/47 FIXED 4                           | CUSIP: 3140FU2H0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      181517 | PA      | $174538.00     | 0.00%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MERCEDES-BENZ FINANCE NORTH AMERICA LLC                                          | MERCEDES BENZ FIN NA COMPANY GUAR 144A 03/28 4.75           | CUSIP: 58769JBE6<br>LEI: 549300423Z16BB673J12 | Long             | DBT              | CORP              | US        |     3200000 | PA      | $3247746.11    | 0.01%             | 2028-03-31      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST-2005-A6                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2005 A6 7A1                  | CUSIP: 466247UG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      395817 | PA      | $350655.31     | 0.00%             | 2035-08-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20251017                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $-36601.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BV4169 FN 03/52 FIXED 2                           | CUSIP: 3140MHT33<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     9830520 | PA      | $7948396.52    | 0.02%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-7                                                  | BEAR STEARNS ALT A TRUST BALTA 2005 7 22A1                  | CUSIP: 07386HVS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8933596 | PA      | $4884879.81    | 0.01%             | 2035-09-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB5986 FN 03/53 FIXED 5                           | CUSIP: 3140QRUL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      250964 | PA      | $250199.66     | 0.00%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5190 FN 11/53 FIXED 5.5                         | CUSIP: 31418EXU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    91966141 | PA      | $93010988.59   | 0.20%             | 2053-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF1988 FR 10/52 FIXED 5                   | CUSIP: 3133BPF52<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3240315 | PA      | $3249266.67    | 0.01%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-648980.01    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ROUNDSTONE SECURITIES NO 2 DESIGNATED ACTIVITY CO 2A                             | ROUNDSTONE SECURITIES RNST 2A F 144A                        | CUSIP: ACI2NGD22<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |     7730000 | PA      | $8832558.15    | 0.02%             | 2058-06-28      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2411                                                                 | FREDDIE MAC FHR 2411 FJ                                     | CUSIP: 31339D4L9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5934 | PA      | $5917.12       | 0.00%             | 2029-12-15      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SECURITIES 2004-4                                           | BANC OF AMERICA MORTGAGE SECUR BOAMS 2004 D 2A2             | CUSIP: 05949ADG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       50623 | PA      | $49280.41      | 0.00%             | 2034-05-25      | Floating      | 6.46%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES KG01                | FHLMC MULTIFAMILY STRUCTURED P FHMS KG01 A7                 | CUSIP: 3137FMD25<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    13600000 | PA      | $13519855.06   | 0.03%             | 2026-04-25      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BM1231 FN 11/31 FIXED VAR                         | CUSIP: 3140J5LM9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1001022 | PA      | $992150.17     | 0.00%             | 2031-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JPMCC COMMERCIAL MORTGAGE SECURITIES TRUST 2021-410T                             | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2021 410T A 144A       | CUSIP: 46652WAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8599000 | PA      | $8018230.42    | 0.02%             | 2042-03-05      | Fixed         | 2.29%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AU4144 FN 08/43 FIXED 3                           | CUSIP: 3138X3TA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       70999 | PA      | $65301.17      | 0.00%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 984992 FN 08/38 FIXED 5.5                         | CUSIP: 31415PF94<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       48572 | PA      | $50103.70      | 0.00%             | 2038-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| LOUISIANA LOCAL GOVERNMENT ENVIRONMENTAL FACILITIES & COMMUNITY DEVELOPMENT AUTH | LOUISIANA ST LOCAL GOVT ENVRNM LASGOV 12/34 FIXED 5.048     | CUSIP: 54627RAS9<br>LEI: 5493004WIZ1HV87IVF85 | Long             | DBT              | MUN               | US        |     3300000 | PA      | $3425824.38    | 0.01%             | 2034-12-01      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| PROVINCE OF QUEBEC                                                               | PROVINCE OF QUEBEC SR UNSECURED 09/33 3.6                   | CUSIP: 74814ZFS7<br>LEI: 549300WN65YFEQH74Y36 | Long             | DBT              | NUSS              | CA        |     6100000 | PA      | $4442895.14    | 0.01%             | 2033-09-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ5753 FN 05/33 FIXED 3                           | CUSIP: 3140H7MB0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      215756 | PA      | $208986.06     | 0.00%             | 2033-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD IDR BOUGHT USD 20251006                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $44363.88      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QE7272 FR 07/52 FIXED 3                   | CUSIP: 3133BHCH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1014578 | PA      | $902927.36     | 0.00%             | 2052-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY5014 FN 07/53 FIXED 5.5                         | CUSIP: 3140NMSC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4005618 | PA      | $4055155.18    | 0.01%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BV2859 FN 03/52 FIXED 3                           | CUSIP: 3140MGE98<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      119076 | PA      | $105769.65     | 0.00%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-11-26

**Name of Applicant:** PIMCO Funds

**Signature:** /s/ Bijal Parikh

**Name of Signer:** Bijal Parikh

**Title:** Treasurer