# EDGAR Filing Document

**Accession Number:** 0001478482
**File Stem:** 0001193125-25-332511
**Filing Date:** 2025-12
**Character Count:** 168798
**Document Hash:** 595fdb83e048ddbddd85145f4a488395
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001193125-25-332511.hdr.sgml**: 20251229

**ACCESSION NUMBER**: 0001193125-25-332511

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20251031

**FILED AS OF DATE**: 20251229

**DATE AS OF CHANGE**: 20251229

**PERIOD START**: 20260430

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** John Hancock Exchange-Traded Fund Trust
- **CENTRAL INDEX KEY:** 0001478482

**ORGANIZATION NAME:**
- **EIN:** 001017025
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 0430

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-22733
- **FILM NUMBER:** 251603533

**BUSINESS ADDRESS:**
- **STREET 1:** C/O JOHN HANCOCK FUNDS
- **STREET 2:** 200 BERKELEY STREET
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02116
- **BUSINESS PHONE:** 617-663-3000

**MAIL ADDRESS:**
- **STREET 1:** C/O JOHN HANCOCK FUNDS
- **STREET 2:** 200 BERKELEY STREET
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02116

## Series and Classes Contracts Data

### John Hancock Mortgage-Backed Securities ETF (Series ID: S000072179)

| Class ID   | Class Name                                  | Ticker Symbol   |
|:---|:---|:---|
| C000227987 | John Hancock Mortgage-Backed Securities ETF | JHMB            |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** John Hancock Exchange-Traded Fund Trust

- **b. Investment Company Act file number:** 811-22733

- **c. CIK number of Registrant:** 0001478482

- **d. LEI of Registrant:** 5493009IOCA1ISM4Y592

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

  - **Street Address 1:** 200 Berkeley Street

  - **City:** Boston

  - **State:** MA

  - **Foreign country:** US

  - **Zip / Postal Code:** 02116

  - **Telephone number:** 617-543-9634

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

- **a. Name of Series:** John Hancock Mortgage-Backed Securities ETF

- **b. EDGAR series identifier (if any):** S000072179

- **c. LEI of Series:** 549300DHVXX83H8NVG29

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

- **a. Date of fiscal year-end:** 2026-04-30

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $178151666.50

**Total Liabilities:** $10634353.65

**Net Assets:** $167517312.85

**Delayed Delivery Securities:** $9721915.07

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -412.490156000000 | **1-Year:** -8615.574705000000 | **5-Year:** -28309.755933000000 | **10-Year:** -47373.828635000000 | **30-Year:** -13426.276682000000

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

- **3-Month:** -9.343917000000 | **1-Year:** -198.909990000000 | **5-Year:** -443.992198000000 | **10-Year:** -685.229218000000 | **30-Year:** -57.624255000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000227987 | 1.65%                | 1.15%                | 0.84%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-57444.57               | $1807814.85                                |
| Month 2  | $46772.93                | $950972.82                                 |
| Month 3  | $34826.38                | $646071.63                                 |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 07/53 FIXED VAR                      | CUSIP: 3140XL3L0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     95315 | PA      | $95824.62     | 0.06%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 10/52 FIXED VAR                      | CUSIP: 3140XL5L8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    387129 | PA      | $370263.38    | 0.22%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 05/53 FIXED VAR                      | CUSIP: 3140XLLJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    988923 | PA      | $990808.15    | 0.59%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 09/51 FIXED VAR                      | CUSIP: 3140XLNJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    558927 | PA      | $456925.57    | 0.27%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GOVERNMENT NATIONAL MORTGAGE A GNR 2018 23 IO           | CUSIP: 38380JPT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1202505 | PA      | $40022.24     | 0.02%             | 2059-11-16      | Variable      | 0.58%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GOVERNMENT NATIONAL MORTGAGE A GNR 2021 178 IA          | CUSIP: 38381D5A4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  36538472 | PA      | $172969.47    | 0.10%             | 2061-10-16      | Variable      | 0.10%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GOVERNMENT NATIONAL MORTGAGE A GNR 2022 141 BC          | CUSIP: 38381HPW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    265000 | PA      | $152399.57    | 0.09%             | 2064-06-16      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GOVERNMENT NATIONAL MORTGAGE A GNR 2025 35 IO           | CUSIP: 38381L7W6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5499208 | PA      | $329463.06    | 0.20%             | 2066-09-16      | Variable      | 0.76%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GOVERNMENT NATIONAL MORTGAGE A GNR 2024 161 IO          | CUSIP: 38381LA77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6814078 | PA      | $383253.04    | 0.23%             | 2064-06-16      | Variable      | 0.74%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GOVERNMENT NATIONAL MORTGAGE A GNR 2024 193 IO          | CUSIP: 38381LG97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2968831 | PA      | $188815.60    | 0.11%             | 2066-12-16      | Variable      | 0.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GOVERNMENT NATIONAL MORTGAGE A GNR 2025 3 IO            | CUSIP: 38381LU75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1590297 | PA      | $111378.03    | 0.07%             | 2067-04-16      | Variable      | 0.86%                 | No            |                  2 | On Loan: No      |
| SEB FUNDING LLC SEB4P 2024 1A A2 144A                  | SEB FUNDING LLC SEB4P 2024 1A A2 144A                   | CUSIP: 78433DAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    620000 | PA      | $634826.80    | 0.38%             | 2054-04-30      | Fixed         | 7.39%                 | No            |                  2 | On Loan: No      |
| VISIO 2019-2 TRUST VISIO 2019 2 A1 144A                | VISIO 2019-2 TRUST VISIO 2019 2 A1 144A                 | CUSIP: 92837DAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5691 | PA      | $5649.48      | 0.00%             | 2054-11-25      | Variable      | 2.72%                 | No            |                  2 | On Loan: No      |
| VISIO 2020-1 TRUST VISIO 2020 1 A3 144A                | VISIO 2020-1 TRUST VISIO 2020 1 A3 144A                 | CUSIP: 92837KAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    176000 | PA      | $169507.06    | 0.10%             | 2055-08-25      | Variable      | 3.52%                 | No            |                  2 | On Loan: No      |
| TRICON RESIDENTIAL 2024-SFR3 T TCN 2024 SFR3 C 144A    | TRICON RESIDENTIAL 2024-SFR3 T TCN 2024 SFR3 C 144A     | CUSIP: 89616YAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $498870.00    | 0.30%             | 2041-08-17      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust 2019-INV3                   | JP MORGAN MORTGAGE TRUST 2019- JPMMT 2019 INV3 B3 144A  | CUSIP: 46591LBW0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    201366 | PA      | $188071.31    | 0.11%             | 2050-05-25      | Variable      | 4.35%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2021- JPMMT 2021 12 A12 144A  | JP MORGAN MORTGAGE TRUST 2021- JPMMT 2021 12 A12 144A   | CUSIP: 46592WBL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    222938 | PA      | $219299.32    | 0.13%             | 2052-02-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| VB-S1 ISSUER LLC - VBTEL VBTEL 2022 1A C2II 144A       | VB-S1 ISSUER LLC - VBTEL VBTEL 2022 1A C2II 144A        | CUSIP: 91823AAW1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    400000 | PA      | $368906.68    | 0.22%             | 2057-02-15      | Fixed         | 3.71%                 | No            |                  2 | On Loan: No      |
| TRICON RESIDENTIAL 2025-SFR2 T TCN 2025 SFR2 D 144A    | TRICON RESIDENTIAL 2025-SFR2 T TCN 2025 SFR2 D 144A     | CUSIP: 89617FAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    350000 | PA      | $357110.92    | 0.21%             | 2044-08-17      | Fixed         | 6.07%                 | No            |                  2 | On Loan: No      |
| Uniti Fiber ABS Issuer LLC                             | UNITI FIBER ABS ISSUER LLC UNIT 2025 1A B 144A          | CUSIP: 91326EAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    385000 | PA      | $394941.28    | 0.24%             | 2055-04-20      | Fixed         | 6.37%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust 2019-INV2                   | JP MORGAN MORTGAGE TRUST 2019- JPMMT 2019 INV2 B4 144A  | CUSIP: 46651DBH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    345781 | PA      | $331712.49    | 0.20%             | 2050-02-25      | Variable      | 4.71%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2021- JPMMT 2021 6 A12 144A   | JP MORGAN MORTGAGE TRUST 2021- JPMMT 2021 6 A12 144A    | CUSIP: 46653PBJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    315467 | PA      | $310021.45    | 0.19%             | 2051-10-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| VB-S1 ISSUER LLC - VBTEL VBTEL 2022 1A F 144A          | VB-S1 ISSUER LLC - VBTEL VBTEL 2022 1A F 144A           | CUSIP: 91823ABA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    250000 | PA      | $243159.30    | 0.15%             | 2052-02-15      | Fixed         | 5.27%                 | No            |                  2 | On Loan: No      |
| VDCM COMMERCIAL MORTGAGE TRUST VDCM 2025 AZ B 144A     | VDCM COMMERCIAL MORTGAGE TRUST VDCM 2025 AZ B 144A      | CUSIP: 91825CAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300000 | PA      | $303675.30    | 0.18%             | 2044-07-13      | Variable      | 5.30%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN MORTGAGE TRUST 202 JPMMT 2021 14 A12 144A  | J.P. MORGAN MORTGAGE TRUST 202 JPMMT 2021 14 A12 144A   | CUSIP: 46653QBK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    307700 | PA      | $299618.78    | 0.18%             | 2052-05-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN MORTGAGE TRUST 202 JPMMT 2023 4 2A6 144A   | J.P. MORGAN MORTGAGE TRUST 202 JPMMT 2023 4 2A6 144A    | CUSIP: 46656QBV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    371824 | PA      | $371490.51    | 0.22%             | 2053-11-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| JERSEY MIKE'S FUNDING JMIKE 2025 1A A2 144A            | JERSEY MIKE'S FUNDING JMIKE 2025 1A A2 144A             | CUSIP: 476681AE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    600000 | PA      | $610631.16    | 0.36%             | 2055-08-16      | Fixed         | 5.61%                 | No            |                  2 | On Loan: No      |
| Wingstop Funding LLC                                   | WINGSTOP FUNDING LLC WSTOP 2024 1A A2 144A              | CUSIP: 974153AE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    140000 | PA      | $144163.63    | 0.09%             | 2054-12-05      | Fixed         | 5.86%                 | No            |                  2 | On Loan: No      |
| VENTURE XXX CLO LTD VENTR 2017 30A C 144A              | VENTURE XXX CLO LTD VENTR 2017 30A C 144A               | CUSIP: 92331NAG1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    100000 | PA      | $99868.10     | 0.06%             | 2031-01-15      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| VERDANT RECEIVABLES 2025-1 LLC VERD 2025 1A D 144A     | VERDANT RECEIVABLES 2025-1 LLC VERD 2025 1A D 144A      | CUSIP: 92340GAF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    300000 | PA      | $308597.58    | 0.18%             | 2033-05-12      | Fixed         | 6.49%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GOVERNMENT NATIONAL MORTGAGE A GNR 2025 128 IO          | CUSIP: 38381MA75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3593252 | PA      | $293418.47    | 0.18%             | 2067-09-16      | Variable      | 0.93%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GOVERNMENT NATIONAL MORTGAGE A GNR 2025 73 IO           | CUSIP: 38381MJE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3984513 | PA      | $247582.08    | 0.15%             | 2067-08-16      | Variable      | 0.68%                 | No            |                  2 | On Loan: No      |
| AMSR 2024-SFR1 TRUST AMSR 2024 SFR1 D 144A             | AMSR 2024-SFR1 TRUST AMSR 2024 SFR1 D 144A              | CUSIP: 00179CAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    475000 | PA      | $460547.08    | 0.27%             | 2041-07-17      | Variable      | 4.29%                 | No            |                  2 | On Loan: No      |
| AMSR 2025-SFR1 TRUST AMSR 2025 SFR1 D 144A             | AMSR 2025-SFR1 TRUST AMSR 2025 SFR1 D 144A              | CUSIP: 00182MAG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    900000 | PA      | $842046.21    | 0.50%             | 2042-06-17      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| FIP MASTER FUNDING LLC FI 2024 1A A2 144A              | FIP MASTER FUNDING LLC FI 2024 1A A2 144A               | CUSIP: 30332YAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    398981 | PA      | $395143.73    | 0.24%             | 2054-10-15      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 02/52 FIXED 2                      | FREDDIE MAC POOL FR 02/52 FIXED 2                       | CUSIP: 3132DQLR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    261111 | PA      | $214520.21    | 0.13%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 01/51 FIXED 2                      | FREDDIE MAC POOL FR 01/51 FIXED 2                       | CUSIP: 3133KKY86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1340334 | PA      | $1108715.03   | 0.66%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 05/51 FIXED 2.5                    | FREDDIE MAC POOL FR 05/51 FIXED 2.5                     | CUSIP: 3133KL2H9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1242779 | PA      | $1067561.77   | 0.64%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| COLT 2024-5 MORTGAGE LOAN TRUS COLT 2024 5 M1 144A     | COLT 2024-5 MORTGAGE LOAN TRUS COLT 2024 5 M1 144A      | CUSIP: 19685AAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $199231.42    | 0.12%             | 2069-08-25      | Variable      | 5.66%                 | No            |                  2 | On Loan: No      |
| COLT 2021-4 MORTGAGE LOAN TRUS COLT 2021 4 B1 144A     | COLT 2021-4 MORTGAGE LOAN TRUS COLT 2021 4 B1 144A      | CUSIP: 19688GAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    700000 | PA      | $561929.06    | 0.34%             | 2066-10-25      | Variable      | 3.76%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 06/53 FIXED VAR                      | CUSIP: 3140XLXH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    152703 | PA      | $152602.69    | 0.09%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 06/53 FIXED VAR                      | CUSIP: 3140XMGW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     65279 | PA      | $63911.49     | 0.04%             | 2053-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JH COLLATERAL                                          | JH COLLATERAL                                           | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             | RF                | US        |    860740 | NS      | $8610673.61   | 5.14%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 06/52 FIXED VAR                      | CUSIP: 3140XHLP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    630879 | PA      | $605167.94    | 0.36%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 06/52 FIXED VAR                      | CUSIP: 3140XHLW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    408490 | PA      | $379151.43    | 0.23%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 03/52 FIXED VAR                      | CUSIP: 3140XKW89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    394709 | PA      | $325266.65    | 0.19%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| MFA 2023-NQM1 TRUST MFRA 2023 NQM1 A2 144A             | MFA 2023-NQM1 TRUST MFRA 2023 NQM1 A2 144A              | CUSIP: 55285PAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    103193 | PA      | $102867.08    | 0.06%             | 2067-11-25      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| MVW 2023-2 LLC MVWOT 2023 2A C 144A                    | MVW 2023-2 LLC MVWOT 2023 2A C 144A                     | CUSIP: 55400WAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     49402 | PA      | $50749.27     | 0.03%             | 2040-11-20      | Fixed         | 7.06%                 | No            |                  2 | On Loan: No      |
| Metronet Infrastructure Issuer LLC                     | METRONET INFRASTRUCTURE ISSUER MNET 2025 2A B 144A      | CUSIP: 59170JAZ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    250000 | PA      | $251637.08    | 0.15%             | 2055-08-20      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| Metronet Infrastructure Issuer LLC                     | METRONET INFRASTRUCTURE ISSUER MNET 2025 2A C 144A      | CUSIP: 59170JBB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    260000 | PA      | $262515.32    | 0.16%             | 2055-08-20      | Fixed         | 7.83%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 06/52 FIXED VAR                      | CUSIP: 3140XMKD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    241255 | PA      | $223927.40    | 0.13%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 12/51 FIXED VAR                      | CUSIP: 3140XMLF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    952801 | PA      | $891216.96    | 0.53%             | 2051-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 08/51 FIXED 2                      | FREDDIE MAC POOL FR 08/51 FIXED 2                       | CUSIP: 3133KMGY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    242491 | PA      | $199829.12    | 0.12%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 07/51 FIXED VAR                      | CUSIP: 3140XN5B6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    168129 | PA      | $137656.52    | 0.08%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 04/52 FIXED VAR                      | CUSIP: 3140XN6Q2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    386090 | PA      | $346446.86    | 0.21%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC MULTIFAMILY STRUCT FHMS K118 X1            | FREDDIE MAC MULTIFAMILY STRUCT FHMS K118 X1             | CUSIP: 3137F62P1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3140851 | PA      | $120595.16    | 0.07%             | 2030-09-25      | Variable      | 0.95%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC MULTIFAMILY STRUCT FHMS K109 X1            | FREDDIE MAC MULTIFAMILY STRUCT FHMS K109 X1             | CUSIP: 3137FTG27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1946167 | PA      | $111365.93    | 0.07%             | 2030-04-25      | Variable      | 1.57%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC MULTIFAMILY STRUCT FHMS K116 X1            | FREDDIE MAC MULTIFAMILY STRUCT FHMS K116 X1             | CUSIP: 3137FWHV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2682746 | PA      | $143506.52    | 0.09%             | 2030-07-25      | Variable      | 1.41%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS FHR 5150 IS                         | FREDDIE MAC REMICS FHR 5150 IS                          | CUSIP: 3137H2Z98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1741000 | PA      | $137227.36    | 0.08%             | 2051-08-25      | Floating      | 0.29%                 | No            |                  2 | On Loan: No      |
| COLT 2021-HX1 MORTGAGE LOAN TR COLT 2021 HX1 B1 144A   | COLT 2021-HX1 MORTGAGE LOAN TR COLT 2021 HX1 B1 144A    | CUSIP: 19688KAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $76414.22     | 0.05%             | 2066-10-25      | Variable      | 3.11%                 | No            |                  2 | On Loan: No      |
| COLT 2025-1 MORTGAGE LOAN TRUS COLT 2025 1 A3 144A     | COLT 2025-1 MORTGAGE LOAN TRUS COLT 2025 1 A3 144A      | CUSIP: 196920AE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    349294 | PA      | $352122.23    | 0.21%             | 2070-01-25      | Variable      | 6.08%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 02/52 FIXED 3.5                      | CUSIP: 3140QNGK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1124270 | PA      | $1051251.08   | 0.63%             | 2052-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 03/52 FIXED 3                        | CUSIP: 3140QNQU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1309700 | PA      | $1173277.09   | 0.70%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 03/52 FIXED 3                        | CUSIP: 3140QNQV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    154634 | PA      | $138529.41    | 0.08%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 11/52 FIXED 4                      | FREDDIE MAC POOL FR 11/52 FIXED 4                       | CUSIP: 3132DTPP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1156996 | PA      | $1106589.53   | 0.66%             | 2052-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 10/54 FIXED 5                      | FREDDIE MAC POOL FR 10/54 FIXED 5                       | CUSIP: 3132DUJC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1114776 | PA      | $1113940.03   | 0.66%             | 2054-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 12/54 FIXED 5.5                    | FREDDIE MAC POOL FR 12/54 FIXED 5.5                     | CUSIP: 3132DUY43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    983623 | PA      | $1003286.68   | 0.60%             | 2054-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 197 IO          | CUSIP: 38384GVP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1618999 | PA      | $136325.86    | 0.08%             | 2065-09-16      | Variable      | 1.24%                 | No            |                  2 | On Loan: No      |
| HOUSTON GALLERIA MALL TRUST 20 HGMT 2025 HGLR A 144A   | HOUSTON GALLERIA MALL TRUST 20 HGMT 2025 HGLR A 144A    | CUSIP: 44216XAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    733000 | PA      | $761236.33    | 0.45%             | 2045-02-05      | Variable      | 5.46%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 01/55 FIXED 5.5                    | FREDDIE MAC POOL FR 01/55 FIXED 5.5                     | CUSIP: 3132DVGR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    875471 | PA      | $898170.89    | 0.54%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 08/50 FIXED 2.5                    | FREDDIE MAC POOL FR 08/50 FIXED 2.5                     | CUSIP: 3132DVLC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    131980 | PA      | $114485.57    | 0.07%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 12/52 FIXED 4.5                    | FREDDIE MAC POOL FR 12/52 FIXED 4.5                     | CUSIP: 3132DVME2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    601498 | PA      | $593404.54    | 0.35%             | 2052-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 10/51 FIXED 2.5                    | FREDDIE MAC POOL FR 10/51 FIXED 2.5                     | CUSIP: 3132DWCJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    741981 | PA      | $634819.89    | 0.38%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 09/51 FIXED 2.5                    | FREDDIE MAC POOL FR 09/51 FIXED 2.5                     | CUSIP: 3133ASJB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    210988 | PA      | $181373.05    | 0.11%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 09/51 FIXED 2.5                    | FREDDIE MAC POOL FR 09/51 FIXED 2.5                     | CUSIP: 3133ASJD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    359273 | PA      | $309742.64    | 0.18%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 01/52 FIXED 2.5                    | FREDDIE MAC POOL FR 01/52 FIXED 2.5                     | CUSIP: 3133B2YC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    730920 | PA      | $629696.21    | 0.38%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 02/52 FIXED 3                      | FREDDIE MAC POOL FR 02/52 FIXED 3                       | CUSIP: 3133B4ZZ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    612832 | PA      | $549380.76    | 0.33%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CONCORD MUSIC ROYALTIES LLC TUNES 2024 1A A 144A       | CONCORD MUSIC ROYALTIES LLC TUNES 2024 1A A 144A        | CUSIP: 20633KAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    200000 | PA      | $201303.16    | 0.12%             | 2074-10-20      | Fixed         | 5.64%                 | No            |                  2 | On Loan: No      |
| CONCORD MUSIC ROYALTIES LLC TUNES 2025 2A A 144A       | CONCORD MUSIC ROYALTIES LLC TUNES 2025 2A A 144A        | CUSIP: 20633KAL2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    250000 | PA      | $253581.45    | 0.15%             | 2075-07-20      | Fixed         | 5.79%                 | No            |                  2 | On Loan: No      |
| ARZ TRUST 2024-BILT ARZ 2024 BILT C 144A               | ARZ TRUST 2024-BILT ARZ 2024 BILT C 144A                | CUSIP: 00218TAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    700000 | PA      | $714548.24    | 0.43%             | 2039-06-11      | Fixed         | 6.36%                 | No            |                  2 | On Loan: No      |
| AandD MORTGAGE TRUST 2024-NQM4 ADMT 2024 NQM4 M1 144A  | AandD MORTGAGE TRUST 2024-NQM4 ADMT 2024 NQM4 M1 144A   | CUSIP: 002939AF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $200740.88    | 0.12%             | 2069-08-25      | Variable      | 5.93%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 07/51 FIXED 2.5                      | CUSIP: 3140QLCL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    853087 | PA      | $735477.94    | 0.44%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 07/51 FIXED 2                        | CUSIP: 3140QLD29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    509841 | PA      | $417753.65    | 0.25%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 07/51 FIXED 2.5                      | CUSIP: 3140QLD94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    278971 | PA      | $238680.21    | 0.14%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 07/51 FIXED 2                        | CUSIP: 3140QLGT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    713685 | PA      | $584779.47    | 0.35%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES CAS 2022 R02 2B1 144A    | CONNECTICUT AVENUE SECURITIES CAS 2022 R02 2B1 144A     | CUSIP: 20754BAF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    300000 | PA      | $311240.46    | 0.19%             | 2042-01-25      | Floating      | 8.68%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES CAS 2023 R06 1B1 144A    | CONNECTICUT AVENUE SECURITIES CAS 2023 R06 1B1 144A     | CUSIP: 20754EAF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    400000 | PA      | $421974.64    | 0.25%             | 2043-07-25      | Floating      | 8.08%                 | No            |                  2 | On Loan: No      |
| BRAVO RESIDENTIAL FUNDING TRUS BRAVO 2021 NQM1 M1 144A | BRAVO RESIDENTIAL FUNDING TRUS BRAVO 2021 NQM1 M1 144A  | CUSIP: 10569TAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $86607.94     | 0.05%             | 2049-02-25      | Variable      | 2.32%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES CAS 2023 R04 1B1 144A    | CONNECTICUT AVENUE SECURITIES CAS 2023 R04 1B1 144A     | CUSIP: 20754QAF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    300000 | PA      | $326250.00    | 0.19%             | 2043-05-25      | Floating      | 9.53%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE   CAS CAS 2025 R06 1B1                      | FANNIE MAE   CAS CAS 2025 R06 1B1                       | CUSIP: 20754YCL3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    270000 | PA      | $271176.47    | 0.16%             | 2045-09-25      | Floating      | 6.03%                 | No            |                  2 | On Loan: No      |
| HUNDRED ACRE WOOD TRUST 2021-I HAWT 2021 INV3 B1 144A  | HUNDRED ACRE WOOD TRUST 2021-I HAWT 2021 INV3 B1 144A   | CUSIP: 44555QBZ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    724331 | PA      | $633670.46    | 0.38%             | 2051-12-25      | Variable      | 3.31%                 | No            |                  2 | On Loan: No      |
| HUDSON YARDS 2025-SPRL MORTGAG HY 2025 SPRL C 144A     | HUDSON YARDS 2025-SPRL MORTGAG HY 2025 SPRL C 144A      | CUSIP: 44855PAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    550000 | PA      | $568525.76    | 0.34%             | 2040-01-13      | Variable      | 5.95%                 | No            |                  2 | On Loan: No      |
| FARM 2025-1 MORTGAGE TRUST FARM 2025 1 A2 144A         | FARM 2025-1 MORTGAGE TRUST FARM 2025 1 A2 144A          | CUSIP: 30768CAB8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    350000 | PA      | $331961.49    | 0.20%             | 2055-08-01      | Variable      | 5.22%                 | No            |                  2 | On Loan: No      |
| IMPERIAL FUND MORTGAGE TRUST 2 IMPRL 2022 NQM5 A3 144A | IMPERIAL FUND MORTGAGE TRUST 2 IMPRL 2022 NQM5 A3 144A  | CUSIP: 45276QAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     66667 | PA      | $66547.00     | 0.04%             | 2067-08-25      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust 2019-Inv1                   | JP MORGAN MORTGAGE TRUST 2019- JPMMT 2019 INV1 B3 144A  | CUSIP: 46591DAZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    583852 | PA      | $570490.99    | 0.34%             | 2049-09-25      | Variable      | 4.92%                 | No            |                  2 | On Loan: No      |
| CONSOLIDATED COMMUNICATIONS LL CNSL 2025 1A A2 144A    | CONSOLIDATED COMMUNICATIONS LL CNSL 2025 1A A2 144A     | CUSIP: 209031AA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    475000 | PA      | $485297.81    | 0.29%             | 2055-05-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CROSS MORTGAGE TRUST CROSS 2024 H2 A3 144A             | CROSS MORTGAGE TRUST CROSS 2024 H2 A3 144A              | CUSIP: 22757BAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    130450 | PA      | $131478.08    | 0.08%             | 2069-04-25      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 09/51 FIXED 2.5                    | FREDDIE MAC POOL FR 09/51 FIXED 2.5                     | CUSIP: 3133KMM77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    140245 | PA      | $121305.11    | 0.07%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 09/51 FIXED 2.5                    | FREDDIE MAC POOL FR 09/51 FIXED 2.5                     | CUSIP: 3133KMQG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    217464 | PA      | $186056.74    | 0.11%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 09/47 FIXED 3.5                    | FREDDIE MAC POOL FR 09/47 FIXED 3.5                     | CUSIP: 3132A5HL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    272204 | PA      | $254780.64    | 0.15%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 01/52 FIXED 2.5                    | FREDDIE MAC POOL FR 01/52 FIXED 2.5                     | CUSIP: 3132DM4H5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    205183 | PA      | $177472.62    | 0.11%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 05/52 FIXED 4                      | FREDDIE MAC POOL FR 05/52 FIXED 4                       | CUSIP: 3133BBF87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    441783 | PA      | $424744.74    | 0.25%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 07/52 FIXED 4.5                    | FREDDIE MAC POOL FR 07/52 FIXED 4.5                     | CUSIP: 3133BGCX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    721842 | PA      | $709027.47    | 0.42%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 07/52 FIXED 4.5                    | FREDDIE MAC POOL FR 07/52 FIXED 4.5                     | CUSIP: 3133BGCZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    985284 | PA      | $970240.26    | 0.58%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 04/53 FIXED 5.5                    | FREDDIE MAC POOL FR 04/53 FIXED 5.5                     | CUSIP: 3133BYCW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    179578 | PA      | $182158.17    | 0.11%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 01/50 FIXED 3.5                    | FREDDIE MAC POOL FR 01/50 FIXED 3.5                     | CUSIP: 3133KHG26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    247571 | PA      | $231492.25    | 0.14%             | 2050-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 06/49 FIXED VAR                      | CUSIP: 3140XBM23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     87160 | PA      | $84370.39     | 0.05%             | 2049-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 08/51 FIXED VAR                      | CUSIP: 3140XCAU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    308667 | PA      | $254362.84    | 0.15%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| TRINITY RAIL LEASING 2025 LLC TRL 2025 1A A 144A       | TRINITY RAIL LEASING 2025 LLC TRL 2025 1A A 144A        | CUSIP: 89657MAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $498623.15    | 0.30%             | 2055-10-19      | Fixed         | 5.09%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust 2024-7                      | VERUS SECURITIZATION TRUST 202 VERUS 2024 7 M1 144A     | CUSIP: 924925AF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $199068.66    | 0.12%             | 2069-09-25      | Variable      | 5.60%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 09/51 FIXED 2                      | FREDDIE MAC POOL FR 09/51 FIXED 2                       | CUSIP: 3133KMSU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    207165 | PA      | $171042.12    | 0.10%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 09/51 FIXED 3                      | FREDDIE MAC POOL FR 09/51 FIXED 3                       | CUSIP: 3133KMT47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    418988 | PA      | $377275.94    | 0.23%             | 2051-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust 2021-1                      | VERUS SECURITIZATION TRUST 202 VERUS 2021 1 A2 144A     | CUSIP: 92537QAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     56069 | PA      | $50625.36     | 0.03%             | 2066-01-25      | Variable      | 1.05%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust 2021-3                      | VERUS SECURITIZATION TRUST 202 VERUS 2021 3 A3 144A     | CUSIP: 92539LAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     60352 | PA      | $53117.79     | 0.03%             | 2066-06-25      | Variable      | 1.44%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 07/51 FIXED VAR                      | CUSIP: 3140XCB64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    232843 | PA      | $201542.74    | 0.12%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 08/51 FIXED VAR                      | CUSIP: 3140XCB72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    451076 | PA      | $389594.02    | 0.23%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust 2024-2                      | VERUS SECURITIZATION TRUST 202 VERUS 2024 2 A3 144A     | CUSIP: 92539UAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    104134 | PA      | $104983.93    | 0.06%             | 2069-02-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust 2024-4                      | VERUS SECURITIZATION TRUST 202 VERUS 2024 4 M1 144A     | CUSIP: 92540GAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $202287.06    | 0.12%             | 2069-06-25      | Variable      | 6.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 07/51 FIXED VAR                      | CUSIP: 3140XCBW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    244209 | PA      | $201778.77    | 0.12%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 09/51 FIXED VAR                      | CUSIP: 3140XCJ74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    456753 | PA      | $377822.87    | 0.23%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 08/51 FIXED VAR                      | CUSIP: 3140XCLU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    242019 | PA      | $209031.55    | 0.12%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 11/50 FIXED VAR                      | CUSIP: 3140XCSB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    190187 | PA      | $172263.17    | 0.10%             | 2050-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST 2024- AOMT 2024 10 M1 144A    | ANGEL OAK MORTGAGE TRUST 2024- AOMT 2024 10 M1 144A     | CUSIP: 034933AD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $200567.12    | 0.12%             | 2069-10-25      | Variable      | 6.01%                 | No            |                  2 | On Loan: No      |
| ARROYO MORTGAGE TRUST 2019-1 ARRW 2019 1 A3 144A       | ARROYO MORTGAGE TRUST 2019-1 ARRW 2019 1 A3 144A        | CUSIP: 042859AC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     95419 | PA      | $93481.84     | 0.06%             | 2049-01-25      | Variable      | 4.21%                 | No            |                  2 | On Loan: No      |
| VTR COMMERCIAL MORTGAGE TRUST VTR 2025 STEM D 144A     | VTR COMMERCIAL MORTGAGE TRUST VTR 2025 STEM D 144A      | CUSIP: 92890YAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $501784.50    | 0.30%             | 2039-10-13      | Variable      | 6.71%                 | No            |                  2 | On Loan: No      |
| WHARF COMMERCIAL MORTGAGE TRUS WHARF 2025 DC D 144A    | WHARF COMMERCIAL MORTGAGE TRUS WHARF 2025 DC D 144A     | CUSIP: 92987LAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    350000 | PA      | $358874.67    | 0.21%             | 2040-07-15      | Variable      | 6.61%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 12/51 FIXED VAR                      | CUSIP: 3140XD6E1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    212602 | PA      | $183491.13    | 0.11%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 12/51 FIXED VAR                      | CUSIP: 3140XD6M3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    565952 | PA      | $489165.82    | 0.29%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAG WFCM 2024 C63 A5        | WELLS FARGO COMMERCIAL MORTGAG WFCM 2024 C63 A5         | CUSIP: 94990FAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    530000 | PA      | $550005.49    | 0.33%             | 2057-08-15      | Fixed         | 5.31%                 | No            |                  2 | On Loan: No      |
| Willis Engine Structured Trust V                       | WILLIS ENGINE STRUCTURED TRUST WESTF 2020 A C 144A      | CUSIP: 97064FAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    157593 | PA      | $154683.96    | 0.09%             | 2045-03-15      | Fixed         | 6.66%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 10/51 FIXED VAR                      | CUSIP: 3140XDFG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    227238 | PA      | $201420.02    | 0.12%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| 321 Henderson Receivables V LLC                        | 321 HENDERSON RECEIVABLES V LL HENDR 2008 3A A1 144A    | CUSIP: 88576VAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    513122 | PA      | $571511.43    | 0.34%             | 2045-06-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Toorak Mortgage Trust 2024-RRTL2                       | TOORAK MORTGAGE TRUST 2024-RRT 09/39 VAR                | CUSIP: 89055JAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300000 | PA      | $300129.81    | 0.18%             | 2039-09-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2019 TPMT 2019 4 B1B 144A    | TOWD POINT MORTGAGE TRUST 2019 TPMT 2019 4 B1B 144A     | CUSIP: 89178BBA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    315000 | PA      | $246544.96    | 0.15%             | 2059-10-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2024 TPMT 2024 4 A1A 144A    | TOWD POINT MORTGAGE TRUST 2024 TPMT 2024 4 A1A 144A     | CUSIP: 89183GAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    672335 | PA      | $675631.30    | 0.40%             | 2064-10-27      | Variable      | 4.55%                 | No            |                  2 | On Loan: No      |
| TRICON RESIDENTIAL 2024-SFR4 T TCN 2024 SFR4 C 144A    | TRICON RESIDENTIAL 2024-SFR4 T TCN 2024 SFR4 C 144A     | CUSIP: 895975AC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    350000 | PA      | $346617.11    | 0.21%             | 2041-11-17      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| TRICON RESIDENTIAL 2024-SFR4 T TCN 2024 SFR4 D 144A    | TRICON RESIDENTIAL 2024-SFR4 T TCN 2024 SFR4 D 144A     | CUSIP: 895975AD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    350000 | PA      | $348789.39    | 0.21%             | 2041-11-17      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                       | UNITED STATES TREASURY NOTE/BO 08/45 4.875              | CUSIP: 912810UN6<br>LEI: N/A                  | Long             | DBT              | UST               | US        |    100000 | PA      | $103000.00    | 0.06%             | 2045-08-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 04/52 FIXED 3.5                    | FREDDIE MAC POOL FR 04/52 FIXED 3.5                     | CUSIP: 3133KN4F7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     94678 | PA      | $87670.86     | 0.05%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 04/52 FIXED 3.5                    | FREDDIE MAC POOL FR 04/52 FIXED 3.5                     | CUSIP: 3133KN4M2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    187738 | PA      | $174723.53    | 0.10%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CROSS 2024-H7 MORTGAGE TRUST CROSS 2024 H7 B1A 144A    | CROSS 2024-H7 MORTGAGE TRUST CROSS 2024 H7 B1A 144A     | CUSIP: 22757CAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $202479.22    | 0.12%             | 2069-11-25      | Variable      | 7.05%                 | No            |                  2 | On Loan: No      |
| CROSS 2024-H5 MORTGAGE TRUST CROSS 2024 H5 A3 144A     | CROSS 2024-H5 MORTGAGE TRUST CROSS 2024 H5 A3 144A      | CUSIP: 22757HAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     75594 | PA      | $76169.13     | 0.05%             | 2069-08-26      | Variable      | 6.16%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 12/51 FIXED 2                      | FREDDIE MAC POOL FR 12/51 FIXED 2                       | CUSIP: 3133KNB36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    694230 | PA      | $565801.09    | 0.34%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 11/51 FIXED 2.5                    | FREDDIE MAC POOL FR 11/51 FIXED 2.5                     | CUSIP: 3133KNBE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    557170 | PA      | $480878.75    | 0.29%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BAHA TRUST 2024-MAR BAHA 2024 MAR A 144A               | BAHA TRUST 2024-MAR BAHA 2024 MAR A 144A                | CUSIP: 05493XAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    800000 | PA      | $827462.96    | 0.49%             | 2041-12-10      | Variable      | 5.97%                 | No            |                  2 | On Loan: No      |
| BBCMS MORTGAGE TRUST 2024-C30 BBCMS 2024 C30 A5        | BBCMS MORTGAGE TRUST 2024-C30 BBCMS 2024 C30 A5         | CUSIP: 05493YAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    600000 | PA      | $633017.76    | 0.38%             | 2057-11-15      | Fixed         | 5.53%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 05/51 FIXED 3                      | FREDDIE MAC POOL FR 05/51 FIXED 3                       | CUSIP: 3132DMUU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    213789 | PA      | $192972.82    | 0.12%             | 2051-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 10/51 FIXED 2.5                    | FREDDIE MAC POOL FR 10/51 FIXED 2.5                     | CUSIP: 3132DMYZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    268321 | PA      | $231581.06    | 0.14%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 04/55 FIXED 5.5                      | CUSIP: 3140MESK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    585362 | PA      | $595417.34    | 0.36%             | 2055-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 03/52 FIXED 3                        | CUSIP: 3140MHUV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1553758 | PA      | $1399682.21   | 0.84%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 05/52 FIXED 4                        | CUSIP: 3140MP5Q0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    278124 | PA      | $267397.90    | 0.16%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 06/52 FIXED 4                        | CUSIP: 3140MQB65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    464369 | PA      | $444283.29    | 0.27%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 09/52 FIXED 4.5                      | CUSIP: 3140N24Z1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    373271 | PA      | $366732.20    | 0.22%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 09/52 FIXED 5                        | CUSIP: 3140N25R8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    162001 | PA      | $162089.67    | 0.10%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 01/35 FIXED 5.1                      | CUSIP: 3140NXJT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    600000 | PA      | $625210.86    | 0.37%             | 2035-01-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 02/35 FIXED 5.18                     | CUSIP: 3140NXPA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    600000 | PA      | $628358.16    | 0.38%             | 2035-02-01      | Fixed         | 5.18%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 10/49 FIXED 3.5                      | CUSIP: 3140QB4Q8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    549784 | PA      | $514249.14    | 0.31%             | 2049-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 03/50 FIXED 3.5                      | CUSIP: 3140QC5P7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    810436 | PA      | $753494.64    | 0.45%             | 2050-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 11/49 FIXED 3.5                      | CUSIP: 3140QCB39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    622971 | PA      | $583484.36    | 0.35%             | 2049-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 12/49 FIXED 3.5                      | CUSIP: 3140QCKV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    224092 | PA      | $208907.15    | 0.12%             | 2049-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 01/50 FIXED 3.5                      | CUSIP: 3140QCSK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    856275 | PA      | $797985.97    | 0.48%             | 2050-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 09/50 FIXED 2                        | CUSIP: 3140QEVT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    536726 | PA      | $442634.03    | 0.26%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 09/50 FIXED 2.5                      | CUSIP: 3140QEW81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    268261 | PA      | $232954.34    | 0.14%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 09/50 FIXED 3                        | CUSIP: 3140QEZR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     73030 | PA      | $65554.06     | 0.04%             | 2050-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 10/50 FIXED 2                        | CUSIP: 3140QFA33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    525406 | PA      | $431985.23    | 0.26%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 10/50 FIXED 3                        | CUSIP: 3140QFF46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    717334 | PA      | $636953.90    | 0.38%             | 2050-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 02/51 FIXED 2                        | CUSIP: 3140QGXH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    316758 | PA      | $259050.22    | 0.15%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 02/51 FIXED 3                        | CUSIP: 3140QHHL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    917492 | PA      | $827298.76    | 0.49%             | 2051-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 05/51 FIXED 2.5                      | CUSIP: 3140QKR91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    592915 | PA      | $509691.35    | 0.30%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 06/51 FIXED 3                        | CUSIP: 3140QKY93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    559306 | PA      | $503275.12    | 0.30%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Agate Bay Mortgage Trust 2013-1                        | AGATE BAY MORTGAGE TRUST 2013- ABMT 2013 1 A1 144A      | CUSIP: 008414AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    139454 | PA      | $130457.97    | 0.08%             | 2043-07-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE OR FREDDIE MAC MBS 30YR TBA                 | FANNIE MAE OR FREDDIE MAC MBS 30YR TBA                  | CUSIP: 01F0206B0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    220000 | PA      | $178423.43    | 0.11%             | N/A             | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CROSS 2025-H1 MORTGAGE TRUST CROSS 2025 H1 B1A 144A    | CROSS 2025-H1 MORTGAGE TRUST CROSS 2025 H1 B1A 144A     | CUSIP: 22758NAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300000 | PA      | $303007.35    | 0.18%             | 2070-02-25      | Variable      | 6.83%                 | No            |                  2 | On Loan: No      |
| CYRUSONE DATA CENTERS ISSUER I CYRUS 2024 3A A2 144A   | CYRUSONE DATA CENTERS ISSUER I CYRUS 2024 3A A2 144A    | CUSIP: 23284BAH7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    550000 | PA      | $535431.44    | 0.32%             | 2049-05-20      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 08/51 FIXED 2                        | CUSIP: 3140QLNM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    220602 | PA      | $179929.35    | 0.11%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 08/51 FIXED 2.5                      | CUSIP: 3140QLRE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    584646 | PA      | $504592.80    | 0.30%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BBCMS MORTGAGE TRUST 2024-5C27 BBCMS 2024 5C27 B       | BBCMS MORTGAGE TRUST 2024-5C27 BBCMS 2024 5C27 B        | CUSIP: 05555FAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $209497.54    | 0.13%             | 2057-07-15      | Variable      | 6.70%                 | No            |                  2 | On Loan: No      |
| BBCMS MORTGAGE TRUST 2024-5C29 BBCMS 2024 5C29 B       | BBCMS MORTGAGE TRUST 2024-5C29 BBCMS 2024 5C29 B        | CUSIP: 05555PAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    595000 | PA      | $607492.68    | 0.36%             | 2057-09-15      | Variable      | 5.86%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 07/53 FIXED 5.5                    | FREDDIE MAC POOL FR 07/53 FIXED 5.5                     | CUSIP: 3132DQUC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    342711 | PA      | $349048.21    | 0.21%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 07/53 FIXED 5                      | FREDDIE MAC POOL FR 07/53 FIXED 5                       | CUSIP: 3132DQW36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    124219 | PA      | $124548.67    | 0.07%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 02/52 FIXED 2                      | FREDDIE MAC POOL FR 02/52 FIXED 2                       | CUSIP: 3133KNSL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    512052 | PA      | $421805.74    | 0.25%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BSTN COMMERCIAL MORTGAGE TRUST BSTN 2025 HUB A 144A    | BSTN COMMERCIAL MORTGAGE TRUST BSTN 2025 HUB A 144A     | CUSIP: 05594GAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $503101.60    | 0.30%             | 2041-04-13      | Variable      | 5.06%                 | No            |                  2 | On Loan: No      |
| BANK 2024-BNK47 BANK 2024 BNK47 A5                     | BANK 2024-BNK47 BANK 2024 BNK47 A5                      | CUSIP: 06540GAV0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    543000 | PA      | $578775.50    | 0.35%             | 2057-06-15      | Fixed         | 5.72%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS FHR 5250 AY                         | FREDDIE MAC REMICS FHR 5250 AY                          | CUSIP: 3137H8N23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    449986 | PA      | $277065.46    | 0.17%             | 2055-01-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 11/46 FIXED VAR                      | CUSIP: 3138ERNB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    163756 | PA      | $149603.12    | 0.09%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 09/52 FIXED 4.5                    | FREDDIE MAC POOL FR 09/52 FIXED 4.5                     | CUSIP: 3132DN2R3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    971294 | PA      | $952274.79    | 0.57%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 09/52 FIXED 4                      | FREDDIE MAC POOL FR 09/52 FIXED 4                       | CUSIP: 3132DN4H3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    170932 | PA      | $163217.84    | 0.10%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 11/46 FIXED 3                        | CUSIP: 3138WJGH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    274921 | PA      | $251159.83    | 0.15%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 03/48 FIXED 4                        | CUSIP: 3140H1V98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    100044 | PA      | $96404.77     | 0.06%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BBCMS MORTGAGE TRUST 2025-C32 BBCMS 2025 C32 A5        | BBCMS MORTGAGE TRUST 2025-C32 BBCMS 2025 C32 A5         | CUSIP: 07337AAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    550000 | PA      | $588272.47    | 0.35%             | 2062-02-15      | Fixed         | 5.72%                 | No            |                  2 | On Loan: No      |
| BLUE STREAM ISSUER LLC BSTRM 2024 1A B 144A            | BLUE STREAM ISSUER LLC BSTRM 2024 1A B 144A             | CUSIP: 09606BAJ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    250000 | PA      | $254156.58    | 0.15%             | 2054-11-20      | Fixed         | 6.04%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 03/51 FIXED 2                        | CUSIP: 3140JSAH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    414847 | PA      | $341213.96    | 0.20%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 01/50 FIXED 3.5                      | CUSIP: 3140K3BF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1095423 | PA      | $1025989.88   | 0.61%             | 2050-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 01/52 FIXED 3                        | CUSIP: 3140M2SK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    133922 | PA      | $120515.89    | 0.07%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| READY CAPITAL MORTGAGE TRUST 2 RCMT 2019 5 E 144A      | READY CAPITAL MORTGAGE TRUST 2 RCMT 2019 5 E 144A       | CUSIP: 75575MAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $224603.53    | 0.13%             | 2052-02-25      | Variable      | 5.22%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL MORTGAGE LOAN TRUS RMLT 2019 3 B2 144A     | RESIDENTIAL MORTGAGE LOAN TRUS RMLT 2019 3 B2 144A      | CUSIP: 76119NAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    354000 | PA      | $354888.22    | 0.21%             | 2059-09-25      | Variable      | 5.66%                 | No            |                  2 | On Loan: No      |
| Residential Mortgage Loan Trust 2020-2                 | RESIDENTIAL MORTGAGE LOAN TRUS RMLT 2020 2 B2 144A      | CUSIP: 76123MAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $244696.85    | 0.15%             | 2060-05-25      | Variable      | 5.40%                 | No            |                  2 | On Loan: No      |
| Retained Vantage Data Centers Issuer LLC               | RETAINED VANTAGE DATA CENTERS VDCR 2024 1A B 144A       | CUSIP: 76134KAJ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    400000 | PA      | $403320.12    | 0.24%             | 2049-09-15      | Fixed         | 5.78%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2025-3 SEMT 2025 3 A20 144A     | SEQUOIA MORTGAGE TRUST 2025-3 SEMT 2025 3 A20 144A      | CUSIP: 817370AV1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    506163 | PA      | $506151.58    | 0.30%             | 2055-04-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2025-1 SEMT 2025 1 A1 144A      | SEQUOIA MORTGAGE TRUST 2025-1 SEMT 2025 1 A1 144A       | CUSIP: 81743EAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    342063 | PA      | $346521.84    | 0.21%             | 2055-01-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2024-1 SEMT 2024 1 B2 144A      | SEQUOIA MORTGAGE TRUST 2024-1 SEMT 2024 1 B2 144A       | CUSIP: 81749GCE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    290814 | PA      | $288633.62    | 0.17%             | 2054-01-25      | Variable      | 5.83%                 | No            |                  2 | On Loan: No      |
| CARS-DB4 L.P.                                          | CARS-DB4 LP CAUTO 2020 1A A6 144A                       | CUSIP: 12510HAF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    244531 | PA      | $231051.78    | 0.14%             | 2050-02-15      | Fixed         | 3.81%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 10/52 FIXED 5.5                      | CUSIP: 3140QQQY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    136015 | PA      | $138606.66    | 0.08%             | 2052-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 09/53 FIXED 4.5                      | CUSIP: 3140QS2M2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    444167 | PA      | $436940.92    | 0.26%             | 2053-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 07/53 FIXED 4.5                      | CUSIP: 3140QSPA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    280066 | PA      | $275597.06    | 0.16%             | 2053-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 09/51 FIXED 2.5                      | CUSIP: 3140QLWK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    396723 | PA      | $342649.20    | 0.20%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 09/51 FIXED 3                        | CUSIP: 3140QLWY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    527160 | PA      | $471549.11    | 0.28%             | 2051-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| DB Master Finance LLC                                  | DB MASTER FINANCE LLC DNKN 2025 1A A2II 144A            | CUSIP: 233046AW1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    530000 | PA      | $533437.32    | 0.32%             | 2055-08-20      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| DEXT ABS 2023-2 LLC DEXT 2023 2 D 144A                 | DEXT ABS 2023-2 LLC DEXT 2023 2 D 144A                  | CUSIP: 25216CAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $530894.10    | 0.32%             | 2034-05-15      | Fixed         | 8.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 10/51 FIXED 2                        | CUSIP: 3140QMAB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    543675 | PA      | $448874.25    | 0.27%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 12/51 FIXED 3                        | CUSIP: 3140QMVL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    345257 | PA      | $310696.28    | 0.19%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust 2019-Inv1                   | JP MORGAN MORTGAGE TRUST 2019- JPMMT 2019 INV1 B5 144A  | CUSIP: 46591DBB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    341971 | PA      | $301723.32    | 0.18%             | 2049-09-25      | Variable      | 4.92%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust 2019-INV3                   | JP MORGAN MORTGAGE TRUST 2019- JPMMT 2019 INV3 A15 144A | CUSIP: 46591LBH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    113863 | PA      | $102784.56    | 0.06%             | 2050-05-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 07/53 FIXED 5                        | CUSIP: 3140QSPR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    232943 | PA      | $233241.38    | 0.14%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 02/54 FIXED 5.5                      | CUSIP: 3140QT2S7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    181803 | PA      | $184471.28    | 0.11%             | 2054-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| DIAMOND INFRASTRUCTURE FUNDING DNFRA 2021 1A C 144A    | DIAMOND INFRASTRUCTURE FUNDING DNFRA 2021 1A C 144A     | CUSIP: 25265LAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    200000 | PA      | $192714.96    | 0.12%             | 2049-04-15      | Fixed         | 3.48%                 | No            |                  2 | On Loan: No      |
| Domino's Pizza Master Issuer LLC                       | DOMINO'S PIZZA MASTER ISSUER L DPABS 2025 1A A2II 144A  | CUSIP: 25755TAR1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    165000 | PA      | $166861.53    | 0.10%             | 2055-07-25      | Fixed         | 5.22%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 10/52 FIXED 4.5                    | FREDDIE MAC POOL FR 10/52 FIXED 4.5                     | CUSIP: 3132DN4Z3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    107317 | PA      | $105604.96    | 0.06%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 10/50 FIXED 2                        | CUSIP: 3140KNKN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    351077 | PA      | $287446.49    | 0.17%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 02/52 FIXED 2                        | CUSIP: 3140QNB84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    931543 | PA      | $767363.72    | 0.46%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 06/54 FIXED VAR                      | CUSIP: 3140XQC39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    958002 | PA      | $979548.39    | 0.58%             | 2054-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 10/53 FIXED 5.5                      | CUSIP: 3140QTED7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    279592 | PA      | $283608.90    | 0.17%             | 2053-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 04/54 FIXED 5                        | CUSIP: 3140QUG75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    136712 | PA      | $136630.63    | 0.08%             | 2054-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Driven Brands Funding LLC                              | DRIVEN BRANDS FUNDING LLC HONK 2024 1A A2 144A          | CUSIP: 26209XAH4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    627062 | PA      | $648378.49    | 0.39%             | 2054-10-20      | Fixed         | 6.37%                 | No            |                  2 | On Loan: No      |
| Driven Brands Funding LLC                              | DRIVEN BRANDS FUNDING LLC HONK 2025 1A A2 144A          | CUSIP: 26209XAK7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    400000 | PA      | $397744.16    | 0.24%             | 2055-10-20      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 06/53 FIXED 5                      | FREDDIE MAC POOL FR 06/53 FIXED 5                       | CUSIP: 3132DQWL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    260300 | PA      | $260295.82    | 0.16%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 03/54 FIXED 5                      | FREDDIE MAC POOL FR 03/54 FIXED 5                       | CUSIP: 3132DS3T7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    400124 | PA      | $402512.04    | 0.24%             | 2054-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 04/54 FIXED 5.5                      | CUSIP: 3140QUHG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    515054 | PA      | $522453.49    | 0.31%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 04/54 FIXED 5.5                      | CUSIP: 3140QUHH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    892533 | PA      | $905354.91    | 0.54%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 06/52 FIXED VAR                      | CUSIP: 3140XHMF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    358620 | PA      | $354018.42    | 0.21%             | 2052-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 07/52 FIXED VAR                      | CUSIP: 3140XHRP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    275664 | PA      | $271438.30    | 0.16%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 08/51 FIXED 3.5                      | CUSIP: 31418D3K6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    264859 | PA      | $246167.58    | 0.15%             | 2051-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 11/53 FIXED 5.5                      | CUSIP: 31418EXU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    315700 | PA      | $319742.29    | 0.19%             | 2053-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 08/53 FIXED 4.5                    | FREDDIE MAC POOL FR 08/53 FIXED 4.5                     | CUSIP: 3132DT2M1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    277961 | PA      | $273438.67    | 0.16%             | 2053-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 08/52 FIXED 3.5                    | FREDDIE MAC POOL FR 08/52 FIXED 3.5                     | CUSIP: 3132DTDL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1065299 | PA      | $993779.89    | 0.59%             | 2052-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 01/55 FIXED 5.5                      | CUSIP: 3140QV3A0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    272554 | PA      | $279705.61    | 0.17%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 10/54 FIXED 5                        | CUSIP: 3140QVK60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    483405 | PA      | $485836.91    | 0.29%             | 2054-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 10/51 FIXED 2.5                      | CUSIP: 3140M2FB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    767205 | PA      | $663113.94    | 0.40%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 01/52 FIXED 2.5                      | CUSIP: 3140M2S29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    508205 | PA      | $438301.04    | 0.26%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 04/53 FIXED 4                      | FREDDIE MAC POOL FR 04/53 FIXED 4                       | CUSIP: 3132DTER7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    592573 | PA      | $568237.87    | 0.34%             | 2053-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 09/52 FIXED 3.5                    | FREDDIE MAC POOL FR 09/52 FIXED 3.5                     | CUSIP: 3132DTLY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    330870 | PA      | $306485.39    | 0.18%             | 2052-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 07/52 FIXED VAR                      | CUSIP: 3140XHVU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    147649 | PA      | $136490.57    | 0.08%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 02/52 FIXED VAR                      | CUSIP: 3140XHWZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    561149 | PA      | $502872.95    | 0.30%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Duke Energy Progress Nc Storm Funding II LLC           | DUKE ENERGY PROGRESS NC STORM SR SECURED 01/48 4.89     | CUSIP: 26443NAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    500000 | PA      | $500158.11    | 0.30%             | 2046-01-01      | Fixed         | 4.89%                 | No            |                  2 | On Loan: No      |
| ELLINGTON FINANCIAL MORTGAGE T EFMT 2022 4 A1 144A     | ELLINGTON FINANCIAL MORTGAGE T EFMT 2022 4 A1 144A      | CUSIP: 268432AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    239293 | PA      | $239264.91    | 0.14%             | 2067-09-25      | Variable      | 5.90%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 04/52 FIXED 3.5                    | FREDDIE MAC POOL FR 04/52 FIXED 3.5                     | CUSIP: 3132DNCA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1072546 | PA      | $997881.48    | 0.60%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 07/52 FIXED 4                      | FREDDIE MAC POOL FR 07/52 FIXED 4                       | CUSIP: 3132DNET6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    721398 | PA      | $691771.96    | 0.41%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 01/52 FIXED 3                      | FREDDIE MAC POOL FR 01/52 FIXED 3                       | CUSIP: 3132DNFD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    232638 | PA      | $207315.57    | 0.12%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2025-4 SEMT 2025 4 A19 144A     | SEQUOIA MORTGAGE TRUST 2025-4 SEMT 2025 4 A19 144A      | CUSIP: 81749MAU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    349643 | PA      | $352907.26    | 0.21%             | 2055-04-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2025-S1 SEMT 2025 S1 A1 144A    | SEQUOIA MORTGAGE TRUST 2025-S1 SEMT 2025 S1 A1 144A     | CUSIP: 81749TAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    481836 | PA      | $404384.54    | 0.24%             | 2054-09-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE OR FREDDIE MAC MBS 30YR TBA                 | FANNIE MAE OR FREDDIE MAC MBS 30YR TBA                  | CUSIP: 01F0226B6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1320000 | PA      | $1120195.30   | 0.67%             | N/A             | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE OR FREDDIE MAC MBS 30YR TBA                 | FANNIE MAE OR FREDDIE MAC MBS 30YR TBA                  | CUSIP: 01F0306B9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    790000 | PA      | $699828.93    | 0.42%             | N/A             | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 05/55 FIXED 5                      | FREDDIE MAC POOL FR 05/55 FIXED 5                       | CUSIP: 31426KTL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    999906 | PA      | $998171.38    | 0.60%             | 2055-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE OR FREDDIE MAC MBS 30YR TBA                 | FANNIE MAE OR FREDDIE MAC MBS 30YR TBA                  | CUSIP: 01F0326B5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    200000 | PA      | $184296.88    | 0.11%             | N/A             | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE OR FREDDIE MAC MBS 30YR TBA                 | FANNIE MAE OR FREDDIE MAC MBS 30YR TBA                  | CUSIP: 01F0406B8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    555000 | PA      | $526469.56    | 0.31%             | N/A             | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 06/52 FIXED VAR                      | CUSIP: 3140XJCU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1215141 | PA      | $1088568.08   | 0.65%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 09/52 FIXED VAR                      | CUSIP: 3140XJM91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    240014 | PA      | $229632.43    | 0.14%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 12/51 FIXED 2                      | FREDDIE MAC POOL FR 12/51 FIXED 2                       | CUSIP: 3133KNGP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    669700 | PA      | $548111.43    | 0.33%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 12/51 FIXED 2                      | FREDDIE MAC POOL FR 12/51 FIXED 2                       | CUSIP: 3133KNGS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1184231 | PA      | $975516.99    | 0.58%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 10/54 FIXED 5                        | CUSIP: 3140QVMK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1410221 | PA      | $1414671.80   | 0.84%             | 2054-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 10/54 FIXED 5.5                      | CUSIP: 3140QVMQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    775379 | PA      | $785791.00    | 0.47%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 11/54 FIXED 5                        | CUSIP: 3140QVPP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1007808 | PA      | $1007524.00   | 0.60%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 11/54 FIXED 5                        | CUSIP: 3140QVQT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    962794 | PA      | $967337.48    | 0.58%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 12/54 FIXED 5                        | CUSIP: 3140QVWK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    506853 | PA      | $507660.66    | 0.30%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 02/55 FIXED 5                        | CUSIP: 3140QWB84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    220508 | PA      | $220859.84    | 0.13%             | 2055-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 07/52 FIXED 4                      | FREDDIE MAC POOL FR 07/52 FIXED 4                       | CUSIP: 3132DNHF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1359748 | PA      | $1300188.67   | 0.78%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 08/52 FIXED 3.5                    | FREDDIE MAC POOL FR 08/52 FIXED 3.5                     | CUSIP: 3132DNXP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    549915 | PA      | $514199.64    | 0.31%             | 2052-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 02/55 FIXED 5.5                      | CUSIP: 3140QWCK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    480786 | PA      | $491298.95    | 0.29%             | 2055-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 04/50 FIXED VAR                      | CUSIP: 3140X6RB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     89401 | PA      | $86315.87     | 0.05%             | 2050-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 12/50 FIXED VAR                      | CUSIP: 3140X8YL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    618250 | PA      | $509866.49    | 0.30%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 04/51 FIXED VAR                      | CUSIP: 3140XA2S0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    605466 | PA      | $497431.37    | 0.30%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 04/51 FIXED VAR                      | CUSIP: 3140XBLN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    162131 | PA      | $151499.82    | 0.09%             | 2051-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 11/51 FIXED VAR                      | CUSIP: 3140XDQS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    196755 | PA      | $177228.47    | 0.11%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 12/51 FIXED VAR                      | CUSIP: 3140XDY67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    398959 | PA      | $344082.08    | 0.21%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 03/52 FIXED VAR                      | CUSIP: 3140XF4G3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    610901 | PA      | $503232.61    | 0.30%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 01/52 FIXED VAR                      | CUSIP: 3140XFNV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    151751 | PA      | $136370.79    | 0.08%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 01/52 FIXED VAR                      | CUSIP: 3140XFPJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1204980 | PA      | $1042246.65   | 0.62%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Elara HGV Timeshare Issuer 2021-A LLC                  | ELARA HGV TIMESHARE ISSUER 202 EHGVT 2021 A D 144A      | CUSIP: 28416LAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     50479 | PA      | $47977.22     | 0.03%             | 2035-08-27      | Fixed         | 3.32%                 | No            |                  2 | On Loan: No      |
| ELARA HGV TIMESHARE ISSUER 202 EHGVT 2025 A D 144A     | ELARA HGV TIMESHARE ISSUER 202 EHGVT 2025 A D 144A      | CUSIP: 28416VAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    234579 | PA      | $233954.68    | 0.14%             | 2040-01-25      | Fixed         | 6.91%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 01/52 FIXED VAR                      | CUSIP: 3140XFPZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    466527 | PA      | $402647.31    | 0.24%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 07/51 FIXED VAR                      | CUSIP: 3140XGGK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    189368 | PA      | $155993.23    | 0.09%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 03/52 FIXED VAR                      | CUSIP: 3140XGLJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    278699 | PA      | $249843.23    | 0.15%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 04/52 FIXED VAR                      | CUSIP: 3140XGV89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1098612 | PA      | $983834.00    | 0.59%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 12/51 FIXED VAR                      | CUSIP: 3140XH3L9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    422739 | PA      | $379200.22    | 0.23%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 06/52 FIXED VAR                      | CUSIP: 3140XHJL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    336291 | PA      | $322480.67    | 0.19%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SERVPRO Master Issuer LLC                              | SERVPRO MASTER ISSUER LLC SPRO 2024 1A A2 144A          | CUSIP: 817743AJ6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    196500 | PA      | $202873.99    | 0.12%             | 2054-01-25      | Fixed         | 6.17%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 10/52 FIXED VAR                      | CUSIP: 3140XJPY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    119152 | PA      | $117251.07    | 0.07%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 11/52 FIXED VAR                      | CUSIP: 3140XJWM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     75155 | PA      | $73955.51     | 0.04%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 07/51 FIXED VAR                      | CUSIP: 3140XKES5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    292575 | PA      | $239547.29    | 0.14%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| NY COMMERCIAL MORTGAGE TRUST 2 NY 2025 299P A 144A     | NY COMMERCIAL MORTGAGE TRUST 2 NY 2025 299P A 144A      | CUSIP: 62957FAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    800000 | PA      | $840478.56    | 0.50%             | 2047-02-10      | Variable      | 5.66%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 11/54 FIXED 5                      | FREDDIE MAC POOL FR 11/54 FIXED 5                       | CUSIP: 3132DU4X2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1052585 | PA      | $1058209.76   | 0.63%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 01/52 FIXED 2                      | FREDDIE MAC POOL FR 01/52 FIXED 2                       | CUSIP: 3133B1RZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    435414 | PA      | $354864.36    | 0.21%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| NEIGHBORLY ISSUER 2022-1 NBLY 2022 1A A2 144A          | NEIGHBORLY ISSUER 2022-1 NBLY 2022 1A A2 144A           | CUSIP: 64016NAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    290675 | PA      | $273314.06    | 0.16%             | 2052-01-30      | Fixed         | 3.69%                 | No            |                  2 | On Loan: No      |
| NYMT Loan Trust 2025-CP1                               | NYMT LOAN TRUST 2025-CP1 NYMT 2025 CP1 A1 144A          | CUSIP: 67121VAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    484071 | PA      | $464710.41    | 0.28%             | 2069-11-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| ENFIN RESIDENTIAL SOLAR RECEIV ENFIN 2024 1A A 144A    | ENFIN RESIDENTIAL SOLAR RECEIV ENFIN 2024 1A A 144A     | CUSIP: 29281LAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    507826 | PA      | $506933.34    | 0.30%             | 2055-02-20      | Fixed         | 6.65%                 | No            |                  2 | On Loan: No      |
| FS COMMERCIAL MORTGAGE TRUST 2 FS 2023 4SZN B 144A     | FS COMMERCIAL MORTGAGE TRUST 2 FS 2023 4SZN B 144A      | CUSIP: 30334RAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    380000 | PA      | $388695.35    | 0.23%             | 2039-11-10      | Variable      | 7.54%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 10/52 FIXED 4                      | FREDDIE MAC POOL FR 10/52 FIXED 4                       | CUSIP: 3132DNZ48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1099467 | PA      | $1051566.90   | 0.63%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 07/52 FIXED 4.5                    | FREDDIE MAC POOL FR 07/52 FIXED 4.5                     | CUSIP: 3132DPAG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    282321 | PA      | $277904.76    | 0.17%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE OR FREDDIE MAC MBS 30YR TBA                 | FANNIE MAE OR FREDDIE MAC MBS 30YR TBA                  | CUSIP: 01F0426B4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    895000 | PA      | $872345.31    | 0.52%             | N/A             | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE OR FREDDIE MAC MBS 30YR TBA                 | FANNIE MAE OR FREDDIE MAC MBS 30YR TBA                  | CUSIP: 01F0506B7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    825000 | PA      | $820939.43    | 0.49%             | N/A             | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| OBX 2024-NQM12 Trust                                   | OBX 2024-NQM12 TRUST OBX 2024 NQM12 A2 144A             | CUSIP: 67448PAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    184281 | PA      | $185252.69    | 0.11%             | 2064-07-25      | Variable      | 5.78%                 | No            |                  2 | On Loan: No      |
| OBX 2020-EXP2 Trust                                    | OBX 2020-EXP2 TRUST OBX 2020 EXP2 A8 144A               | CUSIP: 67448VAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     63357 | PA      | $56656.49     | 0.03%             | 2060-05-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 09/52 FIXED 4                      | FREDDIE MAC POOL FR 09/52 FIXED 4                       | CUSIP: 3132DPAL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    115948 | PA      | $111186.71    | 0.07%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 07/53 FIXED 5                      | FREDDIE MAC POOL FR 07/53 FIXED 5                       | CUSIP: 3132DQ3C8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    176757 | PA      | $177047.30    | 0.11%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FLAGSTAR MORTGAGE TRUST 2021-6 FSMT 2021 6INV A4 144A  | FLAGSTAR MORTGAGE TRUST 2021-6 FSMT 2021 6INV A4 144A   | CUSIP: 33851GAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    175628 | PA      | $147178.00    | 0.09%             | 2051-08-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| FLAGSTAR MORTGAGE TRUST 2021-3 FSMT 2021 3INV A18 144A | FLAGSTAR MORTGAGE TRUST 2021-3 FSMT 2021 3INV A18 144A  | CUSIP: 33852CAU7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    317956 | PA      | $314534.40    | 0.19%             | 2051-06-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE OR FREDDIE MAC MBS 30YR TBA                 | FANNIE MAE OR FREDDIE MAC MBS 30YR TBA                  | CUSIP: 01F0526B3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1350000 | PA      | $1364027.31   | 0.81%             | N/A             | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE OR FREDDIE MAC MBS 30YR TBA                 | FANNIE MAE OR FREDDIE MAC MBS 30YR TBA                  | CUSIP: 01F0606B6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    100000 | PA      | $102269.53    | 0.06%             | N/A             | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 03/52 FIXED 3.5                    | FREDDIE MAC POOL FR 03/52 FIXED 3.5                     | CUSIP: 3133KNVB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    189802 | PA      | $175932.55    | 0.11%             | 2052-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 03/52 FIXED 2                      | FREDDIE MAC POOL FR 03/52 FIXED 2                       | CUSIP: 3133KNW41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1479967 | PA      | $1220981.10   | 0.73%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 03/51 FIXED 2                      | FREDDIE MAC POOL FR 03/51 FIXED 2                       | CUSIP: 3132DQGL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    315247 | PA      | $258110.52    | 0.15%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 04/52 FIXED 2.5                    | FREDDIE MAC POOL FR 04/52 FIXED 2.5                     | CUSIP: 3132DQJS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    104326 | PA      | $90106.70     | 0.05%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST 2022- AOMT 2022 5 A1 144A     | ANGEL OAK MORTGAGE TRUST 2022- AOMT 2022 5 A1 144A      | CUSIP: 03464HAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    341586 | PA      | $339535.73    | 0.20%             | 2067-05-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST 2022- AOMT 2022 2 A2 144A     | ANGEL OAK MORTGAGE TRUST 2022- AOMT 2022 2 A2 144A      | CUSIP: 03464PAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1007422 | PA      | $934046.16    | 0.56%             | 2067-01-25      | Variable      | 3.76%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL G2 09/49 FIXED 2.5                  | GINNIE MAE II POOL G2 09/49 FIXED 2.5                   | CUSIP: 36179UZR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    617043 | PA      | $538802.47    | 0.32%             | 2049-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL G2 02/51 FIXED 2.5                  | GINNIE MAE II POOL G2 02/51 FIXED 2.5                   | CUSIP: 36179V7E4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    222241 | PA      | $192671.75    | 0.12%             | 2051-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 03/52 FIXED 3.5                    | FREDDIE MAC POOL FR 03/52 FIXED 3.5                     | CUSIP: 3133KNWL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    945038 | PA      | $879820.60    | 0.53%             | 2052-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 03/52 FIXED 3.5                    | FREDDIE MAC POOL FR 03/52 FIXED 3.5                     | CUSIP: 3133KNXP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    519249 | PA      | $483253.68    | 0.29%             | 2052-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 06/52 FIXED 4.5                    | FREDDIE MAC POOL FR 06/52 FIXED 4.5                     | CUSIP: 3133KPME5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1121127 | PA      | $1099034.55   | 0.66%             | 2052-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 07/52 FIXED 4.5                    | FREDDIE MAC POOL FR 07/52 FIXED 4.5                     | CUSIP: 3133KPQZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    406666 | PA      | $398651.94    | 0.24%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 03/52 FIXED 2.5                      | CUSIP: 3140QNL75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    213431 | PA      | $182206.16    | 0.11%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 03/52 FIXED 3                        | CUSIP: 3140QNN99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1175185 | PA      | $1056813.70   | 0.63%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 03/52 FIXED 2                        | CUSIP: 3140QNNU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1141196 | PA      | $941492.55    | 0.56%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL G2 06/50 FIXED 2.5                  | GINNIE MAE II POOL G2 06/50 FIXED 2.5                   | CUSIP: 36179VN22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    433709 | PA      | $376275.16    | 0.22%             | 2050-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Hotwire Funding LLC                                    | HOTWIRE FUNDING LLC HWIRE 2024 1A B 144A                | CUSIP: 44148JAK5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    250000 | PA      | $255028.50    | 0.15%             | 2054-06-20      | Fixed         | 6.67%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 04/52 FIXED 3.5                      | CUSIP: 3140QNT36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    152778 | PA      | $141470.48    | 0.08%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 08/50 FIXED 3                      | FREDDIE MAC POOL FR 08/50 FIXED 3                       | CUSIP: 3133KJXK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    336081 | PA      | $298526.93    | 0.18%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 02/51 FIXED 2                      | FREDDIE MAC POOL FR 02/51 FIXED 2                       | CUSIP: 3133KK5P0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    607071 | PA      | $498750.19    | 0.30%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST 2022- AOMT 2022 3 A1 144A     | ANGEL OAK MORTGAGE TRUST 2022- AOMT 2022 3 A1 144A      | CUSIP: 03464TAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    352624 | PA      | $345032.71    | 0.21%             | 2067-01-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST 2022- AOMT 2022 6 A1 144A     | ANGEL OAK MORTGAGE TRUST 2022- AOMT 2022 6 A1 144A      | CUSIP: 03465VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    691768 | PA      | $688021.59    | 0.41%             | 2067-07-25      | Variable      | 4.30%                 | No            |                  2 | On Loan: No      |
| BUSINESS JET SECURITIES 2024-2 BJETS 2024 2A A 144A    | BUSINESS JET SECURITIES 2024-2 BJETS 2024 2A A 144A     | CUSIP: 12326TAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    165449 | PA      | $166524.65    | 0.10%             | 2039-09-15      | Fixed         | 5.36%                 | No            |                  2 | On Loan: No      |
| CARS-DB4 L.P.                                          | CARS-DB4 LP CAUTO 2020 1A B3 144A                       | CUSIP: 12510HAJ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $91215.22     | 0.05%             | 2050-02-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 11/51 FIXED 2.5                    | FREDDIE MAC POOL FR 11/51 FIXED 2.5                     | CUSIP: 3133KNBF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    168824 | PA      | $145601.81    | 0.09%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 05/52 FIXED 4                      | FREDDIE MAC POOL FR 05/52 FIXED 4                       | CUSIP: 3133KPGQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    187365 | PA      | $179026.37    | 0.11%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 06/53 FIXED 5                      | FREDDIE MAC POOL FR 06/53 FIXED 5                       | CUSIP: 3133KRJB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    685483 | PA      | $686361.39    | 0.41%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 08/53 FIXED 5                      | FREDDIE MAC POOL FR 08/53 FIXED 5                       | CUSIP: 3133KRVH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    166423 | PA      | $166532.58    | 0.10%             | 2053-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 01/52 FIXED 3                      | FREDDIE MAC POOL FR 01/52 FIXED 3                       | CUSIP: 3133USHU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    239645 | PA      | $214757.46    | 0.13%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS FNR 2022 22 B                        | FANNIE MAE REMICS FNR 2022 22 B                         | CUSIP: 3136BMH27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    400000 | PA      | $241960.16    | 0.14%             | 2054-07-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| IRV TRUST 2025-200P IRV 2025 200P B 144A               | IRV TRUST 2025-200P IRV 2025 200P B 144A                | CUSIP: 45006HAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    550000 | PA      | $556222.04    | 0.33%             | 2047-03-14      | Variable      | 5.44%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 03/52 FIXED 3                        | CUSIP: 3140QNPA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    836977 | PA      | $752149.04    | 0.45%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PMT LOAN TRUST 2025-INV6 PMTLT 2025 INV6 A29 144A      | PMT LOAN TRUST 2025-INV6 PMTLT 2025 INV6 A29 144A       | CUSIP: 69382MBE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    332078 | PA      | $335385.51    | 0.20%             | 2056-06-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| PMT LOAN TRUST 2025-INV8 PMTLT 2025 INV8 A28 144A      | PMT LOAN TRUST 2025-INV8 PMTLT 2025 INV8 A28 144A       | CUSIP: 73015EBD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    390387 | PA      | $395251.23    | 0.24%             | 2056-07-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 04/52 FIXED 3.5                      | CUSIP: 3140QNUG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    125941 | PA      | $116659.25    | 0.07%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 04/52 FIXED 2.5                      | CUSIP: 3140QNUV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1126057 | PA      | $972222.12    | 0.58%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 04/52 FIXED 3.5                      | CUSIP: 3140QNYY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    492783 | PA      | $454925.91    | 0.27%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 06/52 FIXED 4                        | CUSIP: 3140QPJA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1110616 | PA      | $1062577.20   | 0.63%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST 2024- AOMT 2024 3 A1 144A     | ANGEL OAK MORTGAGE TRUST 2024- AOMT 2024 3 A1 144A      | CUSIP: 03466HAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    164688 | PA      | $163980.27    | 0.10%             | 2068-11-26      | Variable      | 4.80%                 | No            |                  2 | On Loan: No      |
| Arby's Funding Llc                                     | ARBYS FUNDING LLC ARBYS 2020 1A A2 144A                 | CUSIP: 038779AB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    473750 | PA      | $457979.43    | 0.27%             | 2050-07-30      | Fixed         | 3.24%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 06/52 FIXED 4.5                      | CUSIP: 3140QPJJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    263493 | PA      | $259700.49    | 0.16%             | 2052-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 07/52 FIXED 4.5                      | CUSIP: 3140QPPS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    452905 | PA      | $443980.18    | 0.27%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2019-OC11 BX 2019 OC11 D 144A                 | BX TRUST 2019-OC11 BX 2019 OC11 D 144A                  | CUSIP: 05606FAL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $473463.10    | 0.28%             | 2041-12-09      | Variable      | 3.94%                 | No            |                  2 | On Loan: No      |
| CARS-DB6 LP CAUTO 2022 1A B 144A                       | CARS-DB6 LP CAUTO 2022 1A B 144A                        | CUSIP: 12510HAR1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    175000 | PA      | $163689.68    | 0.10%             | 2052-03-15      | Fixed         | 4.68%                 | No            |                  2 | On Loan: No      |
| Capital Automotive REIT                                | CAPITAL AUTOMOTIVE REIT CAUTO 2024 2A A2 144A           | CUSIP: 12510HAX8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    343802 | PA      | $342174.74    | 0.20%             | 2054-05-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| CCG RECEIVABLES TRUST 2025-2 CCG 2025 2 D 144A         | CCG RECEIVABLES TRUST 2025-2 CCG 2025 2 D 144A          | CUSIP: 12516XAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    235000 | PA      | $234372.32    | 0.14%             | 2034-08-15      | Fixed         | 5.08%                 | No            |                  2 | On Loan: No      |
| CLI Funding VIII LLC                                   | CLI FUNDING VIII LLC CLIF 2021 1A B 144A                | CUSIP: 12565KAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    148064 | PA      | $136974.52    | 0.08%             | 2046-02-18      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| CLI Funding VIII LLC                                   | CLI FUNDING VIII LLC CLIF 2022 1A B 144A                | CUSIP: 12565KAF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    276587 | PA      | $252261.84    | 0.15%             | 2047-01-18      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| EFMT 2025-CES1 EFMT 2025 CES1 A2 144A                  | EFMT 2025-CES1 EFMT 2025 CES1 A2 144A                   | CUSIP: 26846VAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300000 | PA      | $305124.39    | 0.18%             | 2060-01-25      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| EXTENET ISSUER LLC EXTNT 2024 1A B 144A                | EXTENET ISSUER LLC EXTNT 2024 1A B 144A                 | CUSIP: 30227XAJ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    300000 | PA      | $304130.70    | 0.18%             | 2054-07-25      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL G2 07/51 FIXED 2.5                  | GINNIE MAE II POOL G2 07/51 FIXED 2.5                   | CUSIP: 36179WJR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    497920 | PA      | $431360.70    | 0.26%             | 2051-07-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL G2 05/53 FIXED 3                    | GINNIE MAE II POOL G2 05/53 FIXED 3                     | CUSIP: 36179X2F2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    209865 | PA      | $190291.98    | 0.11%             | 2053-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL G2 03/53 FIXED 2.5                  | GINNIE MAE II POOL G2 03/53 FIXED 2.5                   | CUSIP: 36179XVM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    430868 | PA      | $374416.18    | 0.22%             | 2053-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES GSMBS 2022 LTV2 A33 144A | GS MORTGAGE-BACKED SECURITIES GSMBS 2022 LTV2 A33 144A  | CUSIP: 36268SDA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    931967 | PA      | $863707.74    | 0.52%             | 2052-12-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust 2023-PJ2           | GS MORTGAGE-BACKED SECURITIES GSMBS 2023 PJ2 A3 144A    | CUSIP: 362938AD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    236354 | PA      | $234396.04    | 0.14%             | 2053-05-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| GCAT 2023-INV1 TRUST GCAT 2023 INV1 A1 144A            | GCAT 2023-INV1 TRUST GCAT 2023 INV1 A1 144A             | CUSIP: 36830QAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    679192 | PA      | $688929.36    | 0.41%             | 2053-08-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| GCAT 2024-NQM2 TRUST GCAT 2024 NQM2 M1 144A            | GCAT 2024-NQM2 TRUST GCAT 2024 NQM2 M1 144A             | CUSIP: 36831CAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $202082.52    | 0.12%             | 2059-06-25      | Variable      | 6.57%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GOVERNMENT NATIONAL MORTGAGE A GNR 2014 135 IO          | CUSIP: 38378XPE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  13217503 | PA      | $277110.24    | 0.17%             | 2056-01-16      | Variable      | 0.41%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 159 IO          | CUSIP: 38380JAH1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3663117 | PA      | $92591.52     | 0.06%             | 2059-06-16      | Variable      | 0.43%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 07/52 FIXED 4                        | CUSIP: 3140QPRK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    214579 | PA      | $205364.74    | 0.12%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 07/52 FIXED 4.5                      | CUSIP: 3140QPVD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    712732 | PA      | $698687.37    | 0.42%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JGWPT XXX LLC HENDR 2013 3A A 144A                     | JGWPT XXX LLC HENDR 2013 3A A 144A                      | CUSIP: 46617LAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    611833 | PA      | $581885.45    | 0.35%             | 2073-01-17      | Fixed         | 4.08%                 | No            |                  2 | On Loan: No      |
| OBX 2023-NQM10 Trust                                   | OBX 2023-NQM10 TRUST OBX 2023 NQM10 A3 144A             | CUSIP: 67449CAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    254587 | PA      | $257464.00    | 0.15%             | 2063-10-25      | Variable      | 7.17%                 | No            |                  2 | On Loan: No      |
| OXFORD FINANCE CREDIT FUND III OXFINF 2025 A A2 144A   | OXFORD FINANCE CREDIT FUND III OXFINF 2025 A A2 144A    | CUSIP: 69145VAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    250000 | PA      | $252152.03    | 0.15%             | 2034-08-14      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| ROCK TRUST 2024-CNTR ROCC 2024 CNTR D 144A             | ROCK TRUST 2024-CNTR ROCC 2024 CNTR D 144A              | CUSIP: 74970WAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    400000 | PA      | $418155.88    | 0.25%             | 2041-11-13      | Fixed         | 7.11%                 | No            |                  2 | On Loan: No      |
| RIDE 2025-SHRE RIDE 2025 SHRE E 144A                   | RIDE 2025-SHRE RIDE 2025 SHRE E 144A                    | CUSIP: 765692AJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    450000 | PA      | $459976.28    | 0.27%             | 2047-02-14      | Variable      | 7.81%                 | No            |                  2 | On Loan: No      |
| Sesac Finance LLC                                      | SESAC FINANCE LLC SESAC 2025 1 A2 144A                  | CUSIP: 78396YAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    420000 | PA      | $418892.71    | 0.25%             | 2055-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PROGRESS RESIDENTIAL 2021-SFR5 PROG 2021 SFR5 E2 144A  | PROGRESS RESIDENTIAL 2021-SFR5 PROG 2021 SFR5 E2 144A   | CUSIP: 74333FAF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    225000 | PA      | $220335.28    | 0.13%             | 2038-07-17      | Fixed         | 2.36%                 | No            |                  2 | On Loan: No      |
| PROGRESS RESIDENTIAL 2025-SFR3 PROG 2025 SFR3 D 144A   | PROGRESS RESIDENTIAL 2025-SFR3 PROG 2025 SFR3 D 144A    | CUSIP: 74334BAG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    600000 | PA      | $548258.88    | 0.33%             | 2042-07-17      | Fixed         | 3.39%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 08/52 FIXED 4.5                      | CUSIP: 3140QPZD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    591771 | PA      | $584732.39    | 0.35%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 09/52 FIXED 4                        | CUSIP: 3140QQDH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    289257 | PA      | $276474.09    | 0.17%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 09/52 FIXED 4.5                      | CUSIP: 3140QQDT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    235594 | PA      | $230877.47    | 0.14%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PROGRESS RESIDENTIAL 2025-SFR2 PROG 2025 SFR2 D 144A   | PROGRESS RESIDENTIAL 2025-SFR2 PROG 2025 SFR2 D 144A    | CUSIP: 74334GAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    498930 | PA      | $465074.78    | 0.28%             | 2042-04-17      | Fixed         | 3.56%                 | No            |                  2 | On Loan: No      |
| PROGRESS RESIDENTIAL 2025-SFR5 PROG 2025 SFR5 D 144A   | PROGRESS RESIDENTIAL 2025-SFR5 PROG 2025 SFR5 D 144A    | CUSIP: 74334RAG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    350000 | PA      | $331071.55    | 0.20%             | 2042-10-17      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PROVIDENT FUNDING MORTGAGE TRU PFMT 2025 4 A1 144A     | PROVIDENT FUNDING MORTGAGE TRU PFMT 2025 4 A1 144A      | CUSIP: 74387AAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    394937 | PA      | $400598.61    | 0.24%             | 2055-09-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| RATE MORTGAGE TRUST 2024-J3 RATE 2024 J3 B3 144A       | RATE MORTGAGE TRUST 2024-J3 RATE 2024 J3 B3 144A        | CUSIP: 75409UCJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    442640 | PA      | $422707.87    | 0.25%             | 2054-10-25      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| SIERRA TIMESHARE 2025-3 RECEIV SRFC 2025 3A C 144A     | SIERRA TIMESHARE 2025-3 RECEIV SRFC 2025 3A C 144A      | CUSIP: 82650FAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    215000 | PA      | $213563.39    | 0.13%             | 2044-08-22      | Fixed         | 4.98%                 | No            |                  2 | On Loan: No      |
| Sierra Timeshare 2025-1 Receivables Funding LLC        | SIERRA TIMESHARE 2025-1 RECEIV SRFC 2025 1A D 144A      | CUSIP: 82653CAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    333181 | PA      | $334877.34    | 0.20%             | 2042-01-21      | Fixed         | 6.86%                 | No            |                  2 | On Loan: No      |
| STORE MASTER FUNDING I-VII AND STR 2019 1 A2 144A      | STORE MASTER FUNDING I-VII AND STR 2019 1 A2 144A       | CUSIP: 86212XAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    550401 | PA      | $482916.42    | 0.29%             | 2049-11-20      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| STORE MASTER FUNDING I-VII AND STR 2019 1 A4 144A      | STORE MASTER FUNDING I-VII AND STR 2019 1 A4 144A       | CUSIP: 86212XAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    116450 | PA      | $107475.45    | 0.06%             | 2049-11-20      | Fixed         | 4.49%                 | No            |                  2 | On Loan: No      |
| SUBWAY FUNDING LLC SUBWAY 2024 1A A23 144A             | SUBWAY FUNDING LLC SUBWAY 2024 1A A23 144A              | CUSIP: 864300AE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    544500 | PA      | $563153.32    | 0.34%             | 2054-07-30      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| SUBWAY FUNDING LLC SUBWAY 2024 3A A2II 144A            | SUBWAY FUNDING LLC SUBWAY 2024 3A A2II 144A             | CUSIP: 864300AJ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    242550 | PA      | $242612.88    | 0.14%             | 2054-07-30      | Fixed         | 5.57%                 | No            |                  2 | On Loan: No      |
| SWITCH ABS ISSUER LLC SWTCH 2025 2A A21 144A           | SWITCH ABS ISSUER LLC SWTCH 2025 2A A21 144A            | CUSIP: 871044AS2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    400000 | PA      | $400368.40    | 0.24%             | 2055-10-25      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 09/52 FIXED VAR                      | CUSIP: 3140XPBU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    188436 | PA      | $174489.57    | 0.10%             | 2052-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 06/55 FIXED 5                      | FREDDIE MAC POOL FR 06/55 FIXED 5                       | CUSIP: 31426NU81<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    605501 | PA      | $602681.52    | 0.36%             | 2055-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 12/54 FIXED 5.5                    | FREDDIE MAC POOL FR 12/54 FIXED 5.5                     | CUSIP: 31427MGH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    428220 | PA      | $435977.94    | 0.26%             | 2054-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 12/54 FIXED 5                      | FREDDIE MAC POOL FR 12/54 FIXED 5                       | CUSIP: 31427MGT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1161291 | PA      | $1165028.90   | 0.70%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 01/55 FIXED 5                      | FREDDIE MAC POOL FR 01/55 FIXED 5                       | CUSIP: 31427MHH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1040945 | PA      | $1043579.37   | 0.62%             | 2055-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 02/55 FIXED 5.5                    | FREDDIE MAC POOL FR 02/55 FIXED 5.5                     | CUSIP: 31427MLM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1131321 | PA      | $1153937.71   | 0.69%             | 2055-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 03/54 FIXED 5.5                    | FREDDIE MAC POOL FR 03/54 FIXED 5.5                     | CUSIP: 3142GRDF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     79856 | PA      | $80928.33     | 0.05%             | 2054-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 03/54 FIXED 5.5                    | FREDDIE MAC POOL FR 03/54 FIXED 5.5                     | CUSIP: 3142GRFA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    270787 | PA      | $276877.75    | 0.17%             | 2054-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 02/55 FIXED 5.5                    | FREDDIE MAC POOL FR 02/55 FIXED 5.5                     | CUSIP: 3142GT2E5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    575867 | PA      | $589178.32    | 0.35%             | 2055-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 11/54 FIXED 5                      | FREDDIE MAC POOL FR 11/54 FIXED 5                       | CUSIP: 3142GTFC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    307925 | PA      | $308415.89    | 0.18%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ELLINGTON FINANCIAL MORTGAGE T EFMT 2022 3 A1 144A     | ELLINGTON FINANCIAL MORTGAGE T EFMT 2022 3 A1 144A      | CUSIP: 31573EAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    248231 | PA      | $247369.08    | 0.15%             | 2067-08-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| LMRK Issuer Co. 2 LLC                                  | LMRK ISSUER CO 2 LLC LMRK 2025 1A A 144A                | CUSIP: 50209AAH4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    805000 | PA      | $809104.05    | 0.48%             | 2055-09-15      | Fixed         | 5.52%                 | No            |                  2 | On Loan: No      |
| MFA 2020-NQM3 TRUST MFRA 2020 NQM3 M1 144A             | MFA 2020-NQM3 TRUST MFRA 2020 NQM3 M1 144A              | CUSIP: 552757AD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $94145.10     | 0.06%             | 2065-01-26      | Variable      | 2.65%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-11-28

**Name of Applicant:** John Hancock Exchange-Traded Fund Trust

**Signature:** /s/Salvatore Schiavone

**Name of Signer:** Salvatore Schiavone

**Title:** Treasurer